REVIEW - Debt Management Office† as updated on 23 April 2015. * Northern Rock Asset Management (NRAM) and Bradford and Bingley (B&B). ** The Exchequer’s requirement for financing

July – September 2015

REVIEW www.dmo.gov.ukDetails of the Gilt and Treasury bill portfolio at 30 September 2015

The United KingdomDebt Management Office

is an executive Agencyof HM Treasury

30 June 2015 30 September 2015Portfolio summary statisticsGross GrossNet* Net*

Nominal value of the gilt and Treasury bill portfolio- including inflation uplift £1,529.72bn £1,402.36bn £1,521.63bn £1,401.07bn Nominal value of the gilt portfolio- including inflation uplift £1,458.43bn £1,331.07bn £1,448.02bn £1,327.46bn• Conventional gilts - inc. undated gilts £1,090.82bn £974.31bn £1,075.74bn £965.96bn• Index-linked gilts £367.61bn £356.75bn £372.28bn £361.50bnMarket value of the gilt and Treasury bill portfolio £1,846.29bn £1,688.19bn £1,877.86bn £1,723.17bnMarket value of the gilt portfolio £1,775.07bn £1,616.97bn £1,804.32bn £1,649.64bn• Conventional gilts - inc. undated gilts £1,281.36bn £1,137.24bn £1,295.04bn £1,154.36bn• Index-linked gilts £493.71bn £479.73bn £509.28bn £495.28bnMarket value weighted average portfolio yield:• Conventional gilts - inc. undated gilts 1.83% 1.82% 1.63% 1.62%• Index-linked gilts -0.84% -0.84% -0.91% -0.90%Market value weighted average portfolio maturity - inc. TBills: 15.68 years 15.82 years 16.17 years 16.29 yearsMarket value weighted average portfolio maturity - exc. TBills: 16.30 years 16.51 years 16.82 years 17.01 years• Conventional gilts - exc. undated gilts 14.15 years 14.10 years 14.74 years 14.68 years• Index-linked gilts 21.88 years 22.21 years 22.12 years 22.45 yearsMarket value weighted average portfolio modified duration:• Conventional gilts - inc. undated gilts 9.60 years 9.57 years 10.08 years 10.04 years• Index-linked gilts 20.48 years 20.81 years 20.78 years 21.10 years

These portfolio statistics exclude the £200m UK Sovereign Sukuk issue which was launched on 25 June 2014.*The ‘Net’ holdings category excludes gilts held by the DMO.

** These are based on uplifted nominal values. Figures in the pie charts may not sum due to rounding.

Composition of gilt and Treasury bill portfolio** Gilt and Treasury bill portfolio maturity split**

Overseas holdings of giltsDistribution of gilt holdings at 30 June 2015(based on market values)

Treasury bills 4.84%

Ultra-Short conventional

14.39%

Short conventional

20.09%

Mediumconventional

10.09%

Long conventional

26.13%

Index-linked24.47%

Overseas holdings (£bn)

Overseas holdings (%)

%£bn

0

10

20

30

40

50

60

0

50

100

150

200

250

300

350

400

450

1995

Q1

19

95 Q

3

1996

Q1

19

96 Q

3

1997

Q1

19

97 Q

3

1998

Q1

19

98 Q

3

1999

Q1

19

99 Q

3

2000

Q1

20

00 Q

3

2001

Q1

20

01 Q

3

2002

Q1

20

02 Q

3

2003

Q1

20

03 Q

3

2004

Q1

20

04 Q

3

2005

Q1

20

05 Q

3

2006

Q1

20

06 Q

3

2007

Q1

20

07 Q

3

2008

Q1

20

08 Q

3

2009

Q1

20

09 Q

3

2010

Q1

20

10 Q

3

2011

Q1

2011

Q3

2012

Q1

2012

Q3

2013

Q1

2013

Q3

2014

Q1

2014

Q3

2015

Q1

Medium (7-15 years)

Long (15+ years) Ultra-Short (0-3 years)

Short(3-7 years)

21.90%

21.97%

16.59%

39.54%

Source: ONS. These figures can be revised retrospectively.*‘Monetary Financial Institutions’ replaced the ‘Banks and ‘Building societies’ categories in January 2011, and excludes BoE holdings. Source: ONS.

(£millions) at end Q1 2015 Q2 2015Insurance companies and pension funds 477,723 471,467Overseas 418,900 412,506Bank of England (Asset Purchase Facility) 407,281 391,365Other financial institutions and other 138,250 143,064Monetary Financial Institutions 124,386 120,555Households 77,118 76,145Local authorities and public corporations 1,140 1,500TOTAL 1,644,798 1,616,602

Time (Years)

%

0.0

0.5

1.0

1.5

2.0

2.5

3.0

0 10 20 30 40 50 60

www.dmo.gov.uk July – September 2015

QUARTERLY REVIEW

Conventional giltsUK 5-year, 10-year, 30-year and 50-year gilt par yields UK zero-coupon yield curves

Nominal redemption yields on conventional gilts on30 September 2015*

* The bubble size for each bond denotes its nominal amount.

Index-linked gilts

Projected redemption values of index-linkedgilts based on average inflation of 21/2% and 3% per annum*

Real yields on selected index-linked gilts Real redemption yields on 30 September 2015*

Break-even inflation rates on selected index-linked gilts

* The bubble size for each bond denotes its nominal amount.

Nominal Amount : £100.00 Inflation AssumptionsGilt name 2.50% 3.00%

%

5-year10-year30-year50-year

1.00

1.20

1.40

1.60

1.80

2.00

2.20

2.40

2.60

2.80

3.00

01-J

ul-1

5

08-J

ul-1

5

15-J

ul-1

5

22-J

ul-1

5

29-J

ul-1

5

05-A

ug-1

5

12-A

ug-1

5

19-A

ug-1

5

26-A

ug-1

5

02-S

ep-1

5

09-S

ep-1

5

16-S

ep-1

5

23-S

ep-1

5

30-S

ep-1

5

30-Jun-1530-Sep-15

%

Time (Years)

0.0

0.5

1.0

1.5

2.0

2.5

3.0

0 5 10 15 20 25 30 35 40 45 50 55 60

%

0 % Index-linked Treasury Gilt 2019




-1.6

-1.4

-1.2

-1

-0.8

-0.6

-0.4

-0.2

0

01-J

ul-1

5

08-J

ul-1

5

15-J

ul-1

5

22-J

ul-1

5

29-J

ul-1

5

05-A

ug-1

5

12-A

ug-1

5

19-A

ug-1

5

26-A

ug-1

5

02-S

ep-1

5

09-S

ep-1

5

16-S

ep-1

5

23-S

ep-1

5

30-S

ep-1

5

%

Time (Years)

8-month IL gilts 3-month IL gilts

-1.6

-1.4

-1.2

-1.0

-0.8

-0.6

-0.4

-0.2

0.0

0 10 20 30 40 50 60

%





2.0

2.2

2.4

2.6

2.8

3.0

3.2

3.4

3.6

3.8

01-J

ul-1

5

08-J

ul-1

5

15-J

ul-1

5

22-J

ul-1

5

29-J

ul-1

5

05-A

ug-1

5

12-A

ug-1

5

19-A

ug-1

5

26-A

ug-1

5

02-S

ep-1

5

09-S

ep-1

5

16-S

ep-1

5

23-S

ep-1

5

30-S

ep-1

5

* Using actual value for the August 2015 RPI and projected values for future months

2½% Index-linked Treasury Stock 2016 320.27 320.661¼% Index-linked Treasury Gilt 2017 141.11 142.530⅛% Index-linked Treasury Gilt 2019 114.97 117.262½% Index-linked Treasury Stock 2020 345.65 352.441⅞% Index-linked Treasury Gilt 2022 150.40 155.650⅛% Index-linked Treasury Gilt 2024 131.85 137.352½% Index-linked Treasury Stock 2024 326.11 339.460⅛% Index-linked Treasury Gilt 2026 130.04 136.791¼% Index-linked Treasury Gilt 2027 180.34 191.240⅛% Index-linked Treasury Gilt 2029 152.33 162.594⅛% Index-linked Treasury Stock 2030 273.40 293.031¼% Index-linked Treasury Gilt 2032 182.38 198.180¾% Index-linked Treasury Gilt 2034 176.21 192.722% Index-linked Treasury Stock 2035 237.77 260.491⅛% Index-linked Treasury Gilt 2037 221.56 246.680⅝% Index-linked Treasury Gilt 2040 219.21 246.850⅝% Index-linked Treasury Gilt 2042 238.63 272.230⅛% Index-linked Treasury Gilt 2044 216.13 248.170⅛% Index-linked Treasury Gilt 2046 213.53 247.590¾% Index-linked Treasury Gilt 2047 276.11 322.760½% Index-linked Treasury Gilt 2050 284.75 336.660¼% Index-linked Treasury Gilt 2052 263.77 314.911¼% Index-linked Treasury Gilt 2055 363.71 442.040⅛% Index-linked Treasury Gilt 2058 289.37 355.710⅜% Index-linked Treasury Gilt 2062 346.61 434.450⅛% Index-linked Treasury Gilt 2068 379.68 490.01


QUARTERLY REVIEW

Gilt market flows* (£mn)

2014-15 and 2015-16 financing requirements

*Figures may not sum due to rounding. Future Coupon flow numbers are for the stock of debt outstanding at end-quarter. Redemption figures are net of official holdings.

Figures may not sum due to rounding.† as updated on 23 April 2015. * Northern Rock Asset Management (NRAM) and Bradford and Bingley (B&B).** The Exchequer’s requirement for financing £6.5bn of lending to Network Rail was included in the CGNCR in April 2014. *** Includes non-governmental deposits, coinage and Certificates of Tax Deposit. Prior to publication of the end-year outturn in April each year, this financing item will only comprise estimated revenue from coinage.

Gross gilt issuance(cash)

Redemptions Coupons Net financing from gilts after redemptions and coupons

Apr-14 11,641 - -253 11,388May-14 5,412 - -758 4,654Jun-14 13,831 - -7,021 6,810Jul-14 16,897 - -3,629 13,268Aug-14 9,703 - -480 9,223Sep-14 8,768 -34,540 -10,743 -36,515Oct-14 16,436 - -257 16,179Nov-14 6,458 - -639 5,819Dec-14 7,285 - -7,172 113Jan-15 15,923 -27,785 -4,149 -16,011Feb-15 3,590 -218 -487 2,885Mar-15 10,476 -1,908 -10,062 -1,494Apr-15 11,810 -11 -259 11,540May-15 7,592 -21 -777 6,794Jun-15 11,795 - -7,160 4,635Jul-15 12,892 -383 -4,042 8,467Aug-15 6,203 - -482 5,720Sep-15 13,755 -31,693 -10,290 -28,228Oct-15 15,423 -7,205 -254 7,963Nov-15 - - -649 -Dec-15 - - -7,217 -

2014-15(outturn)

2015-16†

(£bn)

CGNCR exc. NRAM, B&B* and Network Rail** 92.3 85.6 71.6Gilt Redemptions 64.5 70.2 70.2Financing for the Official Reserves 12.7 5.3 5.3Planned short-term financing adjustment -30.2 -13.1 -13.1Gross financing requirement 139.2 148.1 134.1

LessContribution from National Savings & Investments 18.2 10.0 10.0Sukuk 0.2 0.0 0.0Renminbi 0.3 0.0 0.0Other financing items*** -1.4 0.2 0.2Net financing requirement 121.8 137.9 123.9Gilt sales planned during the year 126.4 130.9 127.4Change in planned Treasury bill stock 8.5 7.0 -3.5Change in Ways and Means 0.0 0.0 0.0DMO net cash position at end of financial year 13.6 0.5 0.5

2015-16 July BudgetMarch Budget


QUARTERLY REVIEW

Index-linked gilt market turnover 2007 - 2015

*Professional turnover is defined as turnover with counterparties who are Broker Dealers (BDLs), other Gilt-edged Market Makers (GEMMs), DMO or Bank of England.Customers are all others (including businesses with related entities).** The redemption totals for index-linked gilts in this chart do not reflect the full value of inflation uplift. They are calculated in a way consistent with the formulation of the Government’s financing requirement; i.e. that part of the accrued inflation uplift on any redeeming gilts that represents the return to investors is included in the CGNCR in that redemption year, and the remainder is included in the redemption total for the year in which the relevant gilts redeem. ‘Government holdings’ is defined as gilts held by the DMO.

GEMM turnover by maturity band, Q3 2015* Total GEMM market turnover (weekly total)

Gilt redemptions at end-September 2015(net of government holdings)**

£mn

Market weekly 13 week average

0

5,000

10,000

15,000

20,000

25,000

30,000 Ja

n-07

May

-07

Sep

-07

Jan-

08

May

-08

Sep

-08

Jan-

09

May

-09

Sep

-09

Jan-

10

May

-10

Sep

-10

Jan-

11

May

-11

Sep

-11

Jan-

12

May

-12

Sep

-12

Jan-

13

May

-13

Sep

-13

Jan-

14

May

-14

Sep

-14

Jan-

15

May

-15

Sep

-15

Customer

Professional

0

£mn

50,000

100,000

150,000

200,000

250,000

300,000

350,000

400,000

450,000

0-12 mths 1-3 yrs 3-5 yrs 5-7 yrs 7-10 yrs 10-15 yrs 15+ yrs Index-linked

Conventional Index-linked

£0bn

£10bn

£20bn

£30bn

£40bn

£50bn

£60bn

£70bn

£80bn

£90bn

£100bn

2015

-16

2016

-17

2017

-18

2018

-19

2019

-20

2020

-21

2021

-22

2022

-23

2023

-24

2024

-25

2025

-26

2026

-27

2027

-28

2028

-29

2029

-30

2030

-31

2031

-32

2032

-33

2033

-34

2034

-35

2035

-36

2036

-37

2037

-38

2038

-39

2039

-40

2040

-41

2041

-42

2042

-43

2043

-44

2044

-45

2045

-46

2046

-47

2047

-48

2048

-49

2049

-50

2050

-51

2051

-52

2052

-53

2053

-54

2054

-55

2055

-56

2056

-57

2057

-58

2058

-59

2059

-60

2060

-61

2061

-62

2062

-63

2063

-64

2064

-65

2065

-66

2066

-67

2067

-68

2068

-69

CustomerProfessional

£mn

0

20,000

40,000

60,000

80,000

100,000

120,000

03-J

ul-1

5

10-J

ul-1

5

17-J

ul-1

5

24-J

ul-1

5

31-J

ul-1

5

07-A

ug-1

5

14-A

ug-1

5

21-A

ug-1

5

28-A

ug-1

5

04-S

ep-1

5

11-S

ep-1

5

18-S

ep-1

5

25-S

ep-1

5


QUARTERLY REVIEW

Treasury bill tender resultsJuly – September 2015

Contacts

%

Average Accepted Yield (1M) Average Accepted Yield (3M) Average Accepted Yield (6M)

0.40

0.45

0.50

0.55

0.60

0.65

03-

Jul-1

5

10-

Jul-1

5

17-

Jul-1

5

24-

Jul-1

5

31-

Jul-1

5

07-

Aug

-15

14-

Aug

-15

21-

Aug

-15

28-

Aug

-15

04-

Sep

-15

11-

Sep

-15

18-

Sep

-15

25-

Sep

-15

Team Telephone No. Email

Policy Team 020 7862 6532 [email protected]

Markets Team 020 7862 6517 [email protected]

Research Team 020 7862 6516 [email protected]

Press Office 020 7862 6532 [email protected]

Web Team 020 7862 6594 [email protected]

Public Works Loan Board 020 7862 6610 [email protected]

Updated data, press releases and other information are available on the DMO website at www.dmo.gov.uk.Please send any queries to one of the email addresses above.


QUARTERLY REVIEW

DMO website: Useful links

What’s Newhttp://www.dmo.gov.uk/ceLogon.aspx?page=Press_New&rptcode=D8D

Events calendarhttp://www.dmo.gov.uk/ceLogon.aspx?page=Events_Calendar&rptCode=D5J

Gilt marketGilt prices pagehttp://www.dmo.gov.uk/index.aspx?page=Gilts/Daily_Prices

Gilts in issuehttp://www.dmo.gov.uk/index.aspx?page=Gilts/Gilts_In_Issue

Summary of results from all DMO gilt operationshttp://www.dmo.gov.uk/ceLogon.aspx?page=Summary_of_results&rptCode=D2.1prof7

Cash sales versus the remit (updated after each operation)http://www.dmo.gov.uk/index.aspx?page=Remit/Information

Gilt issuance historyhttp://www.dmo.gov.uk/index.aspx?page=Gilts/Gilts_In_Issue

Overseas holdings datahttp://www.dmo.gov.uk/ceLogon.aspx?page=Gilts/Overseas_Holdings&rptCode=D5N

Index-linked giltsIndex-linked gilts in issue http://www.dmo.gov.uk/ceLogon.aspx?page=D1D&rptcode=D1D

Published cash flowshttp://www.dmo.gov.uk/ceLogon.aspx?page=Nominal_IL&rptCode=D5I

Daily index ratioshttp://www.dmo.gov.uk/ceLogon.aspx?page=D10C&rptcode=D10C

Money marketsTreasury bill priceshttp://www.dmo.gov.uk/ceLogon.aspx?page=tbills/Daily_Prices_Yields&rptCode=D3A

Summary of Treasury bill tender resultshttp://www.dmo.gov.uk/index.aspx?page=tbills/tbill_tenders

Treasury bill issuance historyhttp://www.dmo.gov.uk/ceLogon.aspx?page=tbills/Portfolio_Composition&rptcode=D2.2G

National Loan Guarantee Schemehttp://www.dmo.gov.uk/index.aspx?page=CGS/NLGS2012

Key documentsHistorical copies of the Quarterly Reviewhttp://www.dmo.gov.uk/index.aspx?page=publications/Quarterly_Reviews

Historical copies of the Annual Reviewhttp://www.dmo.gov.uk/index.aspx?page=publications/Annual_Reviews


QUARTERLY REVIEW

DMO website: Useful links

Operational Notice – Gilt markethttp://www.dmo.gov.uk/documentview.aspx?docname=publications/operationalrules/Opnot20150401.pdf&page=operational_rules/DocumentOperational Notice – Cash markethttp://www.dmo.gov.uk/documentview.aspx?docname=publications/moneymarkets/cmopnot310314.pdf&page=money_markets/publication

Guidebook – GEMMshttp://www.dmo.gov.uk/documentview.aspx?docname=publications/operationalrules/guidebook20150401.pdfDebt & Reserves Management Report 2015-16http://www.dmo.gov.uk/documentview.aspx?docname=remit/drmr1516.pdf&page=Remit/full_details

DMO Financing Remit 2015-16http://www.dmo.gov.uk/docs/remit/sa080715.pdf

Information Memorandumhttp://www.dmo.gov.uk/documentview.aspx?docname=publications/operationalrules/infmemadd220813.pdf&page=operational_rules/Document

Gilt prospectuseshttp://www.dmo.gov.uk/ceLogon.aspx?page=Prospectuses&rptcode=D8E

Formulae for calculating gilt price from yieldshttp://www.dmo.gov.uk/documentview.aspx?docname=/giltsmarket/formulae/yldeqns.pdf&page=Gilts/Formulae

Public Works Loan Board (PWLB)http://www.dmo.gov.uk/index.aspx?page=PWLB/Introduction

http://www.dmo.gov.uk/index.aspx?page=PWLB/Introduction

Documents

REVIEW - Debt Management Office† as updated on 23 April 2015. * Northern Rock Asset Management (NRAM) and Bradford and Bingley (B&B). ** The Exchequer’s requirement for financing