July – September 2015
REVIEW www.dmo.gov.ukDetails of the Gilt and Treasury bill portfolio at 30 September 2015
The United KingdomDebt Management Office
is an executive Agencyof HM Treasury
30 June 2015 30 September 2015Portfolio summary statisticsGross GrossNet* Net*
Nominal value of the gilt and Treasury bill portfolio- including inflation uplift £1,529.72bn £1,402.36bn £1,521.63bn £1,401.07bn Nominal value of the gilt portfolio- including inflation uplift £1,458.43bn £1,331.07bn £1,448.02bn £1,327.46bn• Conventional gilts - inc. undated gilts £1,090.82bn £974.31bn £1,075.74bn £965.96bn• Index-linked gilts £367.61bn £356.75bn £372.28bn £361.50bnMarket value of the gilt and Treasury bill portfolio £1,846.29bn £1,688.19bn £1,877.86bn £1,723.17bnMarket value of the gilt portfolio £1,775.07bn £1,616.97bn £1,804.32bn £1,649.64bn• Conventional gilts - inc. undated gilts £1,281.36bn £1,137.24bn £1,295.04bn £1,154.36bn• Index-linked gilts £493.71bn £479.73bn £509.28bn £495.28bnMarket value weighted average portfolio yield:• Conventional gilts - inc. undated gilts 1.83% 1.82% 1.63% 1.62%• Index-linked gilts -0.84% -0.84% -0.91% -0.90%Market value weighted average portfolio maturity - inc. TBills: 15.68 years 15.82 years 16.17 years 16.29 yearsMarket value weighted average portfolio maturity - exc. TBills: 16.30 years 16.51 years 16.82 years 17.01 years• Conventional gilts - exc. undated gilts 14.15 years 14.10 years 14.74 years 14.68 years• Index-linked gilts 21.88 years 22.21 years 22.12 years 22.45 yearsMarket value weighted average portfolio modified duration:• Conventional gilts - inc. undated gilts 9.60 years 9.57 years 10.08 years 10.04 years• Index-linked gilts 20.48 years 20.81 years 20.78 years 21.10 years
These portfolio statistics exclude the £200m UK Sovereign Sukuk issue which was launched on 25 June 2014.*The ‘Net’ holdings category excludes gilts held by the DMO.
** These are based on uplifted nominal values. Figures in the pie charts may not sum due to rounding.
Composition of gilt and Treasury bill portfolio** Gilt and Treasury bill portfolio maturity split**
Overseas holdings of giltsDistribution of gilt holdings at 30 June 2015(based on market values)
Treasury bills 4.84%
Ultra-Short conventional
14.39%
Short conventional
20.09%
Mediumconventional
10.09%
Long conventional
26.13%
Index-linked24.47%
Overseas holdings (£bn)
Overseas holdings (%)
%£bn
0
10
20
30
40
50
60
0
50
100
150
200
250
300
350
400
450
1995
Q1
19
95 Q
3
1996
Q1
19
96 Q
3
1997
Q1
19
97 Q
3
1998
Q1
19
98 Q
3
1999
Q1
19
99 Q
3
2000
Q1
20
00 Q
3
2001
Q1
20
01 Q
3
2002
Q1
20
02 Q
3
2003
Q1
20
03 Q
3
2004
Q1
20
04 Q
3
2005
Q1
20
05 Q
3
2006
Q1
20
06 Q
3
2007
Q1
20
07 Q
3
2008
Q1
20
08 Q
3
2009
Q1
20
09 Q
3
2010
Q1
20
10 Q
3
2011
Q1
2011
Q3
2012
Q1
2012
Q3
2013
Q1
2013
Q3
2014
Q1
2014
Q3
2015
Q1
Medium (7-15 years)
Long (15+ years) Ultra-Short (0-3 years)
Short(3-7 years)
21.90%
21.97%
16.59%
39.54%
Source: ONS. These figures can be revised retrospectively.*‘Monetary Financial Institutions’ replaced the ‘Banks and ‘Building societies’ categories in January 2011, and excludes BoE holdings. Source: ONS.
(£millions) at end Q1 2015 Q2 2015Insurance companies and pension funds 477,723 471,467Overseas 418,900 412,506Bank of England (Asset Purchase Facility) 407,281 391,365Other financial institutions and other 138,250 143,064Monetary Financial Institutions 124,386 120,555Households 77,118 76,145Local authorities and public corporations 1,140 1,500TOTAL 1,644,798 1,616,602
Time (Years)
%
0.0
0.5
1.0
1.5
2.0
2.5
3.0
0 10 20 30 40 50 60
www.dmo.gov.uk July – September 2015
QUARTERLY REVIEW
Conventional giltsUK 5-year, 10-year, 30-year and 50-year gilt par yields UK zero-coupon yield curves
Nominal redemption yields on conventional gilts on30 September 2015*
* The bubble size for each bond denotes its nominal amount.
Index-linked gilts
Projected redemption values of index-linkedgilts based on average inflation of 21/2% and 3% per annum*
Real yields on selected index-linked gilts Real redemption yields on 30 September 2015*
Break-even inflation rates on selected index-linked gilts
* The bubble size for each bond denotes its nominal amount.
Nominal Amount : £100.00 Inflation AssumptionsGilt name 2.50% 3.00%
%
5-year10-year30-year50-year
1.00
1.20
1.40
1.60
1.80
2.00
2.20
2.40
2.60
2.80
3.00
01-J
ul-1
5
08-J
ul-1
5
15-J
ul-1
5
22-J
ul-1
5
29-J
ul-1
5
05-A
ug-1
5
12-A
ug-1
5
19-A
ug-1
5
26-A
ug-1
5
02-S
ep-1
5
09-S
ep-1
5
16-S
ep-1
5
23-S
ep-1
5
30-S
ep-1
5
30-Jun-1530-Sep-15
%
Time (Years)
0.0
0.5
1.0
1.5
2.0
2.5
3.0
0 5 10 15 20 25 30 35 40 45 50 55 60
%
0 % Index-linked Treasury Gilt 2019
0 % Index-linked Treasury Gilt 2024
0 % Index-linked Treasury Gilt 2044
0 % Index-linked Treasury Gilt 2068
-1.6
-1.4
-1.2
-1
-0.8
-0.6
-0.4
-0.2
0
01-J
ul-1
5
08-J
ul-1
5
15-J
ul-1
5
22-J
ul-1
5
29-J
ul-1
5
05-A
ug-1
5
12-A
ug-1
5
19-A
ug-1
5
26-A
ug-1
5
02-S
ep-1
5
09-S
ep-1
5
16-S
ep-1
5
23-S
ep-1
5
30-S
ep-1
5
%
Time (Years)
8-month IL gilts 3-month IL gilts
-1.6
-1.4
-1.2
-1.0
-0.8
-0.6
-0.4
-0.2
0.0
0 10 20 30 40 50 60
%
0 % Index-linked Treasury Gilt 2019
0 % Index-linked Treasury Gilt 2024
0 % Index-linked Treasury Gilt 2044
0 % Index-linked Treasury Gilt 2068
2.0
2.2
2.4
2.6
2.8
3.0
3.2
3.4
3.6
3.8
01-J
ul-1
5
08-J
ul-1
5
15-J
ul-1
5
22-J
ul-1
5
29-J
ul-1
5
05-A
ug-1
5
12-A
ug-1
5
19-A
ug-1
5
26-A
ug-1
5
02-S
ep-1
5
09-S
ep-1
5
16-S
ep-1
5
23-S
ep-1
5
30-S
ep-1
5
* Using actual value for the August 2015 RPI and projected values for future months
2½% Index-linked Treasury Stock 2016 320.27 320.661¼% Index-linked Treasury Gilt 2017 141.11 142.530⅛% Index-linked Treasury Gilt 2019 114.97 117.262½% Index-linked Treasury Stock 2020 345.65 352.441⅞% Index-linked Treasury Gilt 2022 150.40 155.650⅛% Index-linked Treasury Gilt 2024 131.85 137.352½% Index-linked Treasury Stock 2024 326.11 339.460⅛% Index-linked Treasury Gilt 2026 130.04 136.791¼% Index-linked Treasury Gilt 2027 180.34 191.240⅛% Index-linked Treasury Gilt 2029 152.33 162.594⅛% Index-linked Treasury Stock 2030 273.40 293.031¼% Index-linked Treasury Gilt 2032 182.38 198.180¾% Index-linked Treasury Gilt 2034 176.21 192.722% Index-linked Treasury Stock 2035 237.77 260.491⅛% Index-linked Treasury Gilt 2037 221.56 246.680⅝% Index-linked Treasury Gilt 2040 219.21 246.850⅝% Index-linked Treasury Gilt 2042 238.63 272.230⅛% Index-linked Treasury Gilt 2044 216.13 248.170⅛% Index-linked Treasury Gilt 2046 213.53 247.590¾% Index-linked Treasury Gilt 2047 276.11 322.760½% Index-linked Treasury Gilt 2050 284.75 336.660¼% Index-linked Treasury Gilt 2052 263.77 314.911¼% Index-linked Treasury Gilt 2055 363.71 442.040⅛% Index-linked Treasury Gilt 2058 289.37 355.710⅜% Index-linked Treasury Gilt 2062 346.61 434.450⅛% Index-linked Treasury Gilt 2068 379.68 490.01
www.dmo.gov.uk July – September 2015
QUARTERLY REVIEW
Gilt market flows* (£mn)
2014-15 and 2015-16 financing requirements
*Figures may not sum due to rounding. Future Coupon flow numbers are for the stock of debt outstanding at end-quarter. Redemption figures are net of official holdings.
Figures may not sum due to rounding.† as updated on 23 April 2015. * Northern Rock Asset Management (NRAM) and Bradford and Bingley (B&B).** The Exchequer’s requirement for financing £6.5bn of lending to Network Rail was included in the CGNCR in April 2014. *** Includes non-governmental deposits, coinage and Certificates of Tax Deposit. Prior to publication of the end-year outturn in April each year, this financing item will only comprise estimated revenue from coinage.
Gross gilt issuance(cash)
Redemptions Coupons Net financing from gilts after redemptions and coupons
Apr-14 11,641 - -253 11,388May-14 5,412 - -758 4,654Jun-14 13,831 - -7,021 6,810Jul-14 16,897 - -3,629 13,268Aug-14 9,703 - -480 9,223Sep-14 8,768 -34,540 -10,743 -36,515Oct-14 16,436 - -257 16,179Nov-14 6,458 - -639 5,819Dec-14 7,285 - -7,172 113Jan-15 15,923 -27,785 -4,149 -16,011Feb-15 3,590 -218 -487 2,885Mar-15 10,476 -1,908 -10,062 -1,494Apr-15 11,810 -11 -259 11,540May-15 7,592 -21 -777 6,794Jun-15 11,795 - -7,160 4,635Jul-15 12,892 -383 -4,042 8,467Aug-15 6,203 - -482 5,720Sep-15 13,755 -31,693 -10,290 -28,228Oct-15 15,423 -7,205 -254 7,963Nov-15 - - -649 -Dec-15 - - -7,217 -
2014-15(outturn)
2015-16†
(£bn)
CGNCR exc. NRAM, B&B* and Network Rail** 92.3 85.6 71.6Gilt Redemptions 64.5 70.2 70.2Financing for the Official Reserves 12.7 5.3 5.3Planned short-term financing adjustment -30.2 -13.1 -13.1Gross financing requirement 139.2 148.1 134.1
LessContribution from National Savings & Investments 18.2 10.0 10.0Sukuk 0.2 0.0 0.0Renminbi 0.3 0.0 0.0Other financing items*** -1.4 0.2 0.2Net financing requirement 121.8 137.9 123.9Gilt sales planned during the year 126.4 130.9 127.4Change in planned Treasury bill stock 8.5 7.0 -3.5Change in Ways and Means 0.0 0.0 0.0DMO net cash position at end of financial year 13.6 0.5 0.5
2015-16 July BudgetMarch Budget
www.dmo.gov.uk July – September 2015
QUARTERLY REVIEW
Index-linked gilt market turnover 2007 - 2015
*Professional turnover is defined as turnover with counterparties who are Broker Dealers (BDLs), other Gilt-edged Market Makers (GEMMs), DMO or Bank of England.Customers are all others (including businesses with related entities).** The redemption totals for index-linked gilts in this chart do not reflect the full value of inflation uplift. They are calculated in a way consistent with the formulation of the Government’s financing requirement; i.e. that part of the accrued inflation uplift on any redeeming gilts that represents the return to investors is included in the CGNCR in that redemption year, and the remainder is included in the redemption total for the year in which the relevant gilts redeem. ‘Government holdings’ is defined as gilts held by the DMO.
GEMM turnover by maturity band, Q3 2015* Total GEMM market turnover (weekly total)
Gilt redemptions at end-September 2015(net of government holdings)**
£mn
Market weekly 13 week average
0
5,000
10,000
15,000
20,000
25,000
30,000 Ja
n-07
May
-07
Sep
-07
Jan-
08
May
-08
Sep
-08
Jan-
09
May
-09
Sep
-09
Jan-
10
May
-10
Sep
-10
Jan-
11
May
-11
Sep
-11
Jan-
12
May
-12
Sep
-12
Jan-
13
May
-13
Sep
-13
Jan-
14
May
-14
Sep
-14
Jan-
15
May
-15
Sep
-15
Customer
Professional
0
£mn
50,000
100,000
150,000
200,000
250,000
300,000
350,000
400,000
450,000
0-12 mths 1-3 yrs 3-5 yrs 5-7 yrs 7-10 yrs 10-15 yrs 15+ yrs Index-linked
Conventional Index-linked
£0bn
£10bn
£20bn
£30bn
£40bn
£50bn
£60bn
£70bn
£80bn
£90bn
£100bn
2015
-16
2016
-17
2017
-18
2018
-19
2019
-20
2020
-21
2021
-22
2022
-23
2023
-24
2024
-25
2025
-26
2026
-27
2027
-28
2028
-29
2029
-30
2030
-31
2031
-32
2032
-33
2033
-34
2034
-35
2035
-36
2036
-37
2037
-38
2038
-39
2039
-40
2040
-41
2041
-42
2042
-43
2043
-44
2044
-45
2045
-46
2046
-47
2047
-48
2048
-49
2049
-50
2050
-51
2051
-52
2052
-53
2053
-54
2054
-55
2055
-56
2056
-57
2057
-58
2058
-59
2059
-60
2060
-61
2061
-62
2062
-63
2063
-64
2064
-65
2065
-66
2066
-67
2067
-68
2068
-69
CustomerProfessional
£mn
0
20,000
40,000
60,000
80,000
100,000
120,000
03-J
ul-1
5
10-J
ul-1
5
17-J
ul-1
5
24-J
ul-1
5
31-J
ul-1
5
07-A
ug-1
5
14-A
ug-1
5
21-A
ug-1
5
28-A
ug-1
5
04-S
ep-1
5
11-S
ep-1
5
18-S
ep-1
5
25-S
ep-1
5
www.dmo.gov.uk July – September 2015
QUARTERLY REVIEW
Treasury bill tender resultsJuly – September 2015
Contacts
%
Average Accepted Yield (1M) Average Accepted Yield (3M) Average Accepted Yield (6M)
0.40
0.45
0.50
0.55
0.60
0.65
03-
Jul-1
5
10-
Jul-1
5
17-
Jul-1
5
24-
Jul-1
5
31-
Jul-1
5
07-
Aug
-15
14-
Aug
-15
21-
Aug
-15
28-
Aug
-15
04-
Sep
-15
11-
Sep
-15
18-
Sep
-15
25-
Sep
-15
Team Telephone No. Email
Policy Team 020 7862 6532 [email protected]
Markets Team 020 7862 6517 [email protected]
Research Team 020 7862 6516 [email protected]
Press Office 020 7862 6532 [email protected]
Web Team 020 7862 6594 [email protected]
Public Works Loan Board 020 7862 6610 [email protected]
Updated data, press releases and other information are available on the DMO website at www.dmo.gov.uk.Please send any queries to one of the email addresses above.
www.dmo.gov.uk July – September 2015
QUARTERLY REVIEW
DMO website: Useful links
What’s Newhttp://www.dmo.gov.uk/ceLogon.aspx?page=Press_New&rptcode=D8D
Events calendarhttp://www.dmo.gov.uk/ceLogon.aspx?page=Events_Calendar&rptCode=D5J
Gilt marketGilt prices pagehttp://www.dmo.gov.uk/index.aspx?page=Gilts/Daily_Prices
Gilts in issuehttp://www.dmo.gov.uk/index.aspx?page=Gilts/Gilts_In_Issue
Summary of results from all DMO gilt operationshttp://www.dmo.gov.uk/ceLogon.aspx?page=Summary_of_results&rptCode=D2.1prof7
Cash sales versus the remit (updated after each operation)http://www.dmo.gov.uk/index.aspx?page=Remit/Information
Gilt issuance historyhttp://www.dmo.gov.uk/index.aspx?page=Gilts/Gilts_In_Issue
Overseas holdings datahttp://www.dmo.gov.uk/ceLogon.aspx?page=Gilts/Overseas_Holdings&rptCode=D5N
Index-linked giltsIndex-linked gilts in issue http://www.dmo.gov.uk/ceLogon.aspx?page=D1D&rptcode=D1D
Published cash flowshttp://www.dmo.gov.uk/ceLogon.aspx?page=Nominal_IL&rptCode=D5I
Daily index ratioshttp://www.dmo.gov.uk/ceLogon.aspx?page=D10C&rptcode=D10C
Money marketsTreasury bill priceshttp://www.dmo.gov.uk/ceLogon.aspx?page=tbills/Daily_Prices_Yields&rptCode=D3A
Summary of Treasury bill tender resultshttp://www.dmo.gov.uk/index.aspx?page=tbills/tbill_tenders
Treasury bill issuance historyhttp://www.dmo.gov.uk/ceLogon.aspx?page=tbills/Portfolio_Composition&rptcode=D2.2G
National Loan Guarantee Schemehttp://www.dmo.gov.uk/index.aspx?page=CGS/NLGS2012
Key documentsHistorical copies of the Quarterly Reviewhttp://www.dmo.gov.uk/index.aspx?page=publications/Quarterly_Reviews
Historical copies of the Annual Reviewhttp://www.dmo.gov.uk/index.aspx?page=publications/Annual_Reviews
www.dmo.gov.uk July – September 2015
QUARTERLY REVIEW
DMO website: Useful links
Operational Notice – Gilt markethttp://www.dmo.gov.uk/documentview.aspx?docname=publications/operationalrules/Opnot20150401.pdf&page=operational_rules/DocumentOperational Notice – Cash markethttp://www.dmo.gov.uk/documentview.aspx?docname=publications/moneymarkets/cmopnot310314.pdf&page=money_markets/publication
Guidebook – GEMMshttp://www.dmo.gov.uk/documentview.aspx?docname=publications/operationalrules/guidebook20150401.pdfDebt & Reserves Management Report 2015-16http://www.dmo.gov.uk/documentview.aspx?docname=remit/drmr1516.pdf&page=Remit/full_details
DMO Financing Remit 2015-16http://www.dmo.gov.uk/docs/remit/sa080715.pdf
Information Memorandumhttp://www.dmo.gov.uk/documentview.aspx?docname=publications/operationalrules/infmemadd220813.pdf&page=operational_rules/Document
Gilt prospectuseshttp://www.dmo.gov.uk/ceLogon.aspx?page=Prospectuses&rptcode=D8E
Formulae for calculating gilt price from yieldshttp://www.dmo.gov.uk/documentview.aspx?docname=/giltsmarket/formulae/yldeqns.pdf&page=Gilts/Formulae
Public Works Loan Board (PWLB)http://www.dmo.gov.uk/index.aspx?page=PWLB/Introduction
http://www.dmo.gov.uk/index.aspx?page=PWLB/Introduction