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Average auction due to concession priced in ahead of auction close

  • That's an average auction of the short 5-year 4.50% Jun-28 gilt, despite the tight tail of 0.4bp and solid bid-to-cover of 3.34x.
  • The LAP of 101.557 did exceed the pre-auction mid-price of 101.548, but only becaue of a concession priced into the market around 2 minutes ahead of the auction close.
  • If there had been a decent premium for the LAP over the prevailing price through the auction window this would have been a much stronger auction.
  • The 4.50% Jun-28 gilt is now trading around the LAP (after falling a little post-result publication).
  • No reaction in gilt futures to the results publication.

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