Something extremely unusual just happened. The post-Brexit, post-QE collapse in UK Gilt yields has extended the 'cheapness' of US Treasuries to over 100bps. This is the widest absolute spread since May 2000 but at almost 3x, this is by far the greatest relative differential in history.

As gilt yields collapse so the absolute spread spikes, suggesting Treasuries are dramatically cheap...

But given the low levels of rates in general, it is the relative differential that is shocking...

The last two times that the TSY-Gilt differential reached these levels signaled the top in US equities. While 64% of S&P 500 names have dividend yields above the 10Y Treasury, we suspect the 'safety' of bonds (see BMY the last 2 weeks) may become relevant sooner rather than later.