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APF Sales Schedule Due at 16:30GMT

BOE
  • The Bank of England will announce its APF sales schedule for Q1 at 16:30GMT.
  • There are a couple of things to watch in addition to the size and frequency of the operations (we would assume similar to the 4 of each maturity bucket in the quarter sized at GBP670mln seen in Q4).
  • First, are the buckets still all equally sized in sales proceeds terms, and are the definitions of the buckets the same (i.e. short 3-7-year, medium 7-20 year and long 20+ year).
  • Second, is there any change to the language in the Market Notice that was introduced in September that stated that "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.”
  • Our base case is that there are no real changes to the programme or the wording of the Market Noticed since September.
  • The main risks are that either the amount sold in each bucket is switched (either to some kind of duration-weighted equal sized buckets, or accounting for the buckets in initial purchase proceeds rather than sales proceeds). Or to change the definition of the buckets to match the UK DMO's definition (i.e. change medium to 7-15 year and long to 15+ year).
  • Either way, we think there is a good chance of a move in the 10s30s gilt curve - there are enough investors hoping for a change in the programme that if there is no change we could see a small steepening of the curve. On the flip side if there is a reduction in longs sold, there would likely be a more notable flattening of the curve.
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