During 2011 Q3:
- Nominal gilt yields fell sharply during 2011 Q3, with rates on average around 90 basis points lower than at the end of 2011 Q2, with a larger decrease in medium maturities.
- A significant amount of the gilts purchased via the Facility continue to be made available for on-lending to the market through the gilt lending arrangement with the DMO.
- The average daily aggregate value of gilts lent by the Asset Purchase Facility to the Debt Management Office during the three months to 30 September 2011 was £2.6 billion, slightly more than the £2.4 billion lent on average during the previous quarter.
- As gilt yields decreased, spreads on UK non-financial investment-grade corporate bonds increased markedly over the period, with levels in line with those seen in March 2008 but still well short of the peak reached at the end of 2008.
Asset Purchase Facility Quarterly Report – 2011 Q3