APF SALES: Q1-23 schedule

The BoE announces a shift in APF sales in Q1 2024, versus equal-sized sales across maturity buckets as previously:

• Auction sizes by maturity: GBP800mln short (across 4 auctions), GBP750mln medium (across 4 auctions), GBP650mln long (across 3 auctions) - covering Jan 8 to week commencing Mar 25
• Notes: "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 in initial proceeds terms."
• "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."
• No change to the definition of the maturity buckets (short 3-7, medium 7-20, long 20+)
• Changes language in the market notice that was introduced in September: “The Bank will continue to monitor whether the current approach of selling gilts evenly across short, medium and long maturity sectors in sales proceeds terms remains appropriate.” Changed to: "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."
• MNI's base case had been that there would be no real changes to the programme or the wording of the Market Noticed since September.
• The Q2 2024 sales schedule is expected to be announced on March 22.