Gilt Calendar Preview (1/2)

We lay out our expectations ahead of the DMO's release of the updated gilt calendar to cover the period September to November.

Full document: https://emedia.marketnews.com/GiltCalendarPreview30072020.pdf

• Shorts (10 auctions): We would expect an auction every 3-4 weeks of the 0.125% Jan-26 (3-4 auctions total). And auctions every 3-4 weeks of the three-year benchmark (at least two auctions of the 0.125% Jan-23 before the new Jan-24 gilt is launched). That would leave 2-4 auctions for other issues. The 1.25% Jul-27, 0.625% Jun-25 and 1.00% Apr-24 gilts were all mentioned as potential candidates by GEMMs in the DMO consultation while investors simply preferred off-the-run gilts which are currently trading rich.
• Mediums (10 auctions): We expect three auctions of the 0.125% Jan-28 gilt and one auction of each of the 0.875% Oct-29 and the 4.75% Dec-30 gilts. We expect auctions every 3-4 weeks of the 10-year benchmarks. GEMMs had a "number of calls" for a new 10-year gilt but investors seemed to prefer auctions of the 0.375% Oct-30 with only isolated calls for a new benchmark launch. We see a 50/50 chance of the launch of a new benchmark in the period. If the 15-year gilt fits into the medium bucket, we would expect three 10-year auctions and two 15-year auctions. If the 15-year gilt was in the long bucket, we would expect four 10-year auctions and one other off-the-run issue. (1/2)