Asset Purchase Facility Quarterly Report - 2019 Q4

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 03 February 2020

Overview

This report contains information on the Bank of England’s Asset Purchase Facility (APF) for Q4 from 1 October 2019 to 31 December 2019. It describes the operations carried out during the period. More information on what the APF is and what it does is available in our Market Operations Guide.

A short timeline describing the history of the APF is provided as background at the end of the report. Previous editions of the APF Quarterly Report can be found at the bottom of this page.

APF operations in the past quarter

This section contains details of gilt and corporate bond transactions, and gilts lent to the Debt Management Office (DMO), during the quarter. The Monetary Policy Committee (MPC) maintained the targets for the gilt and corporate bond purchase programmes during the quarter at £435 billion and £10 billion respectively.[1]

During 2019 Q4 the APF made £2.5 billion of gilt purchases, to reinvest the cash flows associated with the maturity on 7 September of the 3.75% 2019 gilt. Gilt reinvestment auctions were completed on 3 October 2019.[2]

The APF also made £128.5 million of corporate bond purchases during the quarter as part of a reinvestment programme to restore the holdings to the MPC’s target.

This target[3] was reached on 10 October 2019. The stock of corporate bonds held by the APF fell back slightly to £9.9 billion by the end of 2019 Q4 as the result of maturities.

Table A summarises the stock of APF gilt and corporate bond purchases in 2019 Q4.

Table A Summary of stocks in Asset Purchase Facility Schemes (a) (£ millions)

Week ending

Gilts (b)

Corporate bond purchase scheme (c)

2019 Q3 (d)

429,918

9,745

2 October 2019

433,722

9,841

9 October 2019

434,990

9,930

16 October 2019

434,990

9,999

23 October 2019

434,990

30 October 2019

434,990

6 November 2019

434,990

9,931

13 November 2019

434,990

20 November 2019

434,990

27 November 2019

434,990

4 December 2019

434,990

9,854

11 December 2019

434,990

18 December 2019

434,990

25 December 2019

434,990

Source: Bank of England.

(a) The outstanding amount in each facility is reported on a settlement date basis.
(b) The overall stock of APF gilt purchases, less redemptions, valued at initial purchase price.
(c) The overall stock of APF Corporate Bond Purchase Scheme purchases, less redemptions, valued at initial purchase price.
(d) 2019 Q3 measured as the amount outstanding as at 25 September 2019.

Chart 1 shows the cumulative net value of APF transactions between the establishment of the Fund in January 2019 and December 2019. As at 31 December 2019, cumulative assets purchased net of sales, redemptions and repayments totalled £444.8 billion. Chart 1 is separated into two panels with different scales, to help show the gilt purchase and the Term Funding Schemes (TFS) (left panel) and the various commercial paper and corporate bond schemes (right panel).

Chart 1 Cumulative asset purchases by type: amounts outstanding (a)

Source: Bank of England.

(a) Data based on settled transactions.
(b) On 21 January 2019 the TFS drawings were moved to the Bank’s balance sheet and therefore are not reported after this date.

Gilts purchased via the APF continue to be made available for on-lending to the market through the gilt lending arrangement with the DMO.[4] The average daily aggregate value of gilts lent by the APF to the DMO during the three months to 31 December 2019 was £1.9 billion.

APF history and background

Below is a summary of some of the key milestones in the history of the APF since its establishment in 2009.

19 January 2009 Chancellor’s Statement announcing the intention to set up an asset purchase programme.

29 January 2009 Establishment of the APF Fund (see exchange of letters between the Bank and HM Treasury).

9 November 2012 HM Treasury announces the transfer of gilt coupon payments to the Exchequer (see exchange of letters between the Bank and HM Treasury).

4 August 2016 MPC agrees to expand the APF by launching a Term Funding Scheme (TFS) and a Corporate Bond Purchase Scheme (CBPS) (see exchange of letters between the Bank and HM Treasury).

21 June 2018 Bank and HM Treasury agree new capital and income framework codified by a new Memorandum of Understanding.

21 January 2019 TFS drawings (and collateral) transferred from the APF to the Bank of England’s balance sheet.

Links to additional information related to the APF

• Exchange of letters between the Bank and HM Treasury, 17 February and 3 March 2009.

Asset Purchase Facility Annual Report 2018/19.

  1. Decisions by the MPC, and the minutes of their meetings, can be found here.

  2. More information on the results of the Bank’s APF operations can be found here.

  3. This is part of the first corporate bond reinvestment programme, which began during 2019 Q3 as described in the Q3 Quarterly Report. See the market notice for the reinvestment programme.

  4. Joint Bank-DMO Statement on Gilt Lending, August 2009.

Next publication date: 27 April 2020.

ISSN 2041-1936

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