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Julian D. A. Wiseman
Abstract: static details of non-conventional gilts
Publication history: only at www.jdawiseman.com/papers/finmkts/gilt_statics_non-conventionals.html. Usual disclaimer and copyright terms apply.
Contents: • Introduction; • Canadian-style Index-Linked Gilts, with three-month lag; • Old-style Index-Linked Gilts, with eight-month lag; • The ‘Perpetuals’; • Floating-Rate Gilts; • Variable-Rate Gilts.
24th September 2016: it is expected that this page will not be updated for a long time. For 8‑month ILGs issued ≥Oct 2016, see the website of the UK Debt Management Office.
As a gilt analyst I collected data on gilts, some of which is still not widely available, so is being published here. Much of the gathered data is about conventionals, which can be found at www.jdawiseman.com/papers/finmkts/gilt_statics.html. This page holds data relating to the index-linked gilts (both three-month and eight-month), perpetuals, floating-rate gilts, and variable-rate gilts.
Most of the fields/columns have the same meaning as those in www.jdawiseman.com/papers/finmkts/gilt_statics.html, wherein descriptions can be found.
In Sep 2001 the DMO consulted “on whether to adopt a new design for new issues of index-linked gilts”. JDAW’s reply advised against; and in January 2002 the DMO concurred. Then in Dec 2004 the DMO consulted about ultra-long gilts (JDAW’s reply), announcing (not consulting) that:
The DMO is also taking the opportunity to introduce a new indexation structure into any new index-linked gilts issued from 2005-06. Specifically, any new index-linked gilt issued from 2005-06 will use a three as opposed to the current eight-month indexation lag to the RPI. This reflects the adoption of a three-month lag as current international best practice. … Note that the DMO does not intend to introduce a deflation floor. The introduction of any new three-month lag index-linked gilts from 2005-06 does not mean that current eight-month lag index-linked gilts cannot be re-opened.
It happens that, in January 2004 the LSE switched from numeric SEDOLs to alphanumeric SEDOLs. So, for all ILGs with an eight-month lag, characters 3-12 of the ISIN are numeric; for all ILGs with a three-month lag character 5 of the ISIN is non-numeric.
A comment on coupons not being zero: the many small payments entail some small administration cost. But those same payments allow tracing of missing holders. If a natural owner dies, or a corporate owner is wound up, with a zero coupon bond this might not be discovered until an attempt is made to pay the principal, perhaps decades later. With a positive coupon the failed payment would be discovered within half a year, soon enough for there to be a good chance of finding the successor owner. This seems sensible. But observe that Germany issues 10-year zero-coupon conventionals, such as the Bund 0% of 15 Aug 2026.
Coupon: the coupons of index-linked gilts, both 3- and 8-monthers, are integer multiples of ⅛%. Even large coupons have been rounded to 12½ basis points: e.g., 4⅛% 30s, 4⅜% 04s, 4⅝% 98s, as well as 1⅞% 22s. Coupons have always been strictly positive, so ≥ 0⅛%, even with very negative real yields.
First coupon amount: real first coupon amounts are not rounded, and are shown in a format that can be copy-pasted into Excel. Cash first coupon amounts are rounded “to six places of decimals”.
|First coupon, real||Orig.
|68s||0.125||22 Mar 2068||249.7||25 Sep 2013||22 Mar 2014||=(0.125/2)*(178/181)||54.49||0⅛% Index-linked Treasury Gilt 2068||GB00BDX8CX86||BBG0057VMB12||68s, on 09 Oct 2013, had a modified duration of 52.78 years, perhaps a record for a gov’t bond.|
|65s||0.125||22 Nov 2065||260.43448||24 Feb 2016||22 May 2016||=(0.125/2)*(88/182)||49.74||0⅛% Index-linked Treasury Gilt 2065||GB00BD9MZZ71||BBG00C63FZY9|
|62s||0.375||22 Mar 2062||235.82903||26 Oct 2011||22 Mar 2012||=(0.375/2)*(148/182)||50.41||0⅜% Index-linked Treasury Gilt 2062||GB00B4PTCY75||BBG0025LSRV9|
|58s||0.125||22 Mar 2058||255.8871||30 July 2014||22 Mar 2015||=(0.125/2)*(1+54/184)||43.64||0⅛% Index-linked Treasury Gilt 2058||GB00BP9DLZ64||BBG006T1F9W1||58s, syndication result on 29 July 2014: “a negative real yield for the first time in a DMO index-linked gilt syndication.”|
|55s||1.250||22 Nov 2055||192.2||23 Sep 2005||22 May 2006||=(1.25/2)*(1+60/184)||50.16||1¼% Index-linked Treasury Gilt 2055||GB00B0CNHZ09||BBG0000BHW05||55s is the first-issued of the Canadian-style UK ‘linkers’; the first named Index-linked Treasury Gilt rather than Index-linked Treasury Stock; and the first linker with a non-numeric SEDOL (not counting the temporary SEDOLs of reopenings).|
|52s||0.250||22 Mar 2052||242.05||26 Sep 2012||22 Mar 2013||=(0.25/2)*(177/181)||39.49||0¼% Index-linked Treasury Gilt 2052||GB00B73ZYW09||BBG003DDJJ99|
|50s||0.500||22 Mar 2050||213.4||25 Sep 2009||22 Mar 2010||=(0.5/2)*(178/181)||40.49||0½% Index-linked Treasury Gilt 2050||GB00B421JZ66||BBG0000NBYJ1|
|47s||0.750||22 Nov 2047||207.76667||21 Nov 2007||22 May 2008||=(0.75/2)*(1+1/184)||40.00||0¾% Index-linked Treasury Gilt 2047||GB00B24FFM16||BBG0000L4515|
|46s||0.125||22 Mar 2046||257.79||24 June 2015||22 Sep 2015||=(0.125/2)*(90/184)||30.74||0⅛% Index-linked Treasury Gilt 2046||GB00BYMWG366||BBG009CQDGT8|
|44s||0.125||22 Mar 2044||242.42258||25 July 2012||22 Mar 2013||=(0.125/2)*(1+59/184)||31.66||0⅛% Index-linked Treasury Gilt 2044||GB00B7RN0G65||BBG0036PB7W8|
|42s||0.625||22 Nov 2042||212.46452||24 July 2009||22 Nov 2009||=(0.625/2)*(121/184)||33.33||0⅝% Index-linked Treasury Gilt 2042||GB00B3MYD345||BBG0000G0PJ7|
|40s||0.625||22 Mar 2040||216.52258||28 Jan 2010||22 Sep 2010||=(0.625/2)*(1+53/181)||30.15||0⅝% Index-linked Treasury Gilt 2040||GB00B3LZBF68||BBG0000GW3R2|
|37s||1.125||22 Nov 2037||202.24286||21 Feb 2007||22 May 2007||=(1.125/2)*(90/181)||30.75||1⅛% Index-linked Treasury Gilt 2037||GB00B1L6W962||BBG0000GRYH1|
|36s||0.125||22 Nov 2036||260.01935||11 Mar 2016||22 May 2016||=(0.125/2)*(72/182)||20.70||0⅛% Index-linked Treasury Gilt 2036||GB00BYZW3J87||BBG00CCP0450|
|34s||0.750||22 Mar 2034||232.22903||25 May 2011||22 Sep 2011||=(0.75/2)*(120/184)||22.83||0¾% Index-linked Treasury Gilt 2034||GB00B46CGH68||BBG001PNKYF6|
|32s||1.250||22 Nov 2032||217.13226||29 Oct 2008||22 May 2009||=(1.25/2)*(1+24/184)||24.06||1¼% Index-linked Treasury Gilt 2032||GB00B3D4VD98||BBG0000VN0M0|
|29s||0.125||22 Mar 2029||237.42||23 Nov 2011||22 Mar 2012||=(0.125/2)*(120/182)||17.33||0⅛% Index-linked Treasury Gilt 2029||GB00B3Y1JG82||BBG002802G17|
|27s||1.250||22 Nov 2027||194.06667||26 Apr 2006||22 Nov 2006||=(1.25/2)*(1+26/181)||21.57||1¼% Index-linked Treasury Gilt 2027||GB00B128DH60||BBG0000C61W8|
|26s||0.125||22 Mar 2026||258.24194||16 July 2015||22 Sep 2015||=(0.125/2)*(68/184)||10.68||0⅛% Index-linked Treasury Gilt 2026||GB00BYY5F144||BBG009KCJHC0|
|New 24s||0.125||22 Mar 2024||242.41935||12 Oct 2012||22 Mar 2013||=(0.125/2)*(161/181)||11.44||0⅛% Index-linked Treasury Gilt 2024||GB00B85SFQ54||BBG003G3FFD5||New 24s, on 11 April 2013 was the first gilt to be auctioned at a real yield below negative one percent, indeed at -1.262%.|
|22s||1.875||22 Nov 2022||205.65806||11 July 2007||22 Nov 2007||=(1.875/2)*(134/184)||15.36||1⅞% Index-linked Treasury Gilt 2022||GB00B1Z5HQ14||BBG0000CDS24||22s, on 23 Aug 2011, was the first gilt to be auctioned at a negative yield (albeit a negative real yield).|
|19s||0.125||22 Nov 2019||249.80645||21 Aug 2013||22 Nov 2013||=(0.125/2)*(93/184)||6.25||0⅛% Index-linked Treasury Gilt 2019||GB00BBDR7T29||BBG0053D1Q98|
|17s||1.250||22 Nov 2017||193.725||08 Feb 2006||22 May 2006||=(1.25/2)*(103/181)||11.79||1¼% Index-linked Treasury Gilt 2017||GB00B0V3WQ75||BBG0000BPHW4|
The introduction of inflation-linked securities was announced in the Budget Speech on 10 March 1981. Further explanation was published in May 1981. This was to be the first large inflation-linked government debt market.
These old-style ILGs have payments with an eight-month lag: the nominal÷real factor is the RPI eight months before the month of payment divided by the RPI eight months before the month of first issue. The eight-month lag ensures that the £ value of a coupon is known before the start of that coupon period, which can then be used for the calculation of accrued interest. However, in January 1987 the RPI was re-based from 394.5 to 100, so some base indices are re-based with a “/3.945”. Prices are quoted nominal.
Nominal payments are rounded: initially to the nearest penny per £100; for ILGs issued after Feb 1982 (so starting with 88s) the number of decimal places was upped to 4; and for the 35s only to 6 decimal places. This is in the “D.P.” column.
|35s||2.000||26 Jan 2035||173.6||6||10 July 2002||26 Jan 2003||1.099091||32.54||2% Index-Linked Treasury Stock 2035||GB0031790826||BBG0000423Y4||
35s was the last-issued of the UK ‘linkers’ with an eight-month lag; the last to be named Index-linked Treasury Stock rather than Index-linked Treasury Gilt; and the last with a numeric SEDOL. It is the only eight-month linker for which payments are rounded to six decimal places; and the only eight-month linker for which the calculation agent is the DMO rather than the BoE.
The auction of 35s on 25 Sep 2002 was uncovered: £900m for sale; £853.12m bids received; 0.95× covered: “The unallocated part of the amount on offer at this auction is being held in official portfolios.” Needless danger: there is a solution.
|30s||4.125||22 July 2030||135.1||4||16 June 1992||22 Jan 1993||2.6102||38.10||4⅛% Index-Linked Treasury Stock 2030||GB0008932666||BBG00001FPJ4||The auction of 30s on 28 Apr 1999 was uncovered: £500m for sale; £470.3m bids received; 0.94× covered: “The unallotted part of the amount on offer at the auction is being held in official portfolios. It will not be made available to the market at a price below the striking price for a period of at least two-months.”|
|Old 24s||2.500||17 July 2024||=385.3/3.945||4||31 Dec 1986||17 July 1987||1.1809||37.55||2½% Index-Linked Treasury Stock 2024||GB0008983024||BBG00000KDS7|
|20s||2.500||16 Apr 2020||=327.3/3.945||4||12 Oct 1983||16 Apr 1984||1.1138||36.51||2½% Index-Linked Treasury Stock 2020||GB0009081828||BBG00000KDR8||Of the gilts issued before 29 May 1985, linker 20s will be the last to mature (preceded by 16s).|
|16s||2.500||26 July 2016||=322/3.945||4||19 Jan 1983||26 July 1983||1.0911||33.52||2½% Index-Linked Treasury Stock 2016||GB0009075325||BBG00000KDQ9||Of the gilts issued before 29 May 1985, linker 16s was the second-last to mature (to be followed by 20s). At maturity the principal payment was £318.2953 per £100.|
|13s||2.500||16 Aug 2013||=351.9/3.945||4||21 Feb 1985||16 Aug 1985||1.228||28.49||2½% Index-Linked Treasury Stock 2013||GB0009036715||BBG00000KDP0||At maturity the principal payment was £276.6768 per £100.|
|11s||2.500||23 Aug 2011||=294.1/3.945||2||28 Jan 1982||23 Aug 1982||1.26||29.57||2½% Index-Linked Treasury Stock 2011||GB0009063578||BBG00000KDN2||At maturity the principal payment was £306.37 per £100.|
|09s||2.500||20 May 2009||=310.7/3.945||4||19 Oct 1982||20 May 1983||1.5161||26.59||2½% Index-Linked Treasury Stock 2009||GB0009071563||BBG00081MWT2||At maturity the principal payment was £277.3054 per £100.|
|06s||2.000||19 July 2006||=274.1/3.945||2||08 July 1981||19 Jan 1982||0.92||25.03||2% Index-Linked Treasury Stock 2006||GB0009061317||BBG00072MKQ0||On 19 July 2001 £½bn 06s switch-auctioned into 16s. At maturity the principal payment was £278.63 per £100.|
|04s||4.375||21 Oct 2004||135.6||4||23 Sep 1992||21 Apr 1993||1.8017||12.08||4⅜% Index-Linked Treasury Stock 2004||GB0009982686||BBG0006J7R22||At maturity the principal payment was £135.5457 per £100.|
|03s||2.500||20 May 2003||=310.7/3.945||4||27 Oct 1982||20 May 1983||1.4592||20.56||2½% Index-Linked Treasury Stock 2003||GB0009066365||BBG00066HZH5||At maturity the principal payment was £225.5011 per £100.|
|01s||2.500||24 Sep 2001||=308.8/3.945||4||26 Aug 1982||24 Mar 1983||19.08||2½% Index-Linked Treasury Stock 2001||GB0009065391||BBG000K2LKC1||At maturity the principal payment was £218.5846 per £100.|
|99s||2.500||22 Nov 1999||=322.9/3.945||4||04 May 1983||22 Nov 1983||1.206||16.55|| 2½% Index-Linked Treasury
Convertible Stock 1999
At maturity the principal payment was £200.4876 per £100 (the BoE press release containing a titling error).
|98s||4.625||27 Apr 1998||135.6||4||21 Sep 1992||27 Apr 1993||2.2448||5.60||4⅝% Index-Linked Treasury Stock 1998||GB0009982579||BBG0003K0P32||At maturity the principal payment was £116.8879 per £100.|
|96s||2.000||16 Sep 1996||=267.9/3.945||2||27 Mar 1981||16 Sep 1981||0.8||15.47||2% Index-Linked Treasury Stock 1996||GB0009056556||BBG00039CGB5||
The first-issued UK ‘linker’. And the joys of inefficient markets! According to the BoE Quarterly Bulletin, June 1981, p176, bidding was in multiples of 25 pence, and prices bid ranged from ≤£89¾ to ≥£130 (and was issued at par, suggesting that the BoE also didn’t know). Compare: I have argued for a bidding resolution “at least as fine as 0.1¢ or an eighth of a thirty-second”.
At maturity the principal payment was £221.17 per £100.
|94s||2.000||16 May 1994||102.9||4||02 June 1988||5.96||2% Index-Linked Treasury Stock 1994||GB0009079632||At maturity the principal payment was £137.9008 per £100.|
|92s||2.000||23 Mar 1992||=385.8/3.945||4||18 Feb 1987||23 Sep 1987||5.10||2% Index-Linked Treasury Stock 1992||GB0009077925||At maturity the principal payment was £136.8172 per £100.|
|90s||2.000||25 Jan 1990||=333.9/3.945||4||05 Jan 1984||25 July 1984||6.06||2% Index-Linked Treasury Stock 1990||GB0009095943||At maturity the principal payment was £135.8715 per £100.|
|88s||2.000||30 Mar 1988||=297.1/3.945||4||19 Mar 1982||30 Sep 1982||6.03||2% Index-Linked Treasury Stock 1988||GB0009062166||At maturity the principal payment was £135.1736 per £100.|
Much funding used to be via callable gilt-edged securities with no final maturity date. Income, and more income, and no promise of ever seeing the principal. Some could be redeemed only by Parliament, which delegated this power to the DMO in the Finance Act 2015, s.124 (see announcement in §A.1 on p93 of the Autumn Statement 2014, and explanatory notes for the legislation). All the perpetuals were redeemed during 2015. The following table draws heavily on (and adds to) pp23-24 of the DMO Annual Review 2014-15.
|Formal name||Amount in
|4% Consolidated Loan (1957 or after)||218.4||1 Feb/Aug||19 Jan 1927||01 Feb 1957||1 Feb 2015||GB0002163466||BBG00000KF66||Issued for cash and in exchange for 5% Treasury Bonds 1927, 4% National War Bonds 1927, 5% National War Bonds 1927, 5% Treasury Bonds 1933-1935, 4½% Treasury Bonds 1932-1934 and 4½% Treasury Bonds 1930-1932.|
|3½% War Loan (1952 or after)||1938.6||1 Jun/Dec||01 Dec 1932||01 Dec 1952||9 Mar 2015||GB0009386284||BBG00000KF57||
The shortest Bloomberg ticker for 3½% War Loan was ZZ2036940 Govt.
|3½% Conversion Loan (1961 or after)||15.6||1 Apr/Oct||01 Apr 1921||01 Apr 1961||1 Apr 2015||GB0002212099||BBG00000KF48||
Issued in exchange for 5% National War Bonds 1922, 1923 (Apr and Sep), 1924 (Feb and Oct),1925 (Apr and Sept). Had an active sinking fund.
The shortest Bloomberg ticker for 3½% Conversion was ZZ2036932 Govt.
|3% Treasury Stock (1966 or after)||34.6||1 Apr/Oct||01 Mar 1946||05 Apr 1966||8 May 2015||GB0009031211||BBG00000KF20||Issued in exchange for Bank Stock in accordance with the provisions of the Bank of England Act 1946.|
|2¾% Annuities||0.7||5 Jan/Apr/Jul/Oct||17 Oct 1884||05 Jan 1905||5 July 2015||GB0000436294||BBG000022GR7||Issued by exchange for New 3% Annuities, Reduced 3% Annuities and Consolidated 3% Annuities, as detailed in the The London Gazette, 8 Aug 1884, pp3573-4.|
|2½% Treasury Stock (1975 or after)||220.9||1 Apr/Oct||28 Oct 1946||01 Apr 1975||5 July 2015||GB0009031096||BBG00000KDV3||
Issued for cash.
The shortest Bloomberg ticker for 2½% Treasury was ZZ2036973 Govt.
|2½% Consolidated Stock (1923 or after)||162.1||5 Jan/Apr/Jul/Oct||5 Apr 1888||05 Apr 1923||5 July 2015||GB0002163805||BBG00000KDT6||
Issued in exchange for Consolidated 3% Annuities (1752), Reduced 3% Annuities (1752) and New 3% Annuities (1855).
The shortest Bloomberg ticker for 2½% Consols was ZZ2036965 Govt.
|2½% Annuities||0.9||5 Jan/Apr/Jul/Oct||13 Jun 1853||05 Jan 1905||5 July 2015||GB0000436070||BBG000022GQ8||
Issued in exchange for South Sea Stock, Old South Sea 3% Annuities, New South Sea 3% Annuities, Bank 3% Annuities (1726) and 3% Annuities (1751).
The shortest Bloomberg ticker for 2½% Annuities was GG7183682 Govt.
In 1994, with a bond-market crash continuing, the BoE issued a floater, paying (a private fixing of) Libid minus 12½bp. Two years later a second was issued.
There was and is a daily market fixing of Lɪʙᴏʀ, but not of Libid. Why use a private fixing? Was the BoE already aware of the problems that would later become the Lɪʙᴏʀ scandal? Or was it beneath the Old Lady’s dignity to use the same fixing as everybody else? Or both?
One coupon payment was mis-calculated. Bank of England, 20 Oct 1994: “The Floating Rate gilt, first issued in March 1994 with a further tranche in June, pays interest at 1/8% below the London Interbank bid rate for three-month deposits. The rate is reset every three months. By mistake, the interest payment to be made on 9 September was set on the wrong date, on 10 June rather than on 9 June. The error came to light when the next payment was being set, in September. Had the rate been correctly set, it would have been 0.01562% higher and the recipients of the interest payment on 9 September would have received an extra 0.39 pence per £100 nominal of stock. These persons are being individually notified and extra amounts are being paid with interest. The Bank is also contacting holders of the stock at the time the incorrect rate was announced who subsequently sold stock and may have suffered loss. The Bank regrets this mistake.”
Nominal size was £2½bn+£2bn = £4½bn; error was 0.39 pence per £100; so the under-payment totalled £175,500.
The used fixing of Libid was a private fixing, and done only when needed, so it is not clear how the BoE could have known the value of this private fixing on a date on which it was not done. Three-month GBP Libor dropped 1.563bp between the 9th and 10th: perhaps this was used, with a small error added to hide the mechanism (perhaps, cunningly, an error chosen such that it was removed by rounding). Moral: needless complexity is needless.
|Libid−⅛%||10 July 2001||27 June 1996||08 Oct 1996||5.04||Floating Rate Treasury Stock 2001||GB0009997551||BBG0005LCMZ7|
|Libid−⅛%||11 Mar 1999||31 Mar 1994||09 June 1994||4.95||Floating Rate Treasury Stock 1999||GB0008880139||BBG0004HCW03|
Three Treasury Variable Rate Stocks (TVRS) have been issued: in May 1977 (to mature in November 1981), July 1977 (maturing in June 1982); and January 1979 (March 1983). Each was for £400 million with interest payable half-yearly, at an annual rate ½% above the daily average of the rate of discount on 91-day Treasury bills over a previous six-month period.
Errors of punctuation and maturity date—the Bank was sloppier then! The correct maturity is confirmed by the BoE QB, June 1983, p178: “the authorities … were committed to buying (at prices of their own choosing) whatever amounts of Variable Rate Treasury Stock 1983 (whose maturity date was 24 May) were offered to them.”
Wormell (1985), pp107-108:
There appear to be six reasons for the failure of the experiment. … Fifth, the ½ per cent margin over the Treasury bill discount rate become worth less, as a proportion of the rate, as interest rates rose: ½ per cent over a 7 per cent rate is very different from ½ per cent over 14 per cent. Finally, the return was based on the discount rate on Treasury bills and not the yield. The difference absorbed the ½ per cent margin when the discount rate on bills reached 13·914 per cent.
Belchamber (March 1988), p73:
Interest was paid semi-annually at the average of the weekly three-month Treasury bill rate over the period from the preceding ex-dividend date to the ex-dividend date prior to the payment plus a margin of 50 basis points in yield.
There were three issues in the late 1970s of £400m each. They were redeemable in 1981, 1982, and 1983 with maturities at issue of four, five, and six years respectively. These issues were not ultimately successful. The coupon structure was fully mismatched. A three-month rate was used to determine a semi-annual payment of a weekly refixing basis. This complexity made analysis virtually impossible and acted as a deterent to investors. No such issues currently exist.
|24 May 1983||26 Jan 1979||4.33||Variable Rate Treasury Stock 1983||GB0090485623|
|15 June 1982||01 July 1977||4.96||Variable Rate Treasury Stock 1982||GB0090393843|
|17 Nov 1981||27 May 1977||4.47||Variable Rate Treasury Stock 1981||GB0090341180|
— Julian D. A. Wiseman
London, February 2016 (and later updates)
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