Asset Purchase Facility: Gilt Sales – Market Notice 15 December 2023

Market notice

At its September 2023 meeting, the MPC voted to reduce the stock of gilts held in the APF for monetary policy purposes by £100 billion over the period from October 2023 to September 2024, to a total of £658 billion. The Bank set out in the consolidated APF gilt sales Market Notice published on 1 September 2022 that it would publish a quarterly schedule for the sales of gilts held in the APF for monetary policy purposes. The details and schedule for the Q1 2024 sales of such gilts are set out in this Market Notice which covers the period from 8 January 2024 to the week commencing 25 March 2024.

The MPC’s APF stock reduction target is expressed in terms of the proceeds first paid to purchase APF holdings, so-called ‘initial proceeds’. The Bank designs and operates APF gilt sales auctions to meet that stock reduction target, accounting for maturing APF gilt holdings over that period.

To achieve that, the Bank sets a schedule of auctions which aims to sell gilts evenly across maturity sectors^{footnote [1]} in initial proceeds terms. In the first year of sales, the Bank was broadly able to deliver this by setting equal auction sizes across short, medium and long maturity sectors, which also had the benefit of maximising operational simplicity.

In Q1 2024 and subsequent quarters, the Bank will adapt its approach of setting equal auction sizes in order to continue to reduce the APF as evenly as possible across maturity sectors, measured in initial proceeds terms. The Bank will allow the size and number of auctions to vary across maturity sectors on a quarter-by-quarter basis in order to deliver that goal, and will continue to publish its auction calendar in advance of every quarter.

Accordingly, in Q1 2024, the Bank will sell short maturity sector bonds across four auctions of £800 million, medium maturity sector bonds across four auctions of £750 million, and long maturity sector bonds across three auctions of £650 million. Further details are outlined in the table below.

The Bank will continue to monitor the impact of its gilt sales programme on market conditions, and reserves the right to amend its schedule, including the gilts to be sold and the size of its auctions, or any other aspect of its approach at its sole discretion.

Other than as amended in this Market Notice, the detailed operational parameters and participation requirements set out previously will apply to these gilt sales.

The Bank expects to announce the sales schedule for Q2 2024 at 4.30pm on 22 March 2024.

Table: APF gilt sales auction calendar – January to March 2024