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Is the BOE less willing to accept offers at a small premium to midprice?

GILTS
  • We asked the question yesterday of why the volumes of rejected offers were so high in yesterday's BOE long-dated purchase operation and noted that the only accepted offer saw a highest accepted price of 91.400 - below the mid-price of 91.700.
  • The Bank of England released another Market Notice towards the end of yesterday's trading session noting that "reserve prices / yields are reviewed ahead of each auction to ensure consistency with the backstop nature of the scheme."
  • The Bank has reiterated that the maximum size of the operations are GBP5bln/day, and in operations last week it seemed to be happy to buy at a reasonable spread over the mid-price. Yesterday's operation either saw no offers at that level or saw the Bank more explicitly using the operation as a backstop and only accepting offers at lower levels.
  • The Bank of England has also announced that it has asked GEMMs to begin notifying them of who the offers are from - whether they are from the GEMM directly or from a client. If they are from a client, they have asked for details of who the client is. Although in the short-term this is unlikely to determine whether offers are accepted or not the Bank notes that "The details of this collection of end user information will be incorporated in the APF Operating Procedures for purchase operations in due course."
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