Asset Purchase Facility Quarterly Report - 2012 Q1

In the interests of openness and transparency, we publish a quarterly report on the transactions carried out as part of the Asset Purchase Facility. The reports are published shortly after the end of each quarter.
Published on 23 April 2012

During 2012 Q1:

  • As at 29 March 2012 (the last Thursday of the quarter) cumulative assets purchased net of sales totalled £304 billion.
  • Nominal gilt yields increased in 2012 Q1, with rates on average around 30 basis points higher than at the end of 2011 Q4, particularly for longer maturities.
  • Overnight index swap (OIS) rates also rose during 2012 Q1, and by more than gilt yields, with the result that gilt-OIS spreads decreased, particularly for short maturities, to levels last seen in 2009 H2.
  • The average daily aggregate value of gilts lent by the APF to the DMO during the three months to 31 March 2012 was £0.5 billion, substantially lower than the £1.6 billion lent on average during the previous quarter.
  • The market for sterling non-bank investment-grade commercial paper continued to function well. The total amount of non-bank sterling-denominated commercial paper outstanding decreased in 2012 Q1.

PDF Asset Purchase Facility Quarterly Report – 2012 Q1

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