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Conventional Gilts, ≥1946

Julian D. A. Wiseman

Abstract: static details of conventional gilts, ≥1946.

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Publication history: only at www.jdawiseman.com/papers/finmkts/gilt_statics.html. Usual disclaimer and copyright terms apply.

Contents: • Introduction; • The columns; • The Gilts; • Coupon Strips.

Also see details about linkers and perpetuals and floaters.


Introduction (↓ to The Gilts ↓, ⇓ to Coupon Strips ⇓)

Sources awaiting attention—a note to self. Readers are asked to send more such sources to the author.
DateSourceTitle or subject
1998HMT/BoE2 1/2 Treasury 1986–2016
02 Mar 1965London GazetteRedemption and Conversion of Defence Bonds (Conversion Issue) and 3½% Defence Bonds (Second Conversion Issue
(No maturities given, but for former holders given choice of redemption at £103 or exchange into 5% National Development Bonds (Second Conversion Issue).)
12 July 1965HansardNew Schedule.—(Capital Gains: Government Securities Issued at a Discount.)
1954–1957National ArchivesConversion of 1¾% Serial Funding Stock 1954 into 2½% Exchequer Stock 1963–64 and 3½%…

As a gilt analyst I collected data on gilts, some of which is still not widely available, so is being published here. Its main use might be for those back-building yield curve models: gilt first coupon amounts are not otherwise easily available.

This is a list of conventionals (including callable conventionals), but not linkers, nor perpetuals, nor floaters, nor variable rates (details of which are in www.jdawiseman.com/papers/gilt_statics_non-conventionals.html). For the conventional gilts maturing ≥1992 the data is believed to be correct. Gilts maturing ≤1991 are more likely to have errors, and doubtless many gilts are missing. Of course, please let the author know of errors, of omissions, and of sources of quality information. (The table on the right is a note-to-self of sources awaiting attention. Please suggest additions to it.)

The columns (↓ to The Gilts ↓, ⇓ to Coupon Strips ⇓)

Short name: since at least the early 1990s gilts have been known by an abbreviation, coupon then two-digit year, with coupon fractions represented by upper-case letters: Q=¼ (Quarter), H=½ (Half), and T=¾ (Three quarters). Hence 12Q92 was 12¼% of 1992. Effective April 2017 the rounding of coupons was changed from 25bp to integer multiples of 12½bp: the letter abbreviations for the eighths fractions being E=⅛ (one Eighth), R=⅜ (thʀee eighths), F=⅝ (Five eighths), and S=⅞ (Seven eighths). For the multiples of a quarter, pronunciation is as follows: 4%60 = ‘fours sixty’; 4Q55 = ‘four cues fifty-five’; 3H68 = ‘three and a halves sixty-eight’ or ‘three halves sixty-eight’; and 1T57 = ‘one threes fifty-seven’. The abbreviation of callable gilts was longer, including both the year of first-possible call and the year of final maturity: e.g., 5H0812 was 5½% of 2008–12; typically only the years being pronounced: ‘oh eight twelves’. This construction of short names has been assumed for older gilts, with variations for the 6H76s.

The DMO’s policy is that coupon-year be unique, as was made apparent by note 2 of the announcement on 06 March 2007 of the creation of 5Q12 (mentioning the pre-existence of 5%12):

The terms of the DMO’s financing remit set by HM Treasury state that the coupon for a new gilt will be set as far as possible to price it close to par at the time of issue. For new conventional gilts coupons are set in multiples of ¼%. On the basis of current yields, the multiple of ¼% that would most precisely meet this criterion is 5%. However, setting the coupon at this level would result in two bonds maturing in the same year with the same coupon …. In order to avoid any potential market confusion between the two bonds, the DMO has decided to set the coupon at the multiple of ¼% that is next closest to prevailing market yields, i.e. 5¼%. The DMO will be gathering views in the forthcoming year regarding options for handling any similar situation in the future.

Contrast to the US, in which even coupon and month and year does not always uniquely identify a Treasury: e.g., there is a 1⅝% 15Aug2022 and a 1⅝% 31Aug2022 (I think bad policy); and other pairs. Indeed, there were seventeen different US Treasuries maturing in 2015 that had a coupon of 0¼%; and eleven with a coupon of 1⅜% matured in 2020. In Germany there is a 1½% 15Feb2023 and a 1½% 15May2023; in France there is a 0¾% 25May2028 and a 0¾% 25Nov2028; in Italy a 0.95% 01Mar2023 and a 0.95% 15Mar2023; and in Spain a 1.4% 30Apr2028 and a 1.4% 30July2028. But in gilts coupon-year has been unique since summer 1976. (Month-year-type likely to be unique ≥2009, but there have been exceptions: 15Q96 and 13Q96 both matured in May 1996; 7%02 and 9H02 both matured in June 2002; and 13H0408 and 5%08 both had a final maturity in March 2008, though the former was called before. Also there might eventually be an ILG maturing 22nd of the same March as a conventional maturing on the 7th, though probably with different coupons.)

Until 1995 re-openings were done in the form of a ‘tranche’, issued with zero accrued and an odd next coupon. On the ex-dividend date of that next coupon the tranche would merge into the ‘parent’ stock. These tranches were labelled with letters: e.g., the Oct-1995 re-opening of 8%15 was “8%15A”.

In each table the links in the left-most column are self-links, linking to that row of the table.

Coupon: from WW2 until April 2017 the coupons of conventional gilts were integer multiples of ¼%. Even large coupons were rounded to 25 basis points: e.g., 15Q96 and 8T17.

However, as reported in the Minutes of the quarterly consultation meetings with GEMMs and end-investors on 28 November 2016 (§C), “The DMO reported that, from the start of the 2017-18 financial year, it will set coupons on new conventional gilts in increments of ⅛%, in line with the practice on index-linked gilts”. This was echoed in the Spring Budget 2017: DMO Financing Remit 2017-18, ¶8: “From 2017-18 the DMO will set coupons on new conventional gilts in increments of ⅛%.” Why? Perhaps with yields generally lower, it becomes more likely that a new 5-year would have a yield near the coupon of an old 10-year. Finer rounding would halve the likelihood of such a collision. (But it’s peculiar that there isn’t a statement about collision policy other than the note 2 of the announcement on 06 March 2007 of the creation of 5Q12.)

Coupons are always strictly positive, so ≥0⅛%.

Formal name: gilts used to be issued with a variety of names, often “Treasury” or “Exchequer” or “Funding”, often followed by “Stock” or “Loan”, but sometimes with a more peculiar name. The only material difference was that Loans could be held in bearer form. Anyway, the name did not affect the credit, nor the perception of credit, and was generally ignored. From 1994 (after the issuance of 7%97), until 2005, new conventional gilts were named “Treasury Stock”. Then on 13 May 2005 the DMO announced that “British Government Stocks first issued on or after 1 April 2005 will be titled as Gilts (i.e. Treasury Gilt). The change of name is presentational only and does not represent any change to the underlying characteristics of the instrument.” The last issued of the Treasury Stocks was 4T20; the first of the Treasury Gilts was 4Q55. But, for emphasis, the name really doesn’t matter, and most gilt investors would not know the name of a gilt that wasn’t recently issued—because there is no purpose to knowing the name.

DateAmount
9T03 per
£100 10H92
07 Nov 1985£98
07 May 1986£96
07 Nov 1986£94
07 May 1987£92
07 Nov 1987£90

The word “Convertible” in the name of a gilt indicates that it had an embedded option allowing the holder to choose to convert it to some fixed quantity of another gilt, typically longer. The table on the right shows the dates and ratios for the conversion of 10H92 into 9T03: it was typical for dates to be half-yearly, with the ratio worsening linearly. If the destination stock did not exist prior to such a conversion, as was often true, its name would include the word “Conversion”. However, the word “conversion” also had another meaning: the authorities have, from time to time, offered to exchange (to ‘convert’) one gilt into another, either at a fixed price, or by a switch auction (Consultation Paper on Gilt Switch Auctions of July 1999; Response of Sep 1999). For example such conversions were used to enlarge strippable gilts, the source often being old high-coupon double-dated non-strippables.

Maturity: some older gilts have a mis-match between the name and the available record of maturity date. These were all double-dated, so the recorded maturity date might have been the result of being called. There are four coupon series, coloured in the table: 07 June/Dec (strippable since 8 Dec 1997—announcement, official guide); 07 Mar/Sep (since 2 Apr 2002); 22 Jan/July (not strippable); and 22 Apr/Oct (not strippable). In early 2020 there were also created gilt maturing near the end of January, on the 30th (0E26) and 31st (0E23, 0E28). The last non-standard-date conventional gilt to be issued was 7%97 (and immediately prior to that 6Q10); the last to mature was 8T17.

First settle date: the links are to the prospectuses on the DMO website. The most recently issued gilt missing its prospectus is the last convertible to be issued, 7%97, for which the screen announcement is quoted. If you have the prospectus for 7%97 (or any others), please upload or send to the author. Prospectuses issued after May 1985 (so starting with 10%04) refer to the statement issued by Her Majesty’s Treasury on 29 May 1985. Some prospectuses mentioned the Stock Transfer Act 1963; and some later prospectuses mentioned the Stock Transfer Act 1982 (which allowed “Transfer of certain securities through a computerised system”!).

It used to be that prospectuses were also published in the newspapers, and some from The Times are quoted. Publication in the press stopped in August 2003 (announcement, letter).

First coupon date. The DMO’s current policy, albeit not documented, is for the first coupon period to be at least 60 days: if a short first coupon would be ≤59 days, the first coupon period is long. The most recent conventional exceptions are 5%14 (issued July 2002, short, 44 days), and 8H05 (issued Sep 1994, long, if short would have been 69 days). The only ILG exception is 55s (issued Sep 2005, if short would have been 60 days).

First coupon amount: the formula by which a first coupon was computed changed in November 1998 (¶29), between the issues of 6%28 and 5T09, at the same time as the change in accrual from Act/365 to Act/Act. Also it seems that in early 1978 the rounding changed from two decimal places to four; and it might be that earlier that decade decimalisation had changed the rounding from 1d to 1p.

Some ancient first coupons had another complication. Gilts were sometimes issued ‘partly paid’: that is, a further payment was due. The last instance of this was 7%01A, announced 15 Feb 1994, settled 24 Feb 1994, at the auction price of ≥£52232, with a further £50 payable on 04 Apr 1994. The most recent new (non-re-opening) gilt to be partly paid was 6Q10: on 27 Jan 1994 the price bid at auction, (≥£481532); and on 14 Mar 1994 another £50. Some issues had three payments, most recently 7Q98B, on 11 Apr 1993 ≥£211632; on 16 Aug 1993 £35; and on 13 Sep 1993 £47832. (The most recent four-payment issue was in Apr 1937; the most recent five-payment was in Dec 1935.) A partly-paid gilt accrued proportionately more slowly than a fully-paid gilt, commensurately affecting the first coupon. E.g., the unrounded first coupon on 6Q10 was 6.25 × ( (£100−£50)/£100 × (14Mar1994−27Jan1994) + 1 × (25May1994−14Mar1994) ) / 365 = 6.25×(0.5×46 + 1×72)/365 ≈ 1.6267123, rounded to exactly £1.6268. Some earlier partly-paids, such as 9%08, worked in the reverse order: the last part payment was “Balance of purchase money”, which would have delayed fungibility. (I don’t know when the BoE realised this and switched to having the ‘balance’ as the first payment, but beween 9%08 in Feb 1987 and 8T17 in April 1992.)

ISIN: securities listed on the London Stock Exchange were (and still are) assigned a Sᴇᴅᴏʟ, an acronym for Stock Exchange Daily Official List. From this can be derived an ISIN by: removing the hyphens; prefixing with “GB00”; and postfixing with the ISIN checksum. So Sᴇᴅᴏʟ=“0-905-042” ⇔ ISIN=“GB0009050427”. For older gilts, for which a Sᴇᴅᴏʟ was known but not an ISIN (ISINs started in 1981), the ISINs in the table have been derived from the Sᴇᴅᴏʟs. Most Sᴇᴅᴏʟs, and hence ISINs, seem to have been unique, known exceptions being 10H97=6T71A, and the re-use of the Sᴇᴅᴏʟs of 6T73 and 6Q72 for equities.

Principal Strip ISIN: the links are to the announcement of the ISIN of the principal strip, except that if this could not be found (6H03), to the announcement of strippability.

Financial Instrument Global Identifier: an identifier system claimed to be cheaper than ISINs, and of broader reach. Based upon Bloomberg’s internal symbology, but as an open standard. See OpenFIGI.com for more information.

The Gilts (⇑ Top ⇑, ↓ to Coupon Strips ↓)

Short
Name
Cpn Maturity
(First call date)
First
settle date
First
coupon date
First cpn
amount
Orig.
term
Formal name (Implied)
ISIN,
FIGI
P.O.
Strip:
ISIN,
FIGI
Notes
1E73 1.125 22 Oct 2073 09 Feb 2022 22 Apr 2022 0.222527 51.70 1⅛% Treasury Gilt 2073 GB00BLBDX619
BBG0151HW5Z3

0E73 is the longest conventional gilt, the previous longest having been 1F71.

When the maturity was announced, on 25 Jan 2022, the coupon-adjusted maturity (see pop-up title in 1F71) of the 1F71 was 48.03 years. So this new ’73 gilt was then about 3.7 years longer than the Oct 2071.

1F71 1.625 22 Oct 2071 16 May 2018 22 Oct 2018 0.705943 53.43 1⅝% Treasury Gilt 2071 GB00BFMCN652
BBG00KTFMWZ7

The minutes of the DMO Consultation Meetings on 19 March 2018 said “within the range of 2070-2074, but with a slight preference towards the 2071-2073 area”. The quarterly calendar released 23 March 2018 (discussed in 28s) specified a “new long conventional gilt maturing in the period 2070 to 2073”. And at issue 1F71 was, in a coupon-adjusted sense, about 7.8 years longer than the 3H68.

1F71 was the second conventional gilt, after 1F28, to have a coupon not a multiple of a quarter percent.

1F71 was longest conventional gilt from issue until Feb 2022 when 0E73 was issued, the previous longest having been 3H68.

3H68 3.500 22 July 2068 26 June 2013 22 Jan 2014 2.001381 55.07 3½% Treasury Gilt 2068 GB00BBJNQY21
BBG004P3X2V2

Re choice of maturity, there was a consultation. JDAW’s reply (Super-longs: an early response, which referred to Please, only one more long) said: not perpetual; at least a decade longer than 4%60 so ≥2070; ≤2211; and semi-strippable. The DMO’s response mentioned “potential demand for super-long gilts would be mostly for maturities out to 60 years”, and that the “risk of fragmenting ultra-long supply and liquidity was highlighted by a number of respondents to the consultation”. (Indeed, so why only 55 years? And why, 2⅓ years later, the ‘fragmentation’ of the very similar 2H65, which was only slightly shorter and slightly lower coupon?)

The announcement of the syndication result said “This is the longest maturity gilt to be issued by the UK Government since 1937”, with a footnote adding “£69.8 million (nominal) of 3% Redemption 1986-96 was issued on 17 August 1937” (4Q55 < 3H68 < 3%8696). And 3H68 was longest conventional gilt from issue until May 2018 when 1F71 was issued, the previous longest having been 4%60.

2H65 2.500 22 July 2065 21 Oct 2015 22 Jan 2016 0.631793 49.75 2½% Treasury Gilt 2065 GB00BYYMZX75
BBG00B631MJ2
2H65 has greater duration than 3H68 (yield≥0 ⟹ until at least 2023), though smaller ‘tenure’ = Macaulay-Weil convexity ÷ Macaulay-Weil duration, which is the natural measure for the time-length of a bond.
4%63 4.000 22 Oct 2063 17 May 2023 22 Oct 2023 1.726776 40.43 4% Treasury Gilt 2063 GB00BMF9LF76
BBG01G6SV4H4
0H61 0.500 22 Oct 2061 20 May 2020 22 Oct 2020 0.211749 41.42 0½% Treasury Gilt 2061 GB00BMBL1D50
BBG00TSXQSV9

0H61 has greater duration than 2H65 (yield≥0 ⟹ until at least July 2040).

The reopening on 8 Mar 2023 was at a price of £33.234, the lowest post-WW2 sale price of any gilt (yield ≈ 3.821%).

4%60 4.000 22 Jan 2060 22 Oct 2009 22 Jan 2010 1 50.25 4% Treasury Gilt 2060 GB00B54QLM75
BBG0000DN950

Press release 2 Oct 2009: “The new 2060 maturity conventional gilt to be sold at the next syndicated offering will be the first gilt to be issued on a new coupon series of 22 January/22July.” (11T0307, 12%9902, 13Q97, 14%96, 12T92, and 13Q87 having matured.)

4%60 was longest conventional gilt from issue until Jun 2013 when 3H68 was issued, the previous longest having been 4Q55.

1T57 1.750 22 July 2057 25 Jan 2017 22 July 2017 0.860497 40.49 1¾% Treasury Gilt 2057 GB00BD0XH204
BBG00FQGQBM5
4Q55 4.250 07 Dec 2055 27 May 2005 07 Dec 2005 2.253434 50.53 4¼% Treasury Gilt 2055 GB00B06YGN05
BBG0000B53Q4
GB00B0BDTV10
BBG0000BSR59

Re choice of maturity, see consultation, JDAW’s response, and the DMO’s response.

4Q55 was the first to be issued of the Treasury Gilts, the previous decade of new issues, ending with 4T20, having been Treasury Stocks.

4Q55 was longest conventional gilt from issue until Oct 2009 when 4%60 was issued, the previous longest having been 4T38. It is still the longest strippable gilt, and hence the longest of the gilts paying on 07June/Dec.

1F54 1.625 22 Oct 2054 15 May 2019 22 Oct 2019 0.710383 35.44 1⅝% Treasury Gilt 2054 GB00BJLR0J16
BBG00P35L559

The previous new gilt, 1T49, was issued 245 days before, the largest gap between new gilts since June 2002 when 5%08 was issued 272 days after 5%25.

4R54 4.375 31 July 2054 24 Jan 2024 31 July 2024 2.27072 30.52 4⅜% Treasury Gilt 2054 GB00BPSNBB36
BBG01KYBYP36
3T53 3.750 22 Oct 2053 25 Jan 2023 22 Apr 2023 0.896291 30.74 3¾% Treasury Gilt 2053 GB00BPCJD997
BBG01C9QT7M4
1H53 1.500 31 July 2053 22 Oct 2021 31 Jan 2022 0.411685 31.78 1½% Green Gilt 2053 GB00BM8Z2V59
BBG012SDG1Q7
3T52 3.750 22 July 2052 28 Sep 2011 22 Jan 2012 1.182065 40.82 3¾% Treasury Gilt 2052 GB00B6RNH572
BBG0024CKPC3
1Q51 1.250 31 July 2051 28 Apr 2021 31 July 2021 0.324586 30.26 1¼% Treasury Gilt 2051 GB00BLH38158
BBG0104LS863
0F50 0.625 22 Oct 2050 10 June 2020 22 Oct 2020 0.228825 30.37 0⅝% Treasury Gilt 2050 GB00BMBL1F74
BBG00V5L55N7
With yield≥0, the 0F50 will have a duration: greater than that of 4%60 until Jan 2022; greater than that of 4Q55 until June 2031; and greater than that of 3T52 until July 2039 (and for longer with yields positive).
4Q49 4.250 07 Dec 2049 03 Sep 2008 07 Dec 2008 1.103142 41.26 4¼% Treasury Gilt 2049 GB00B39R3707
BBG0000SFL04
GB00B3FMYZ45
BBG00001L084
The auction of 4Q49 on 25 Mar 2009 was uncovered: £1,750m for sale; £1,627.161m bids received; 0.93× covered. “Competitive bids made at prices at and above £93.00 have been allotted in full. Competitive bids made at prices below £93.00 have been rejected.”—“The terms of the prospectus for this stock provide that the DMO reserves the right to reject any competitive bid or part of any competitive bid.” (Price=£93 ⟹ yield≈4.634%.) Needless danger: there is a solution.
1T49 1.750 22 Jan 2049 12 Sep 2018 22 Jan 2019 0.627717 30.36 1¾% Treasury Gilt 2049 GB00BFWFPP71
BBG00LWRPTD3

Aeons before, some gilts had nicknames. In particular, 9%00 and 13%00 were a pair, known as “Baby Greeks” and “Big Greeks”. It seems natural to say that 2049 = ’49s = forty-niners = Miners, for both the historical reference and the rhyme. So this 1T49 = Baby Miners and 4Q49 = Big Miners. Alternatively, a friend has suggested “Minor Miners” and “Major Miners”. (Or, if the name has to be geographical, though I like this less, Californias = Calis (pronounced Calees): Baby Calis and Big Calis.) Please do let me know of any developments.

1H47 1.500 22 July 2047 21 Sep 2016 22 Jan 2017 0.501359 30.84 1½% Treasury Gilt 2047 GB00BDCHBW80
BBG00DSPQPB9
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The prospectus released on 13 September 2016 said “the first interest payment will be due on 22 January 2017 at the rate of £110.50 per £100 nominal of the Gilt.” (The first coupon was correct in the press release, so markets were not misled.) The DMO was told on the evening of Tue 13 Sept; and late afternoon on Wed 14 Sep published a new version: “This Document Replaces the Version First Published on 13 September 2016”. (That second prospectus should have been dated 14th Sept, but was actually dated 13th Sept.)
4Q46 4.250 07 Dec 2046 12 May 2006 07 Dec 2006 2.428571 40.57 4¼% Treasury Gilt 2046 GB00B128DP45
BBG0000C9869
GB00B15F3H46
BBG0000CP709
0S46 0.875 31 Jan 2046 20 Jan 2021 31 July 2021 0.463655 25.03 0⅞% Treasury Gilt 2046 GB00BNNGP775
BBG00YY9ZP86

8%21 was first issued at the end of Feb 1996, with 25.27 years to maturity. Its first auction was of £3bn nominal, ≈£2.97bn cash. Between then and 2021: UK CPI rose 1.65× and RPI more than doubled; the gilt market more than quintupled; the auction size of US long bonds more than doubled (in 1996 a $12bn auction of 6% Feb2026, and $10bn of the 6¾ Aug2026; in 2020–’21 auctions of $27bn of each of 1⅝ Nov2050, 1⅞ Feb51, 1⅜ May2051, and 2% Aug2051); and 2000 to 2021 hedge fund assets rose twentyfold from $214bn to $4.3tr. Yet since Feb 1996 the auction size of 25-year gilts has shrunk, 0S46 having four auctions of £2bn (Apr 2021, May 2021, June 2021, Aug 2021), and one of £1.75bn (Nov 2021); and after the 2022 price fall auctions of £2bn (Sep 2022, price≈61.60, with PAOF cash≈£1.542bn) and £2¼bn (Nov 2022, price≈£57, cash≈£1.299bn). Even including the post-auction option facility, the largest, a quarter century after £3bn of 8%21 was auctioned, has been of only £2.5bn. Thus the DMO reveals its own distrust of its auction mechanism. There is better.

3H45 3.500 22 Jan 2045 25 June 2014 22 Jan 2015 2.01105 30.58 3½% Treasury Gilt 2045 GB00BN65R313
BBG006N6HZM7
3Q44 3.250 22 Jan 2044 24 Oct 2012 22 Jan 2013 0.794837 31.24 3¼% Treasury Gilt 2044 GB00B84Z9V04
BBG003H46RK8
4T43 4.750 22 Oct 2043 16 Nov 2023 22 Apr 2024 2.050546 19.93 4¾% Treasury Gilt 2043 GB00BPJJKP77
BBG01JZV7734
4H42 4.500 07 Dec 2042 06 June 2007 07 Dec 2007 2.262363 35.50 4½% Treasury Gilt 2042 GB00B1VWPJ53
BBG0000J2ZP0
GB00B2494Q05
BBG0000KDJJ8
1Q41 1.250 22 Oct 2041 22 Jan 2020 22 Apr 2020 0.310792 21.75 1¼% Treasury Gilt 2041 GB00BJQWYH73
BBG00RCQDP18

The previous new gilt, 0S29, had its ISIN announced with the quarterly calendar. As originally published on 19 Nov 2019, the quarterly calendar for Jan to Mar 2020 did not give the ISIN of this new 2041. But it was “re-published” (email phrasing) on 06 Dec 2019 to include the ISIN.

I think advance publication of the ISIN is good. It’s most useful for bonds deliverable into a futures contract: investors need to model the delivery option so must include the forthcoming bond with an estimated coupon; such a security needs an identifier within the analytics; a temporary identifier that must then be updated is needless hassle with no public-policy advantage.

4Q40 4.250 07 Dec 2040 30 June 2010 07 Dec 2010 1.857923 30.44 4¼% Treasury Gilt 2040 GB00B6460505
BBG0000HBW99
GB00B56HGD49
BBG0018L18Z5
From Oct 2009, when 4%60 started the 22Jan/July coupon series, until Nov 2016 when the 1T37 was issued, 4Q40 was the only new ≥10½-year gilt not paying on 22Jan/July.
4Q39 4.250 07 Sep 2039 05 Mar 2009 07 Sep 2009 2.148481 30.51 4¼% Treasury Gilt 2039 GB00B3KJDS62
BBG0000WRHX5
GB00B61LFT72
BBG0000D7725

4Q39 started its WI trading on 24 Feb 2009, which was before the 4%22 finished trading WI (its first settlement day being 27 Feb 2009). This was the most recent occasion that two new gilts’ WI periods overlapped.

4Q39 is the longest of the gilts paying on 07Mar/Sep.

1E39 1.125 31 Jan 2039 14 July 2021 31 Jan 2022 0.615331 17.55 1⅛% Treasury Gilt 2039 GB00BLPK7334
BBG011P69NW0
4T38 4.750 07 Dec 2038 23 Apr 2004 07 Dec 2004 2.959016 34.62 4¾% Treasury Stock 2038 GB00B00NY175
BBG000086XN7
GB00B0125J88
BBG000091KK1
4T38 was longest conventional gilt from issue until May 2005 when 4Q55 was issued, the previous longest having been 4Q36. It will be the last to mature of the Treasury Stocks, as those maturing later are Treasury Gilts.
3T38 3.750 29 Jan 2038 09 Nov 2022 29 Jan 2023 0.825408 15.22 3¾% Treasury Gilt 2038 GB00BQC4R999
BBG01B0DNYV1
1T37 1.750 07 Sep 2037 09 Nov 2016 07 Mar 2017 0.570442 20.83 1¾% Treasury Gilt 2037 GB00BZB26Y51
BBG00F5MW006
GB00BZ4TGS74
BBG00GNNYDL9
The first 07Mar/Sep ≥10½-year to be issued since 4%60 started the 22Jan/July coupon series.
4Q36 4.250 07 Mar 2036 27 Feb 2003 07 Sep 2003 2.218923 33.03 4¼% Treasury Stock 2036 GB0032452392
BBG0000547V3
GB0032727876
BBG00001YV91
4Q36 was longest conventional gilt from issue until Apr 2004 when 4T38 was issued, the previous longest having been 4Q32.
0F35 0.625 31 July 2035 09 Sep 2020 31 Jan 2021 0.244565 14.89 0⅝% Treasury Gilt 2035 GB00BMGR2916
BBG00X2TXPF3
4H34 4.500 07 Sep 2034 17 June 2009 07 Sep 2009 1.002717 25.22 4½% Treasury Gilt 2034 GB00B52WS153
BBG0000D14P3
GB00B4JYZV64
BBG0000559Y5

See comment in 0S46 re auction sizes. All auctions of 4H34, which like 8%21 and 0S46 was issued as a 25-year, have been £2bn: Nov 2009, Feb 2010, May 2010, Nov 2010, Aug 2011, and June 2020. Thus the DMO reveals its own distrust of its auction mechanism.

4F34 4.625 31 Jan 2034 12 Oct 2023 31 Jan 2024 1.395041 10.30 4⅝% Treasury Gilt 2034 GB00BPJJKN53
BBG01JMFW9L1

On 01 Sep 2023 the DMO was reminded of, and asked to heed the precedent of, the announcement on 06 March 2007 about the creation of 5Q12. It was explicitly requested that this new Jan 2034 not have a coupon of 4½%. On the announcement day, the 4H34 was yielding ≈4.7%, so the coupon decision was between 4⅝ and 4¾.

0S33 0.875 31 July 2033 22 Sep 2021 31 Jan 2022 0.311481 11.86 0⅞% Green Gilt 2033 GB00BM8Z2S21
BBG012BLK2Y1

Inaugural ‘Green’ gilt, the non-greens being colloquially assigned the colour brown. Described in §3 of the Information Memorandum of 14 September 2021, which points to The UK Government Green Financing Framework of June 2021. FT, 21 Sep 2021: UK’s debut ‘green gilt’ sale draws blockbuster demand.

On 20 Jan 2020, so 1⅔ years before, the FT had reported UK bond chief Stheeman expresses doubts on green gilts: presumably HMT had a change of mind.

3Q33 3.250 31 Jan 2033 11 Jan 2023 31 July 2023 1.801630 10.06 3¼% Treasury Gilt 2033 GB00BMV7TC88
BBG01BYVMKP2
From calendar: “Exceptionally, the DMO is announcing the coupon on this new gilt earlier than usual on this occasion, with a view to facilitating trading in the March 2023 long gilt futures contract”, into which the 3Q33 was a plausible CTD. I thought a good decision. The ISIN and all the cashflows were known, yet WI trading did not start immediately. The GEMM Guidebook was unclear about the extent to which market-making duties include WI, and so even less clear about this deeper WI: “GEMMs are committed to make, on demand and in all conditions, continuous and effective two-way prices to their clients, in all gilts for which they are recognised as a market maker.
4Q32 4.250 07 June 2032 25 May 2000 07 Dec 2000 2.275956 32.03 4¼% Treasury Stock 2032 GB0004893086
BBG00001YK86
GB0009139048
BBG000019JZ7

4Q32 was longest conventional gilt from issue until Feb 2003 when 4Q36 was issued, the previous longest having been 6%28.

An unusual announcement: Accrued Interest Calculations on 4¼% Treasury Stock 2032 until 7 December 2000.

It used to be that re-openings of conventional gilts did not have a “Re-opening Prospectus”. The first to do so was 4Q32, in Nov 2000.

Three switch auctions, 8%15→4Q32: on 22 June 2000 £1½bn, on 27 Sep 2000 £1½bn, and on 06 Dec 2000 £2bn.

The reopening on 21 May 2020 was almost twenty years after original issue, perhaps the longest such gap.

1%32 1.000 31 Jan 2032 02 Dec 2021 31 Jan 2022 0.163043 10.16 1% Treasury Gilt 2032 GB00BM8Z2T38
BBG013RQ5VY4

On 27 Oct 2021 the planned first sale was moved from 17 Nov 2021 to 01 Dec 2021.

At 10.16 years the shortest post-WW2 new 10-year: see note in 8%03.

4%31 4.000 22 Oct 2031 29 Feb 2024 22 Oct 2024 2.579235 7.64 4% Treasury Gilt 2031 GB00BPSNBF73
BBG01LMYR8M2
0Q31 0.250 31 July 2031 13 Nov 2020 31 Jan 2021 0.053668 10.72 0¼% Treasury Gilt 2031 GB00BMGR2809
BBG00Y3L4KR7
4T30 4.750 07 Dec 2030 03 Oct 2007 07 Dec 2007 0.843579 23.18 4¾% Treasury Gilt 2030 GB00B24FF097
BBG0000BSR86
GB00B29WTS18
BBG0000CCR81
0R30 0.375 22 Oct 2030 13 May 2020 22 Oct 2020 0.165984 10.44 0⅜% Treasury Gilt 2030 GB00BL68HH02
BBG00SSK75H6

The original announcement said that the first settlement date would be 15 May 2020; later announcement said syndication on 12 May 2020.

A syndication of a 10-year bond that matures only 48 days away from an existing bond?! November 2008: “Syndication has a purpose, and this is not it.” June 2010: “partway-to-Paraguay” (though I’ve become keener on the PAOF since that essay was written).

0S29 0.875 22 Oct 2029 19 June 2019 22 Oct 2019 0.298839 10.34 0⅞% Treasury Gilt 2029 GB00BJMHB534
BBG00NPSJ5F2

For gilts issued between 1997 (7Q07) and 2018, the ISIN had been announced with the coupon, only a few days before the auction (or, for syndications, not far from the time of announcement of the coupon). This was the first gilt for which the ISIN had been announced with the quarterly calendar (an improvement requested by me on 15 Mar 2019—so good responsiveness by the DMO). Compare to Germany, which announces the ISINs with the annual calendar; and France which announces an ISIN slightly after the bond’s static details.

••29 •.••• 22 July 2029 01 May 2024 22 July 2024 •.•••••• 5.22 ••% Treasury Gilt 2029 GB00BQC82B83
BBG0••••••••
0H29 0.500 31 Jan 2029 02 Sep 2021 31 Jan 2022 0.205163 7.41 0½% Treasury Gilt 2029 GB00BLPK7227
BBG0129NSLP0
6%28 6.000 07 Dec 2028 29 Jan 1998 07 June 1998 2.1205 30.86 6% Treasury Stock 2028 GB0002404191
BBG00005CXH3
GB0002444007
BBG00005Z1S6

6%28 was the last new gilt to be issued by the Bank of England; in April 1998 responsibility moved to the Debt Management Office.

6%28 was the longest conventional gilt from issue until May 2000 when 4Q32 was issued, the previous longest having been 8%21. It was the first ≥30Y conventional in almost two decades, since 12%1317. Of the gilts of which the first coupon was computed with the old Act/365 formula, 6%28 was the last to be issued and will be the second-last to mature (followed by 8M ILG 30s).

Issuance not anticipated by the calendar is rare. On 05–06 Aug 1999 a surprise tap of 6%28 softened the squeeze in longs then happening: £400m nominal sold at a clean price of 125.30 so about £505,331,148 cash.

£1½bn 8%15 was switch-auctioned into 6%28 in Feb 2000 (announcement, result).

1F28 1.625 22 Oct 2028 16 Mar 2018 22 Oct 2018 0.977679 10.60 1⅝% Treasury Gilt 2028 GB00BFX0ZL78
BBG00K8738R1

The first gilt in the 22 Apr/Oct coupon series. There was no comment in the announcement of the new coupon series, nor even in the auction announcement, but the agenda for the DMO’s investor meeting on 21 Aug 2017 had requested feedback “on whether there is merit in the creation of new coupon series for future new conventional and/or index-linked gilts.” That was followed by the issue of the first of the 10th Aug ILGs, 48s, and then by this 1F28.

It is the second conventional gilt, after 0T23, issued after the rounding of conventional coupons was changed from quarters (%/Q/H/T) to eighths (%/E/Q/R/H/F/T/S) of a percent, and the first for which this was relevant (1F28 being followed by 1F71, 1F54, 0S29, 0F25, 0E23).

On 01 April 2020 the DMO sold £3bn of 1F28 by ‘tender’ (announcement, result). Tenders are a strange non-auction auction, only partly calendared, of which I disapprove. Tenders started on Oct 2008 with £1bn of 4%09 (announcement, result), four more being listed with approximate dates in the calendar for ’09Q1, published 5 Dec 2008. Subsequent calendars have been less specific. Formal policy was announced in March 2009: “Mini-tenders will typically be around half the size of conventional and index-linked gilt auctions of equivalent maturity” (from ¶60 of ‘III Taps & Tenders’ of Official Operations in The Gilt-Edged Market; and similar in ¶5.14 of Provisional debt management report 2009-10). Tenders are partly-calendared mini non-auction auctions.

There used to be a non-calendar issuance type called ‘tap’. Taps were small and non-scheduled. But: “Conventional gilts are issued by tap only on exceptional occasions for market management reasons” (source, missing from DMO website). In my professional life there has been only one off-calendar mini non-auction auction that I thought excellent debt management: on 05–06 Aug 1999, a surprise tap of 6%28 which softened the squeeze in longs then happening. Indeed for my taste the purpose of this type of sale is a deterrent against the possibility of a squeeze—if the deterrent is successful, it will never be used; funding through tenders being mere calendar evasion.

4H28 4.500 07 June 2028 21 June 2023 07 Dec 2023 2.077869 4.96 4½% Treasury Gilt 2028 GB00BMF9LG83
BBG01H059G04
0E28 0.125 31 Jan 2028 12 June 2020 31 Jan 2021 0.079327 7.64 0⅛% Treasury Gilt 2028 GB00BMBL1G81
BBG00V94C599
This Press Notice has been updated to reflect a corrected Long First Coupon amount per £100 nominal payable on the Next Interest Payment Date.”
4Q27 4.250 07 Dec 2027 06 Sep 2006 07 Dec 2006 1.068306 21.25 4¼% Treasury Gilt 2027 GB00B16NNR78
BBG0000DL774
GB00B1HYR000
BBG0000FKFC6
1Q27 1.250 22 July 2027 15 Mar 2017 22 July 2017 0.445442 10.35 1¼% Treasury Gilt 2027 GB00BDRHNP05
BBG00G5GVKZ6
3T27 3.750 07 Mar 2027 11 Jan 2024 07 Sep 2024 2.451923 3.15 3¾% Treasury Gilt 2027 GB00BPSNB460
BBG01KVMYCC4
4E27 4.125 29 Jan 2027 13 Oct 2022 29 Jan 2023 1.210598 4.30 4⅛% Treasury Gilt 2027 GB00BL6C7720
BBG019Y0YBQ1
0R26 0.375 22 Oct 2026 03 Mar 2021 22 Oct 2021 0.239011 5.64 0⅜% Treasury Gilt 2026 GB00BNNGP668
BBG00ZF1T9P5
1H26 1.500 22 July 2026 18 Feb 2016 22 July 2016 0.638736 10.43 1½% Treasury Gilt 2026 GB00BYZW3G56
BBG00C6FWS15
0E26 0.125 30 Jan 2026 03 June 2020 30 Jan 2021 0.082074 5.66 0⅛% Treasury Gilt 2026 GB00BL68HJ26
BBG00SSK93Y0
The first conventional gilt to mature on the 30th of the month since 15H98. The announcement of the maturity date gave no reasoning; indeed, didn’t even mention the new coupon date, nor the 31st date of the new 2023. The original announcement said that it would first settle on 26 June; the second announcement said 03 June.
3H25 3.500 22 Oct 2025 18 Jan 2023 22 Apr 2023 0.903846 2.76 3½% Treasury Gilt 2025 GB00BPCJD880
BBG01BYVNNT1

Even shorter than 0E23, so the shortest new gilt since 8%90 (but that was convertible).

In an irrelevant concidence, at issue this had 1008 days to maturity, being 1½ pipes, being the size of the print run of the second edition of Port Vintages. Strangely, the DMO’s announcement omitted to mention this.

2%25 2.000 07 Sep 2025 20 Mar 2015 07 Sep 2015 0.929348 10.46 2% Treasury Gilt 2025 GB00BTHH2R79
BBG0088JSC32
GB00BWXBPL93
BBG008LYS398
0F25 0.625 07 June 2025 03 July 2019 07 Dec 2019 0.268101 5.93 0⅝% Treasury Gilt 2025 GB00BK5CVX03
BBG00PH5SP35
GB00BK5H1X54 The first new gilt paying 07June/Dec since 4Q40 in June 2010. And, despite my nudging, its principal strip doesn’t have a FIGI.
5%25 5.000 07 Mar 2025 27 Sep 2001 07 Mar 2002 2.223757 23.44 5% Treasury Stock 2025 GB0030880693
BBG00004SL94
GB0030880701
BBG00002FMD5
5%25 strippable from 2 April 2002.
0Q25 0.250 31 Jan 2025 02 July 2021 31 Jan 2022 0.145028 3.58 0¼ Treasury Gilt 2025 GB00BLPK7110
BBG011LP9H91
2T24 2.750 07 Sep 2024 12 Mar 2014 07 Sep 2014 1.337636 10.49 2¾% Treasury Gilt 2024 GB00BHBFH458
BBG0063J4TQ5
GB00BLSNW788
BBG006F91JB5
1%24 1.000 22 Apr 2024 25 July 2018 22 Oct 2018 0.243169 5.74 1% Treasury Gilt 2024 GB00BFWFPL34
BBG00LG783Z7
0E24 0.125 31 Jan 2024 07 Oct 2020 31 Jan 2021 0.039402 3.32 0⅛% Treasury Gilt 2024 GB00BMGR2791
BBG00XP7QHG1
2Q23 2.250 07 Sep 2023 12 June 2013 07 Sep 2013 0.531929 10.24 2¼% Treasury Gilt 2023 GB00B7Z53659
BBG004NDJGQ3
GB00BBR6CX43
BBG004TR33F4
0T23 0.750 22 July 2023 20 July 2017 22 Jan 2018 0.379144 6.01 0¾% Treasury Gilt 2023 GB00BF0HZ991
BBG00H47N4L5

The first conventional gilt issued after the rounding of conventional coupons was changed from quarters (%/Q/H/T) to eighths (%/E/Q/R/H/F/T/S) of a percent. But that wasn’t relevant this time (it was for the next new conventional gilt, 1F28).

0T23, on 20 May 2020, was the first conventional gilt to be auctioned at a negative yield (FT).

0E23 0.125 31 Jan 2023 08 Apr 2020 31 July 2020 0.039148 2.81 0⅛% Treasury Gilt 2023 GB00BL68HG94
BBG00SSK0M13

Even shorter than 3Q11, so the shortest new gilt since 8%90 (but that was convertible).

The first post-WW2 gilt to mature on the 31st of the month. The announcement of the maturity date gave no reasoning about the new coupon date; indeed, didn’t even mention it, and nor did the updated quarterly calendar. The new 30Jan2026, announced at the same time, pays coupons one day earlier: why? My preference is against month-end maturities. 31Jan/31July is OK, but if a bond matures on 30Sep, is the other coupon paid on 30Mar or 31Mar? More data to track; another thing to go wrong.

This might be the lowest ever coupon on a conventional gilt (strips and T-Bills being 0%; but of the twenty-seven Canadian-style linkers issued ≤Mar 2020, fourteen also have a coupon of 0⅛%.

1T22 1.750 07 Sep 2022 22 June 2012 07 Sep 2012 0.366168 10.21 1¾% Treasury Gilt 2022 GB00B7L9SL19
BBG0033NGJ37
GB00B7Y41699
BBG0036R7Q39
0H22 0.500 22 July 2022 03 Aug 2016 22 Jan 2017 0.233696 5.97 0½% Treasury Gilt 2022 GB00BD0PCK97
BBG00DGV1YW4
twitter
Prospectus: “Payable … With a non-competitive bid by any other applicant… £103 per £100 nominal of the Gilt”. This might be the first time that retail bidders, in a conventional auction, had to pay a deposit equivalent to a negative yield (albeit only −0.27bp).
4%22 4.000 07 Mar 2022 27 Feb 2009 07 Sep 2009 2.088398 13.03 4% Treasury Gilt 2022 GB00B3KJDQ49
BBG0000TFSH9
GB00B3V6KP22
BBG0000RT5N1

On 24 Feb 2009, which was before the 4%22 finished trading WI, the 4Q39 started its WI trading. This was the most recent occasion that two new gilts’ WI periods overlapped.

3T21 3.750 07 Sep 2021 18 Mar 2011 07 Sep 2011 1.762908 10.47 3¾% Treasury Gilt 2021 GB00B4RMG977
BBG001KKJLR4
GB00B458RZ05
BBG001M7VL06
8%21 8.000 07 June 2021 29 Feb 1996 07 June 1996 2.1699 25.27 8% Treasury Stock 2021 GB0009997999
BBG00000RV82
GB0000515816
BBG000050VZ0
8%21 was longest conventional gilt from issue until Jan 1998 when 6%28 was issued, the previous longest having been 8T17. And if the reader will allow a sad observation, 8%21 has an ISIN—double treble nine—that is as cool as an ISIN can be.
1H21 1.500 22 Jan 2021 03 Sep 2015 22 Jan 2016 0.574728 5.39 1½% Treasury Gilt 2021 GB00BYY5F581
BBG009WLNRT2
3T20 3.750 07 Sep 2020 10 June 2010 07 Sep 2010 0.906929 10.24 3¾% Treasury Gilt 2020 GB00B582JV65
BBG0000NLL44
GB00B3X8RF54
BBG000062YV4
2%20 2.000 22 July 2020 03 Sep 2014 22 Jan 2015 0.766304 5.89 2% Treasury Gilt 2020 GB00BN65R198
BBG0071KKY56
4T20 4.750 07 Mar 2020 29 Mar 2005 07 Sep 2005 2.091033 14.94 4¾% Treasury Stock 2020 GB00B058DQ55
BBG00009ZB15
GB00B09JC451
BBG00003ZFW5

4T20 was the last to be issued of the Treasury Stocks, subsequent new issues, so starting with 4Q55, being Treasury Gilts.

3T19 3.750 07 Sep 2019 08 July 2009 07 Sep 2009 0.621603 10.16 3¾% Treasury Gilt 2019 GB00B4YRFP41
BBG00005K7P2
GB00B3W51667
BBG0000L10F4
1T19 1.750 22 July 2019 22 Nov 2013 22 Jan 2014 0.290082 5.67 1¾% Treasury Gilt 2019 GB00BDV0F150
BBG005KS0Z42
4H19 4.500 07 Mar 2019 26 Sep 2008 07 Mar 2009 2.013812 10.45 4½% Treasury Gilt 2019 GB00B39R3F84
BBG0000TB921
GB00B3FGZ752
BBG000042WC4
1Q18 1.250 22 July 2018 15 Feb 2013 22 July 2013 0.542127 5.44 1¼% Treasury Gilt 2018 GB00B8KP6M44
BBG0043NCCN2
5%18 5.000 07 Mar 2018 25 May 2007 07 Sep 2007 1.42663 10.78 5% Treasury Gilt 2018 GB00B1VWPC84
BBG0000HV8Z1
GB00B23K1Q33
BBG0000D5G45
1%17 1.000 07 Sep 2017 08 Mar 2012 07 Sep 2012 0.497283 5.50 1% Treasury Gilt 2017 GB00B7F9S958
BBG002PZXX10
GB00B79PS226
BBG003876P52
8T17 8.750 25 Aug 2017 30 Apr 1992 25 Aug 1992 2.1744 25.32 8¾% Treasury Stock 2017 GB0008931148
BBG00001BDZ7

8T17 was longest non-callable conventional gilt from issue until Feb 1996 when 8%21 was issued. It was the last to mature of the conventional gilts with non-standard dates: all longer conventional gilts paying 07 June/Dec or 07 Mar/Sep or 22 Jan/July (as of 8T17’s maturity date).

Heinous villainy! From FCA Final Notice, 20 Mar 2014:

“Stevenson … bought £331 million of the UKT 8.75% 2017 … between 09:00 and 14:30 on 10 October 2011. The Bond was relatively illiquid and Mr Stevenson’s purchases represented approximately 2,700% of the average daily volume traded for the Bond in the previous four months and 92% of the value of the Bond purchased in the IDB market on 10 October 2011. The price and yield of the Bond significantly outperformed all gilts of similar maturity on 10 October 2011, as a direct result of Mr Stevenson’s trading.”

“This trading took place on the first day of the second round of Quantitative Easing …. Offers for sale of eligible gilts to the Bank of England could be made by GEMMs between 14:15 and 14:45 on 10 October 2011. Mr Stevenson offered to sell £850 million of the Bond to the Bank of England on 10 October, which included the £331 million acquired that day. Mr Stevenson’s offer price to the Bank of England was based upon the prevailing market price for the Bond, which had been heavily influenced upwards by his trading that day.”

“The Authority has concluded that Mr Stevenson’s trading on 10 October 2011 was designed to move the price of the Bond, in an attempt to sell it to the Bank of England at an abnormal and artificial level, …”

Trying to rob the taxpayer: idiotic and criminal; rightly punished. (Links: Bloomberg; BBC; FT.)

But the BoE’s QE transaction mechanism — judging offers relative to an immediately prior market price — was manifestly rubbish. From ¶4.15: “Gilts … were purchased by the BOE … provided that they were being offered to the BOE at market price.” So the BoE bought those that were cheapest relative to the market price. If the screen price were high, BoE would pay high. This was after the Lɪʙᴏʀ scandal had started: surely the bad incentive should have been obvious. (Understandably, the BoE seems to hide its detailed rules for buying gilts, and the history of them. See ¶63 of the Dec 2010 Red Book, and a market notice of Aug 2017.) Of course, the correct thing to do is to accept the cheapest offers, where ‘cheapness’ is relative to a smooth yield curve. That being the case, QE would contribute to market efficiency, rather than incentiving inefficiency.

8T17, on 22 July 2016, was the first conventional gilt to have a negative closing yield.

1T17 1.750 22 Jan 2017 19 Aug 2011 22 Jan 2012 0.741848 5.43 1¾% Treasury Gilt 2017 GB00B3Z3K594
BBG001Z0DKP2
4%16 4.000 07 Sep 2016 02 Mar 2006 07 Sep 2006 2.055249 10.51 4% Treasury Gilt 2016 GB00B0V3WX43
BBG0000BZP46
GB00B14XYM13
BBG0000CMXD1
2%16 2.000 22 Jan 2016 03 Nov 2010 22 Jan 2011 0.434783 5.22 2% Treasury Gilt 2016 GB00B3QCG246
BBG00184ZRP5
8%15 8.000 07 Dec 2015 26 Jan 1995 07 June 1995 2.8932 20.86 8% Treasury Stock 2015 GB0008881541
BBG00000BYN6
GB0000513878
BBG000050VW3

J.P.Morgan research dated 18 Jan 1995: Anomalies VI: 07Dec2015 ⟹ Gilt Strips Inevitable.

12%1317, in December 1996, mostly converted into 8%15.

By switch auction £1.5bn nominal of 8%15 converted into 6%28 on 09 Feb 2000 (announcement, memorandum, result); £1.5bn into 4Q32 on 22 June 2000 (a., m., result); £1.5bn into 4Q32 on 27 Sep 2000 (a., m., result); and £2bn into 4Q32 on 06 Dec 2000 (a., m., result).

On 29 June 2001 8%15 became the second gilt to be created and lent under the DMO’s Special Repo Facility, having been preceded by 5T09, and was followed by 6H03.

4T15 4.750 07 Sep 2015 26 Sep 2003 07 Mar 2004 2.127060 11.95 4¾% Treasury Stock 2015 GB0033280339
BBG000087FV6
GB0033711341
BBG00005WTK6
At 11.95 years the longest post-WW2 new ‘10-year’: see note in 8%03.
2T15 2.750 22 Jan 2015 04 Nov 2009 22 Jan 2010 0.590353 5.22 2¾% Treasury Gilt 2015 GB00B4LFZR36
BBG0000MRCF8
5%14 5.000 07 Sep 2014 25 July 2002 07 Sep 2002 0.597826 12.12 5% Treasury Stock 2014 GB0031829509
BBG00006WLZ5
GB0031836298
BBG00004ZLM1
2Q14 2.250 07 Mar 2014 20 Mar 2009 07 Sep 2009 1.045516 4.96 2¼% Treasury Gilt 2014 GB00B3KJDW09
BBG0000XVF17
GB00B3T1V122
BBG0000QSC59
12%1317 12.000 12 Dec 2017
(12 Dec 2013)
15 June 1978 12 Dec 1978 5.2881 35.49 12% Exchequer Stock 2013–2017 GB0003252318
BBG000018N16
12%1317 in December 1996 mostly converted into 8%15 (announcement, ratio, provisional result, final result). It was called to mature on 12 Dec 2013; it was the last of the ‘double-dates’ and the last of the Exchequer Stocks.
8%13 8.000 27 Sep 2013 01 Apr 1993 27 Sep 1993 3.4192 20.49 8% Treasury Stock 2013 GB0008921883
BBG000010YM7
4H13 4.500 07 Mar 2013 05 Mar 2008 07 Sep 2008 2.274725 5.01 4½% Treasury Gilt 2013 GB00B29WRG55
BBG0000MS982
GB00B39MWF67
BBG0000HW3T8
9%12 9.000 06 Aug 2012 07 Feb 1992 06 Aug 1992 3.6555 20.50 9% Treasury Stock 2012 GB0008938465
BBG00001QYX7
A little 9%12 was converted from 7%97 (from memory, a non-economic exercise of a little over a million). In July 2001 most of 9%12 was converted into 5%12.
5Q12 5.250 07 June 2012 16 Mar 2007 07 June 2007 1.197115 5.23 5¼% Treasury Gilt 2012 GB00B1L6WG32
BBG0000GXYP5
GB00B1YLLR99
BBG0000JD253
See Short names § about the the announcement on 06 March 2007 of the creation of 5Q12.
5%12 5.000 07 Mar 2012 25 May 2001 07 Sep 2001 1.42663 10.78 5% Treasury Stock 2012 GB0030468747
BBG00006V5Q1
GB0030468960
BBG00002DHQ4

From the press release of 15 May 2001 announcing the 5%12: “This stock will be the first strippable stock issued to have strip dates other than 7 June and 7 December.” And then strippable from 2 April 2002.

On 21 June 2001 £1.4bn 8H07 converted by switch auction into 5%12; and in July 2001 most of 9%12 was converted into 5%12.

7T1215 7.750 26 Jan 2015
(26 Jan 2012)
26 Jan 1972 26 July 1972 3.875 40.00 7¾% Treasury Loan 2012–2015 GB0009026674
BBG00000HM38

From the prospectus: “Her Majesty’s Treasury reserve to themselves the right to redeem the Loan, in whole or in part, by drawings or otherwise, at par on or at any time after 26th January 2012 on giving not less than three months’ notice in the London Gazette.” Note the “by drawings”: by random assignment, drawn as from a bingo cage!

Called to mature on 26 Jan 2012.

3Q11 3.250 07 Dec 2011 14 Nov 2008 07 June 2009 1.829235 3.06 3¼% Treasury Gilt 2011 GB00B3F2K012
BBG0000P3W18
GB00B3KCXT64
BBG0000XR1Z6

With the Great Financial Crisis unfolding, the issuance in the previous quarterly calendar was deemed insufficient, as set out in a written ministerial statement. 3Q11 was the shortest new gilt since 8%90 (but that was convertible).

There was an unusual ISIN error in an announcement of the reopening in March 2009. Perhaps this was part of the motivation for ceasing to have a separate WI security?

9%11 9.000 12 July 2011 12 July 1987 12 Jan 1988 4.50 24.00 9% Conversion Loan 2011 GB0002215225
BBG00000HM83
9%11 was converted from 10%91. 9%11 had several similar nicknames including ‘turbos’, all relating to the Porsche 911.
4Q11 4.250 07 Mar 2011 09 Nov 2005 07 Mar 2006 1.385359 5.33 4¼% Treasury Gilt 2011 GB00B0LNX641
BBG00009GL78
GB00B0WCHF77
BBG0000BVXB5
6Q10 6.250 25 Nov 2010 27 Jan 1994 25 May 1994 1.6268 16.83 6¼% Treasury Stock 2010 GB0008890161
BBG000022SR1

The last gilt of which its first issue was partly paid: see § on First coupon amount.

On 28 Sep 2001 6Q10 became the fourth gilt to be created and lent under the DMO’s Special Repo Facility, having been preceded by 5T09, 8%15, and 6H03.

4T10 4.750 07 June 2010 19 Nov 2004 07 June 2005 2.608607 5.55 4¾% Treasury Stock 2010 GB00B0330274
BBG00096XLZ5
GB00B05JHW29
BBG000086S76
5T09 5.750 07 Dec 2009 30 July 1998 07 Dec 1998 2.04235 11.35 5¾% Treasury Stock 2009 GB0003042636
BBG000069078
GB0003042743
BBG000069087

The first new gilt to be issued by the Debt Management Office, and the first of which the first coupon was computed with the Act/Act six-decimal-places formula.

On 29 December 2000 5T09 became the first gilt to be lent under the DMO’s Special Repo Facility: “An additional STG 1146.5 million of 5 3/4 % Treasury Stock 2009 has today been created and made available to the market under the terms of the DMO’s standing repo facility that was introduced on the 1st June 2000. … The DMO has been given general collateral at the Bank of England’s repo rate against the stock it has lent”. That was returned on 2 Jan 2001; on 3 Jan 2001 another £125m was created and lent; on the following day returned; on 5 Jan 2001 another £466m; on the Monday returned; and another £574m on 11 Jan 2001; returned; £344m on 5 Mar 2001; returned. The next gilt to be so created and lent was 8%15.

Second-shortest reopening of a gilt (after that of 4%09) was of 5T09, £1½bn ‘mini-tender’ on 06 Jan 2009, so only 0.92 years (announcement, result).

8%09 8.000 25 Sep 2009 23 Apr 1986 25 Sep 1986 2.2679 23.42 8% Treasury Stock 2009 GB0009125369
BBG0008SHQX7
Last part-payment 14 July 1986. In November 1998 mostly converted into 5T09, and more converted by a switch facility between 11 Jan 1999 and 21 Sep 1999.
4%09 4.000 07 Mar 2009 14 May 2003 07 Sep 2003 1.26087 5.81 4% Treasury Stock 2009 GB0032785924
BBG0008DR164
GB0033020826
BBG0008DR173
Shortest ever reopening of a gilt was of 4%09, £1bn ‘mini-tender’ on 20 Oct 2008, so only 0.38 years, per written ministerial statement described in 3Q11.
9%08 9.000 13 Oct 2008 12 Feb 1987 13 Oct 1987 5.0372 21.67 9% Treasury Loan 2008 GB0009128371
BBG000869BG6
9%08 was squeezed ahead of delivery into the March 1998 future: an unfortunate end to the BoE’s role as debt manager. In August 2002 mostly converted into 5%08.
5H0812 5.500 10 Sep 2012
(10 Sep 2008)
05 Oct 1960 10 Mar 1961 2.5875 47.93 5½% Treasury Stock 2008–2012 GB0009032284
BBG00084NV53

On 10 July 1995 this gilt and 3H9904 were mentioned in a Written Answer by the Chancellor of the Exchequer, Mr. Kenneth Clarke.

Called to mature on 10 Sep 2008.

5%08 5.000 07 Mar 2008 26 June 2002 07 Sep 2002 0.991848 5.70 5% Treasury Stock 2008 GB0031734154
BBG0007Z59D5
GB0031737496
BBG0007Z59F3
7Q07 7.250 07 Dec 2007 29 Jan 1997 07 June 1997 2.5623 10.86 7¼% Treasury Stock 2007 GB0009997114
BBG0007TTVB6
GB0000509314
BBG0007TTVG1
The first new gilt to have an ISIN mentioned in its auction announcement. The ISIN of the WI principal strip was GB0001885085.
8H07 8.500 16 July 2007 16 July 1986 16 Jan 1987 3.7198 21.00 8½% Treasury Loan 2007 GB0009126557
BBG0007725Z4
Last part-payment 18 Aug 1986. On 21 June 2001 £1.4bn 8H07 converted by switch auction into 5%12.
4H07 4.500 07 Mar 2007 13 Feb 2004 07 Sep 2004 2.534341 3.07 4½% Treasury Stock 2007 GB0034040740
BBG0007CQGH3
GB0034258821
BBG0007CQGS1
7H06 7.500 07 Dec 2006 28 Sep 1995 07 Dec 1995 1.4384 11.19 7½% Treasury Stock 2006 GB0009998302
BBG00077BDJ5
GB0000508233
BBG00077BDN0

An important auction announcement, at JPM the author anticipating it on 31 Aug 1995 in The Sep Gilt Auction Announcement; then on 20 Sep 1995 quoting and discussing in New 7½% ’06; 07Dec’s to be Strippable (“7 1/2% Treasury 2006 will, together with 8% Treasury 2000, 8 1/2% Treasury 2005, and 8% Treasury 2015, be eligible for stripping when the gilt strips facility is introduced”).

That first auction of 7H06, on 27 Sep 1995, was only 0.99× covered: £3bn for sale, £28.6m “retained in official portfolios”; “The unallotted part of the amount on offer at the auction is being held in official portfolios. It will not be sold for a period of at least two months, and in any event only in stable market conditions.” From memory, in this era auction the result usually appeared about 50 minutes after the bid-submission deadline; this auction of 7H06 took 72 minutes.

Five months before I had discussed with Peter Andrews of gemmd an improved mechanism that would guarantee no failed auctions (version of Mar 1999, and of May 2010). Not only should it be done, it should have been done then—its one serious fault being that nobody else is doing it.

9T06 9.750 15 Nov 2006 15 May 1986 15 Nov 1986 4.875 20.50 9¾% Conversion Stock 2006 GB0009021956
BBG00076FRP5
Tiny; created by a (small) conversion from 10Q89.
7T06 7.750 08 Sep 2006 27 May 1993 08 Sep 1993 1.8632 13.28 7¾% Treasury Stock 2006 GB0008916024
BBG000742SD5
J.P.Morgan research dated 18 Aug 1995: One Series of Gilt Strips; Not 7¾% ’06. (Second strip series, 07 Mar/Sep not 08 Mar/Sep, so indeed not 7T06, started 2 April 2002.)
8H05 8.500 07 Dec 2005 29 Sep 1994 07 June 1995 5.8453 11.19 8½% Treasury Stock 2005 GB0008880808
BBG0006VVN81
GB0000507938
BBG0006VVNH1
8H05 was the first issued of the strippables, though that wasn’t known until 8%00 was announced one month later.
10H05 10.500 20 Sep 2005 16 Jan 1985 20 Sep 1985 6.5672 20.68 10½% Exchequer Stock 2005 GB0003270005
BBG0006SN7T9

Last part-payment 18 Feb 1985.

10H05 was the last to mature of the non-callable gilts with a coupon ≥10%.

9H05 9.500 18 Apr 2005 18 Apr 1985 18 Oct 1985 4.75 20.00 9½% Conversion Stock 2005 GB0008987777
BBG0006P1QM4
9H05 was converted from 9H89.
6T04 6.750 26 Nov 2004 30 Sep 1993 26 May 1994 3.9761 11.16 6¾% Treasury Stock 2004 GB0008889619
BBG0006K5P98
The antepenultimate gilt of which its first issue was partly paid: see § on First coupon amount.
9H04 9.500 25 Oct 2004 25 Oct 1984 25 Apr 1985 4.75 20.00 9½% Conversion Stock 2004 GB0002212982
BBG0006JJ206
9H04 was converted from 10%90. In July 1999 mostly converted into 5%04.
5%04 5.000 07 June 2004 23 June 1999 07 Dec 1999 2.281421 4.96 5% Treasury Stock 2004 GB0006686579
BBG0006FTX32
GB0007359606
BBG0006FTX41
In July 1999 most of 9H04 converted into 5%04 (initial announcement, ratio, provisional result, final result). Also, by switch auction, on 21 Oct 1999 some 8%03 converted into 5%04 (announcement, memorandum, result).
10%04 10.000 18 May 2004 06 June 1985 18 Nov 1985 3.8004 18.95 10% Treasury Stock 2004 GB0009111021
BBG00056P3S6

The first gilt to mention in its prospectus the statement issued by Her Majesty’s Treasury on 29 May 1985. Last part-payment 15 July 1985.

Rump for a while.

13H0408 13.500 26 Mar 2008
(26 Mar 2004)
17 Apr 1980 26 Sep 1980 4.7771 23.94 13½% Treasury Stock 2004–2008 GB0009052910
BBG00000HMJ1
In September 1996 mostly converted into 8H05 (offer, provisional, final). The residual ≈£95m was called to mature on 26 Mar 2004.
6H03 6.500 07 Dec 2003 11 Dec 1997 07 June 1998 3.1699 5.99 6½% Treasury Stock 2003 GB0001633014
BBG0006BH3T2
GB0002190550
BBG0006BH3W8

Conversions into 6H03 from 11T0307 in July 1998, and from 12H0305 in Feb 1999.

On 11 July 2001 6H03 became the third gilt to be created and lent under the DMO’s Special Repo Facility, having been preceded by 5T09 and 8%15, and was followed by 6Q10.

12H0305 12.500 21 Nov 2005
(21 Nov 2003)
23 Nov 1978 21 May 1979 5.1388 24.99 12½% Treasury Stock 2003–2005 GB0009047936
BBG0006B6YF1
In February 1999 most of 12H0305 was converted into 6H03. Called to mature on 21 Nov 2003.
10%03 10.000 08 Sep 2003 27 Jan 1986 08 Sep 1986 4.8479 17.61 10% Treasury Stock 2003 GB0008986258
BBG000696X13
Last part-payment 14 Apr 1986. One of several gilts mentioned in the JPM research note Anomalies V, which was also published—my only research note of which this is true—in Latin.
8%03 8.000 10 June 2003 03 Dec 1992 10 June 1993 2.3891 10.52 8% Treasury Stock 2003 GB0000727205
BBG0006733Z9

From WW2 to 1991 only three new gilts were issued with ≈10-year maturities (here meaning 9¼ to 12 years): 6H76Tr, 8H8082, and, by conversion, 10%96. But since 1992 there has been routine issuance of ‘tens’: on 29 Jan 1992 a £1.8bn ‘reopening’ of 9T02C, then 8%03, 6T04, 8H05, 7H06, 7Q07, 5T09, 5%12, 4T15 (at 11.95y the longest of these new ‘tens’), 4%16, 5%18, 4H19, 3T19, 3T20, 3T21, 1T22, 2Q23, 2T24, 2%25, 1H26, 1Q27, 1F28, 0S29, 0R30, 0Q31, 1%32, 3Q33 (at 10.06y the shortest), and 4F34.

On 21 Oct 1999 the first of the switch auctions converted £999.6m of 8%03 into £1,119,688,920 of 5%04 (announcement, memorandum, result).

3H9904 3.500 14 July 2004
(14 July 1999)
14 Feb 1957 42.42 3½% Funding 1999–2004 GB0003557229
BBG000M36VX7

Nickname = “Never-nevers”, because of long double-dated initial maturity.

On 10 July 1995 this gilt and 5H0812 were mentioned in a Written Answer by the Chancellor of the Exchequer, Mr. Kenneth Clarke.

Called to mature on 06 June 2003. The accrued interest at maturity was computed using the post-1998 Act/Act formula, £1.382597; under the formula in use at time of issue, Act/365, it would have been less, ≈£1.371. Hence this was not a technical default.

9T03 9.750 07 May 2003 07 Nov 1985 07 May 1986 4.875 17.50 9¾% Conversion Loan 2003 GB0002214145
BBG000666YJ8
9T03 was converted from 10H92.
11T0307 11.750 22 Jan 2007
(22 Jan 2003)
25 July 1979 22 Jan 1980 4.8845 23.49 11¾% Treasury Stock 2003–2007 GB0009050427
BBG000L56XP8

Under the FT article How bonds ate the entire financial system, 03 Aug 2023, ‘Upaswellasdown’ commented: “Regarding the mistaken view that Ian Fleming somehow viewed bonds as "boring", I understand the 11.75% gilts issued in July 1979 and maturing in January 2007 were known as "the James Bonds" (given their maturity date)”. A source was requested, but even without might still be true.

In July 1998 most of 11T0307 was converted into 6H03.

Called to mature on 22 Jan 2003.

9%02 9.000 19 Nov 2002 05 Mar 1987 19 Nov 1987 5.3672 15.71 9% Exchequer Stock 2002 GB0003243242
BBG00061P4K2

9%02 was the last to be issued of the Exchequer Stocks.

8%0206 8.000 05 Oct 2006
(05 Oct 2002)
20 Oct 1971 05 Apr 1972 3.69 30.96 8% Treasury Loan 2002–2006 GB0009028498
BBG00060PCJ8
Called to mature on 05 Oct 2002.
9T02 9.750 27 Aug 2002 15 Aug 1985 27 Feb 1986 4.7418 17.03 9¾% Treasury Stock 2002 GB0008986811
BBG0005ZR934
9H02 9.500 14 June 2002 14 June 1984 14 Dec 1984 4.75 18.00 9½% Conversion Stock 2002 GB0002213733
BBG0005XW6W7
9H02 was converted from 9T88. Rump, at least for a while.
7%02 7.000 07 June 2002 05 Dec 1996 07 June 1997 3.5288 5.51 7% Treasury Stock 2002 GB0009997221
BBG0005XPW03
GB0000505775
BBG0005XPWB1
The last new gilt not to have an ISIN mentioned in its auction announcement.
10%02 10.000 11 Apr 2002 11 Apr 1984 11 Oct 1984 5 18.00 10% Conversion Stock 2002 GB0009163782
BBG0005BZQ94
10%02 was converted from 10%86. Rump, at least for a while.
7%01 7.000 06 Nov 2001 29 July 1993 06 May 1994 4.5222 8.27 7% Treasury Stock 2001 GB0008920588
BBG0005QKV96
The last gilt of which a re-opening was partly paid: see § on First coupon amount. And in March 1996 become the first to gilt to exceed £10bn issue size.
9T01 9.750 10 Aug 2001 10 Feb 1984 10 Aug 1984 4.875 17.50 9¾% Conversion Stock 2001 GB0002213626
BBG0005MCS37

9T01 was converted from 10Q87. Rump, at least for a while.

9H01 9.500 12 July 2001 12 July 1987 12 Jan 1988 4.75 14.00 9½% Conversion Loan 2001 GB0002215118
BBG0005LCY27
9H01 was converted from 10%91. Rump, at least for a while.
11H0104 11.500 19 Mar 2004
(19 Mar 2001)
23 May 1979 19 Sep 1979 3.7494 21.82 11½% Treasury Stock 2001–2004 GB0009050195
BBG000JP8MC3
Called to mature on 19 Mar 2001.
10%01 10.000 26 Feb 2001 17 Oct 1985 26 Feb 1986 2.983 15.36 10% Treasury Stock 2001 GB0008987116
BBG0005FKKD9
Last part-payment 25 Nov 1985
8%00 8.000 07 Dec 2000 27 Oct 1994 07 June 1995 4.8877 6.11 8% Treasury Stock 2000 GB0008881327
BBG0005C0658
GB0000505338
BBG0005C06Z5

That 8%00 shared coupon dates with 8H05 was the first herald of a forthcoming strip market, increasing the likelihood of the de-prohibition of repo. See JPM comment on 19 Oct 1994 Anomalies IV: 8%00, 6%99 and Strips?

The first auction of 8%00 came at a yield of 8.82%, the largest yield discount of any new gilt at first issue.

13T0003 13.750 25 July 2003
(25 July 2000)
22 Feb 1979 25 July 1979 4.7627 21.43 13¾% Treasury Stock 2000–2003 GB0009048678
BBG00058VWR2
‘Treble-oh threes’ was called to mature on 25 July 2000.
13%00 13.000 14 July 2000 24 June 1980 14 Jan 1981 5.9892 20.06 13% Treasury Stock 2000 GB0009019760
BBG00056PDC1
Nickname = “Big Greeks” (reputedly after the hair-dye product then named Grecian 2000).
9%00 9.000 03 Mar 2000 03 Mar 1980 03 Sep 1980 4.50 20.00 9% Conversion Stock 2000 GB0009020321
BBG00051ZMR5

Nickname = “Baby Greeks” (reputedly after the hair-dye product then named Grecian 2000).

9%00 was converted from 9%80.

8H00 8.500 28 Jan 2000 30 Apr 1987 28 Jan 1988 5.5174 12.74 8½% Treasury Loan 2000 GB0008965997
BBG0004X4MN4
10Q99 10.250 22 Nov 1999 22 Nov 1983 22 May 1984 5.125 16.00 10¼% Conversion Stock 1999 GB0002213519
BBG0004T89S3
10Q99 was converted from ‘Maggie Mays’ = 2½ Index-Linked Treasury Convertible Stock 1999 (almost all of which was converted, because Maggie did).
6%99 6.000 10 Aug 1999 28 Oct 1993 10 Feb 1994 1.4384 5.78 6% Treasury Stock 1999 GB0008889833
BBG0004PFF63
The penultimate gilt of which its first issue was partly paid: see § on First coupon amount.
10H99 10.500 19 May 1999 22 Dec 1977 19 May 1978 3.49 21.41 10½% Treasury Stock 1999 GB0009044362
BBG0004L13Z2

At least some converted from 10H86.

12Q99 12.250 26 Mar 1999 21 Mar 1979 26 Sep 1979 5.4981 20.01 12¼% Exchequer Stock 1999 GB0003250155
BBG0004HZRV5
12%9902 12.000 22 Jan 2002
(22 Jan 1999)
07 Sep 1979 19.38 12% Exchequer Stock 1999–2002 GB0003250825
BBG0005279S2
Called to mature on 22 Jan 1999.
9H99 9.500 15 Jan 1999 17 Jan 1973 15 July 1973 4.66 25.99 9½% Treasury Loan 1999 GB0009025825
BBG0004F2P76
12%98 12.000 20 Nov 1998 27 Apr 1978 20 Nov 1978 20.56 12% Exchequer Stock 1998 GB0003252755
BBG0004BFZB4
15H98 15.500 30 Sep 1998 14 Oct 1976 30 Mar 1977 7.10 21.96 15½% Treasury Loan 1998 GB0009027193
BBG0004B33B8

Until the COVID19 pandemic, 15H98, 7Q98, and ILG 88s were the only post-WW2 gilts to mature on the 30th of the month (and 11%89 and 14%86 the only to mature on the 29th).

15½% is the largest gilt coupon in recent times, and perhaps ever. Indeed, the issue price was £96, so the issue yield was 16.174% (using the then-standard yield convention), or 16.164% in the post-1998 convention. (The largest US Treasury coupon might have been 16¼%, two-year, issued Aug 1981, matured 31 Aug 1983, US912827MF63.)

14%9801 14.000 22 May 2001
(22 May 1998)
28 Nov 1979 22 May 1980 5.8949 18.48 14% Treasury Stock 1998–2001 GB0009052688
BBG00039QBQ5

A prospectus dated 23 Nov 1979 was published in The Times of 26 Nov 1979: “Deposit with tender  £20 per cent”; “On Friday, 14th December, 1979  £40 per cent”; “On Wednesday, 9th January, 1980  Balance of purchase money”. Called to mature on 22 May 1998.

7Q98 7.250 30 Mar 1998 23 Oct 1992 30 Mar 1993 1.6958 5.44 7¼% Treasury Stock 1998 GB0008929399
BBG0003NXLD8

Until the COVID19 pandemic, 7Q98, 15H98, and ILG 88s were the only post-WW2 gilts to mature on the 30th of the month (and 11%89 and 14%86 the only to mature on the 29th).

7Q98 was last gilt of which a re-opening had payment in three parts: see First coupon amount §.

9T98 9.750 19 Jan 1998 08 Feb 1984 19 July 1984 3.3081 13.95 9¾% Exchequer Stock 1998 GB0003263190
BBG00038NRB1
Mentioned in the JPM research note UK Tax Reformed & STRIPs Announced of 30 May 1995.
15%97 15.000 27 Oct 1997 14 Oct 1981 27 Apr 1982 7.1036 16.04 15% Exchequer Stock 1997 GB0003258778
BBG00038NRJ3
8T97 8.750 01 Sep 1997 09 Oct 1969 01 Mar 1970 27.89 8¾% Treasury Loan 1997 GB0009032060
BBG00038NR76
Prospectus is of second tranche. Tranche lettering went to at least ‘E’.
7%97 7.000 06 Aug 1997 26 May 1994 06 Aug 1994 1.3809 3.19 7% Treasury Convertible Stock 1997 GB0008877648
BBG0003TH511

Convertible into 9%12 (only original online evidence from BoE):

ISSUE FOR BID PRICE AUCTION 25 MAY 1994 OF STG 2000 MN 7% TREASURY CONVERTIBLE STOCK 1997. FULLY PAID. CONVERTIBLE INTO 9% TREASURY STOCK 2012 ON FOLLOWING DATES AT THE INDICATED RATES - . DATE OF CONVERSION NOMINAL AMOUNT OF 9% TY STK 2012 PER . STG100 NOMINAL OF 7% TY CVT.STK 1997 . 6 AUGUST 1994 STG 89 . 6 FEBRUARY 1995 STG 88 . 6 AUGUST 1995 STG 87 . 6 FEBRUARY 1996 STG 86 DIVIDEND DATES 6 FEBRUARY AND 6 AUGUST. FIRST DIVIDEND STG 1.3809 ON 6 AUGUST 1994. 7% TREASURY CONVERTIBLE STOCK 1997 MATURES ON 6 AUGUST 1997. PROVISION FOR NON-RESIDENT TAX EXEMPTION. PROVISION FOR COMPETITIVE AND NON-COMPETITIVE APPLICATIONS. WHEN ISSUED DEALINGS IN 7% TREASURY CONVERTIBLE STOCK 1997 MAY BEGIN FROM NOW. SEDOL CODE 0 - 887 - 764. EPIC CODE AUC SHOULD BE USED FOR TRADE REPORTING PURPOSES.
10H97 10.500 21 Feb 1997 20 Oct 1977 21 Feb 1978 2.80 19.34 10½% Exchequer Stock 1997 GB0003256178
BBG00038NRD9
10H97 had Sᴇᴅᴏʟ 0-325-617, the same as that of 6T71A which was issued 05Jan1970. So ISIN of former same as implied ISIN of latter.
13Q97 13.250 22 Jan 1997 17 July 1975 22 Jan 1976 6.87 21.51 13¼% Treasury Loan 1997 GB0009021402
BBG00038NRG6
10%96 10.000 15 Nov 1996 15 May 1986 15 Nov 1986 5 10.50 10% Conversion Stock 1996 GB0009021840
BBG00038NRC0
ISIN might be GB0002216744. 10%96 was converted from 10Q89.
6T9598 6.750 01 May 1998
(01 May 1995)
28 Oct 1966 01 May 1967 3.425 28.51 6¾% Treasury Loan 1995–1998 GB0009032623
BBG00039QBP6

From The Times, 25 Oct 1966: ‘The authorities broke with tradition yesterday by announcing a big new Government loan at 5.15pm instead of the normal 3.30—the time that is usually chosen because it is immediately after the official closing of the Stock Exchange. Apparently the announcement was delayed simply to allow time for the completion of the underwriting arrangements for two other gilt-edged loans that were launched yesterday—£15m. for Cardiff and £3m. for Jamaica. The new Government loan—£400m. of 6¾ per cent Treasury stock, 1995–98, offered at 97½ … it offers a gross redemption yield of £6 18s. 11d. per cent”.

Called (BoE) on 30 July 1996 to mature on 01 Nov 1996. (The author remembers that day being in J.P.Morgan’s Brussels office covering NLG and BEF.)

13Q96 13.250 15 May 1996 11 June 1976 15 Nov 1976 5.70 19.93 13¼% Exchequer Loan 1996 GB0003255543
BBG00038NRF7
15Q96 15.250 03 May 1996 11 Nov 1976 03 May 1977 7.23 19.48 15¼% Treasury Loan 1996 GB0009027979
BBG00038NRK1
14%96 14.000 22 Jan 1996 27 Feb 1980 22 July 1980 4.555 15.90 14% Treasury Stock 1996 GB0009051508
BBG00038NRH5
12T95 12.750 15 Nov 1995 23 May 1974 21.48 12¾% Treasury Loan 1995 GB0009023226
10Q95 10.250 21 July 1995 12 Jan 1978 17.53 10¼% Exchequer Stock 1995 GB0003255436
3%9095 3.000 01 May 1995
(01 ??? 1990)
01 May 1949 46.00 3% Exchequer Gas Stock 1990–95 GB0001344042
From the Gas Act 1986, s.50(3): As from the transfer date British Gas 3% Guaranteed Stock, 1990–95 shall be renamed "3% Exchequer Gas Stock, 1990–95".
12%95 12.000 25 Jan 1995 15 Sep 1977 17.36 12% Treasury Stock 1995 GB0009039727
9%94 9.000 17 Nov 1994 23 July 1969 25.32 9% Treasury Loan 1994 GB0009032847
12H94 12.500 22 Aug 1994 11 Aug 1977 17.03 12½% Exchequer Stock 1994 GB0003253498
10%94 10.000 09 June 1994 10 Jan 1987 7.41 10% Treasury Loan 1994 GB0008982166
13H94 13.500 27 Apr 1994 04 June 1980 13.90 13½% Exchequer Stock 1994 GB0003248639
Nickname = “Eeyores”, like 13H92.
14H94 14.500 01 Mar 1994 24 Sep 1976 17.44 14½% Treasury Loan 1994 GB0009030577
8H94 8.500 03 Feb 1994 16 Mar 1988 5.88 8½% Treasury Stock 1994 GB0009035071
13T93 13.750 23 Nov 1993 20 Jan 1977 16.84 13¾% Treasury Loan 1993 GB0009034777
6%93 6.000 15 Sep 1993 27 Sep 1965 27.97 6% Funding Loan 1993 GB0003556478
12H93 12.500 14 July 1993 13 Mar 1975 18.34 12½% Treasury Loan 1993 GB0009022251
10%93 10.000 15 Apr 1993 12 Feb 1986 7.18 10% Treasury Loan 1993 GB0008985623
8Q93 8.250 18 Feb 1993 25 May 1988 4.73 8¼% Treasury Stock 1993 GB0009029355
9%9296 9.000 15 Mar 1996
(15 Mar 1992)
11 Mar 1971 15 Sep 1971 4.64 21.01 9% Treasury Loan 1992–1996 GB0009033696
BBG00038NR94
Called to mature on 28 Jan 1993.
13H92 13.500 22 Sep 1992 08 May 1980 12.37 13½% Exchequer Stock 1992 GB0003248969
Nickname = “Winnies”, because “Winnie-the-Pooh” rhymes with “Thirteen and a half of nineteen ninety-two”.
12Q92 12.250 25 Aug 1992 24 Mar 1977 15.42 12¼% Exchequer Stock 1992 GB0003253837
3%92 3.000 11 June 1992 15 July 1987 4.91 3% Treasury 1992 GB0008958869
10H92 10.500 07 May 1992 15 Aug 1984 07 May 1985 6.8038 7.73 10½% Treasury Convertible Stock 1992 GB0009104554
10H92 was convertible into 9T03.
8%92 8.000 13 Apr 1992 8% Treasury Loan 1992 GB0008958976
10%92 10.000 21 Feb 1992 17 Nov 1977 14.26 10% Treasury 1992 GB0009040501
12T92 12.750 22 Jan 1992 07 Aug 1975 22 Jan 1976 5.87 16.46 12¾% Treasury Loan 1992 GB0009030023
ISIN might be GB0003253837.
8%91 8.000 10 Dec 1991 22 July 1987 4.38 8% Treasury 1991 GB0009133801
11%91 11.000 25 Oct 1991 11 Apr 1979 12.54 11% Exchequer 1991 GB0003249710
10%91 10.000 12 July 1991 29 Oct 1986 12 Jan 1987 1.6385 4.70 10% Treasury Convertible Stock 1991 GB0009130013
10%91 was convertible until 12 July 1989 into 9H01 or 9%11.
3%91 3.000 13 May 1991 29 May 1986 4.96 3% Treasury 1991 GB0008982059
5T8791 5.750 05 Apr 1991
(05 Apr 1987)
04 May 1964 22.92 5¾% Funding Loan 1987–1991 GB0003556817
Mentioned in Dobbie & Wilkie, The F.T.-Actuaries Fixed Interest Indices (1978).
11T91 11.750 10 Jan 1991 02 June 1977 13.61 11¾% Treasury 1991 GB0009021733
2H90 2.500 22 Nov 1990 22 Jan 1986 4.83 2½% Exchequer 1990 GB0003273561
10%90 10.000 25 Oct 1990 18 Jan 1984 25 Oct 1984 6.8888 6.77 10% Treasury Convertible Stock 1990 GB0009105528
10%90 was convertible into 9H04.
8%90 8.000 16 July 1990 16 Dec 1987 2.58 8% Treasury Convertible Stock 1990 GB0008955295
8Q8790 8.250 15 June 1990
(15 June 1987)
08 Sep 1971 15 Dec 1971 2.22 15.77 8¼% Treasury Loan 1987–1990 GB0009028613
3%90 3.000 08 May 1990 20 June 1985 4.88 3% Treasury 1990 GB0008987884
12H90 12.500 22 Mar 1990 11 Mar 1981 9.03 12½% Exchequer 1990 GB0003258448
11%90 11.000 12 Feb 1990 15 Feb 1985 4.99 11% Exchequer Loan 1990 GB0003273124
13%90 13.000 15 Jan 1990 15 Jan 1976 14.00 13% Treasury Stock 1990 GB0009029132
10Q89 10.250 15 Nov 1989 27 Nov 1985 15 May 1986 3.9621 3.97 10¼% Exchequer Convertible Stock 1989 GB0003272829
10Q89 was convertible into 10%96 or into 9T06.
5%8689 5.000 15 Oct 1989
(15 Oct 1986)
12 Aug 1959 27.18 5% Treasury 1986–1989 GB0009031872
11%89 11.000 29 Sep 1989 08 Aug 1984 5.14 11% Exchequer 1989 GB0003247888

11%89 and 14%86 are the only post-WW2 gilts to mature on the 29th of the month (and, until the COVID19 pandemic, 15H98 and 7Q98 the only to mature on the 30th).

10%89 10.000 01 Aug 1989 16 Nov 1983 5.71 10% Exchequer 1989 GB0003262788
10H89 10.500 14 June 1989 13 Apr 1983 6.17 10½% Treasury 1989 GB0009069153
3%89 3.000 15 May 1989 11 Apr 1985 4.09 3% Treasury 1989 GB0008987660
9H89 9.500 18 Apr 1989 01 May 1984 18 Oct 1984 3.9895 4.96 9½% Treasury Convertible Stock 1989 GB0009105072
9H89 was convertible into 9H05.
11H89 11.500 22 Feb 1989 12 Sep 1979 9.44 11½% Treasury 1989 GB0009050757
9H88 9.500 25 Oct 1988 11 Oct 1982 6.04 9½% Treasury 1988 GB0009073940
3%8696 3.000 01 Oct 1996
(01 Oct 1986)
17 Aug 1937 59.12 3% Redemption 1986–1996 GB0007282055

Mentioned in 3H68. DMO data has this redeemed 01 Oct 1988.

3%7888 3.000 01 July 1988
(01 July 1978)
01 Jan 1948 30.50 3% Transport 1978–1988 GB0001415453
Nickname = “Long Tranners”.
9T88 9.750 14 June 1988 29 Sep 1983 14 June 1984 5.9759 4.71 9¾% Treasury Convertible Stock 1988 GB0009080309
9T88 was convertible into 9H02.
10H88 10.500 10 May 1988 29 Sep 1982 5.61 10½% Exchequer 1988 GB0003260964
7T8588 7.750 26 Jan 1988
(26 Jan 1985)
7¾% Treasury Loan 1985–1988
The only evidence of the existence of 7T8588 is from HMRC’s IHTM27244.
12%87 12.000 03 Nov 1987 09 July 1980 7.32 12% Treasury 1987 GB0009019547
3%87 3.000 14 July 1987 07 Jan 1982 5.52 3% Treasury 1987 GB0009061978
10%87 10.000 12 June 1987 15 Sep 1983 3.74 10% Treasury 1987 GB0009080960
6H8587 6.500 01 May 1987
(01 May 1985)
03 Feb 1967 18.24 6½% Funding Loan 1985–1987 GB0003558078
10H87 10.500 06 Apr 1987 19 Aug 1982 4.63 10½% Exchequer 1987 GB0003260741
2H87 2.500 24 Feb 1987 06 Jan 1983 4.13 2½% Exchequer 1987 GB0003261269
10Q87 10.250 10 Feb 1987 02 June 1983 10 Feb 1984 5.8499 3.69 10¼% Treasury
Convertible Stock 1987
GB0009079293

10Q87 was convertible into 9T01. A prospectus dated 27 May 1983 was published in The Times of 31 May. From ¶5: “Holdings of 10¼ per cent Treasury Convertible Stock, 1987 may, at the option of holders, be converted in whole or in Part into 9¾ per cent Conversion Stock 2001 (hereinafter referred to as "Conversion Stock") as on the following dates and at the indicated rates:—” A table then follows, with columns of “Date of conversion” and “Nominal amount of Conversion Stock per £100 nominal of 10¼ per cent Treasury Convertible Stock 1987”: 10 Feb 1984, £100; 10 Aug 1984, £97; 10 Feb 1985, £94; 10 Aug 1985, £91; 10 Feb 1986, £88.

The Times of 28 May 1983 had a comment. “The Bank of England surprised the gilts market by announcing a £1bn tap issue yesterday. In a move to take advantage of the strength of financial markets, the Bank announced a tender issue of £1bn 10¼ per cent Treasury convertible stock due 1987. The minimum tender price on June 2 is £98.25 and the issue is payable £20 on tender, £50 on July 18 and the rest on August 15. The stock is convertible into 9¾ per cent stock 2001 with the first conversion date on February 10, 1984. Both the gilts market and sterling have risen sharply this week as the City has become increasingly convinced that the Conservatives will win. Government stocks closed off their best levels yesterday but still ended with gains of £½ to £1. There was some surprise in the market that the Bank of England had launched a tap during the election campaign.

13Q87 13.250 22 Jan 1987 22 Feb 1979 7.92 13¼% Exchequer 1987 GB0003250486
2H86 2.500 21 Nov 1986 24 Nov 1983 2.99 2½% Exchequer 1986 GB0003259412
14%86 14.000 29 Oct 1986 19 Nov 1981 4.94 14% Exchequer 1986 GB0003258992

14%86 and 11%89 are the only post-WW2 gilts to mature on the 29th of the month (and, until the COVID19 pandemic, 15H98 and 7Q98 the only to mature on the 30th).

12Q86 12.250 14 July 1986 09 June 1982 4.10 12¼% Treasury Con(?) 1986 GB0009071340
8H8486 8.500 10 July 1986
(10 July 1984)
12 Aug 1970 13.91 8½% Treasury Loan 1984–1986 GB0009030247
12%86 12.000 12 June 1986 11 Feb 1981 5.34 12% Treasury 1986 GB0009055921
3%86 3.000 19 May 1986 04 Mar 1981 5.21 3% Treasury 1986 GB0009043737
10H86 10.500 19 May 1986 14 Mar 1983 3.18 10½% Exchequer Convertible 1986 GB0003262341

Convertible into 10H99. From The Times, 15 Mar 1983: “The Government yesterday took the unusual move of announcing a new short tap the day before the Budget. This was £1,000m of 10½ per cent Exchequer Converible [sic] Stock 1986 at a price of £98.75. It will be issued partly paid, and be traded tomorrow morning immediately after the Budget. … The stock is convertible into 10½ per cent Treasury 1999, a yield declining from 10.3 at the first conversion date of May 1984, to 9.73 per cent at the last conversion date of November 1985.

There wasn’t a prospectus in The Times, and it isn’t clear what is meant by “yield”. But with errors of only a few basis points, this might imply conversion rates of £97, £95, £93, and £91.

10%86 10.000 11 Apr 1986 17 Aug 1983 11 Apr 1984 5.9903 2.65 10% Treasury Convertible Stock 1986 GB0009080747
10%86 was convertible into 10%02.
11T86 11.750 25 Feb 1986 16 Oct 1980 5.36 11¾% Exchequer 1986 GB0003257473
12Q85 12.250 22 Nov 1985 25 June 1980 5.41 12¼% Exchequer 1985 GB0003251450
8T85 8.750 03 Sep 1985 04 Nov 1982 2.83 8¾% Treasury Conv(?) 1985 GB0009074682
11H85 11.500 15 July 1985 01 Apr 1981 4.29 11½% Treasury 1985 GB0009018135
Mentioned in the BoE Quarterly Bulletin, June 1981, p176.
3%85 3.000 21 May 1985 29 May 1980 4.98 3% Treasury 1985 GB0009049312
12%85 12.000 22 Mar 1985 28 Jan 1981 4.15 12% Exchequer Conv(?) 1985 GB0003258224
15%85 15.000 22 Feb 1985 22 Nov 1979 5.25 15% Treasury 1985 GB0009048785
12%84 12.000 26 Sep 1984 21 June 1979 5.26 12% Treasury 1984 GB0009050203
3%84 3.000 19 June 1984 19 July 1979 4.92 3% Exchequer 1984 GB0003251567
14%84 14.000 22 May 1984 10 Jan 1980 4.37 14% Exchequer 1984 GB0003250262
11Q84 11.250 20 Feb 1984 15 Aug 1979 4.51 11¼% Exchequer 1984 GB0003252193
5H8284 5.500 15 Jan 1984
(15 Jan 1982)
14 Feb 1958 23.92 5½% Funding 1982–1984 GB0003557880
10%83 10.000 12 Dec 1983 16 June 1978 5.49 10% Exchequer 1983 GB0003251120
13H83 13.500 22 Nov 1983 23 Jan 1980 3.83 13½% Exchequer 1983 GB0003250593
9Q83 9.250 18 July 1983 25 Aug 1977 5.90 9¼% Treasury 1983 GB0009040725
12%83 12.000 17 Mar 1983 21 Mar 1974 8.99 12% Treasury 1983 GB0009025262
3%83 3.000 21 Feb 1983 25 Aug 1977 5.49 3% Exchequer 1983 GB0003253381
8T83 8.750 05 Jan 1983 02 Mar 1978 4.84 8¾% Exchequer 1983 GB0003255873
9Q82 9.250 22 Sep 1982 06 Apr 1977 5.46 9¼% Exchequer 1982 GB0003256392
8Q82 8.250 05 July 1982 22 Sep 1977 4.79 8¼% Treasury 1982 GB0009020768
14%82 14.000 16 Mar 1982 11 Nov 1976 5.35 14% Treasury 1982 GB0009027755
3%82 3.000 15 Feb 1982 14 Oct 1976 5.34 3% Treasury 1982 GB0009031328
8H8082 8.500 15 Jan 1982
(15 Jan 1980)
28 Jan 1970 9.96 8½% Treasury 1980–1982 GB0009030809
12T81 12.750 23 Nov 1981 13 Jan 1977 4.86 12¾% Exchequer 1981 GB0003254793
3%81 3.000 21 Aug 1981 13 Oct 1977 3.86 3% Exchequer 1981 GB0003253274
9H81 9.500 04 Aug 1981 04 Aug 1977 4.00 9½% Exchequer 1981 GB0003256848
8Q81 8.250 12 June 1981 15 Dec 1977 3.49 8¼% Exchequer 1981 GB0003254918
9T81 9.750 01 Apr 1981 01 Apr 1976 5.00 9¾% Treasury 1981 GB0009039503
3H7981 3.500 15 Feb 1981
(15 Feb 1979)
15 Feb 1951 28.00 3½% Treasury 1979–1981 GB0009031658
11H81 11.500 15 Jan 1981 16 Oct 1975 15 Dec 1975 2.87 5.25 11½% Treasury Stock 1981 GB0009022145
13%80 13.000 25 Nov 1980 25 Nov 1976 4.00 13% Exchequer 1980 GB0003254579
5Q7880 5.250 15 June 1980
(15 June 1978)
19 Feb 1964 14.32 5¼% Funding 1978–1980 GB0003557666
3H7780 3.500 15 June 1980
(15 June 1977)
15 June 1950 27.00 3½% Treasury Stock 1977–1980 GB0009031435
9H80 9.500 14 May 1980 12 June 1975 14 Nov 1975 4.04 4.92 9½% Treasury Stock 1980 GB0009024299
9%80 9.000 03 Mar 1980 14 Mar 1973 03 Sep 1980 4.50 6.97 9% Treasury
Convertible Stock 1980
GB0009025049

Convertible into 9%00 at a yield of ≈10.064%, as explained in ¶10 of the prospectus published in The Times on 9 March 1973:

The Stock will either be repaid at par on 3rd March 1980, or, at the option of holders, may be converted as at that date into 9 per cent Conversion Stock 2000 (hereinafter referred to as "Conversion Stock") at the rate of £110 nominal of Conversion Stock for every £100 nominal of 9 per cent Treasury Convertible Stock 1980 converted: a notice setting out the administrative arrangements for the exercise of the option will be issued at the appropriate time.

This was the only convertible gilt (of which the author is aware) that was convertible at maturity. I suspect that the BoE later realised that, until very soon before maturity, it would not know what cash needed to be paid, perhaps complicating its money-market operations. This might be why subsequent convertibles had options that expired before maturity.

10H79 10.500 01 Nov 1979 05 Feb 1975 4.74 10½% Treasury 1979 GB0009022699
3%79 3.000 17 Sep 1979 14 Mar 1973 17 Sep 1973 1.54 6.51 3% Treasury 1979 GB0009025486
11H79 11.500 09 Mar 1979 19 Sep 1974 4.47 11½% Treasury 1979 GB0009023887
5%7678 5.000 26 Sep 1978
(26 Sep 1976)
22 Apr 1963 13.43 5% Exchequer 1976–1978 GB0003255212
10H78 10.500 14 July 1978 23 Jan 1975 3.48 10½% Treasury 1978
9%78 9.000 15 Mar 1978 13 Mar 1975 15 Sep 1975 4.59 3.01 9% Treasury Stock 1978 GB0009024638
3%77 3.000 15 Nov 1977 02 Jan 1975 2.87 3% Treasury 1977
11H77 11.500 26 Sep 1977 18 Apr 1974 26 Sep 1974 5.08 3.44 11½% Treasury Stock 1977 GB0009023663
6Q77 6.250 10 Mar 1977 15 Sep 1971 5.49 6¼% Treasury 1977 GB0009034884
10H76 10.500 14 Dec 1976 27 Sep 1973 3.21 10½% Treasury 1976 GB0009025601
6H76Tr 6.500 15 Aug 1976 22 June 1965 11.15 6½% Treasury 1976 GB0009032409
The short name 6H76 would not distinguish between 6½% Exchequer March 1976 and 6½% Treasury August 1976.
6H76Ex 6.500 01 Mar 1976 23 Feb 1971 5.02 6½% Exchequer 1976 GB0003256624
3%6575 3.000 15 Aug 1975
(15 Aug 1965)
08 Aug 1944 21.02 3% S(?) B(?) 1965–1975 GB0007776619
8%75 8.000 15 May 1975 08 May 1973 2.02 8% Treasury 1975 GB0009024851
6%75 6.000 01 Feb 1975 15 July 1971 01 Feb 1972 3.31 3.54 6% Treasury Stock 1975 GB0009029025
6T74 6.750 11 Dec 1974 12 Aug 1970 11 Dec 1970 2.241⅔ 4.33 6¾% Treasury Stock 1974 GB0009028837
5H74 5.500 10 Sep 1974 15 Sep 1971 2.99 5½% Treasury 1974 GB0009034660
5Q73 5.250 10 Dec 1973 15 Sep 1971 2.24 5¼% Treasury 1973 GB0009034223
6T73 6.750 15 Jan 1973 19 Feb 1968 4.91 6¾% Exchequer 1973 GB0003254025
GB0003254025 subsequently the ISIN of GKN-B.
4%6090 4.000 01 ??? 1990
(01 ??? 1960)
12 July 1919 53.30 4% Funding 1960–1990 GB0003556692

From Wormell (1985) (page): “in the late 1950s … it was rumoured that the tax reclaimed from the Inland Revenue on an interest payment on 4% Funding 1960/90 was greater than the value of the interest payment itself”.

Called (with typo) to mature on 01 Nov 1972. It seems that 01 Nov was a coupon date, so the call and final maturity were either in May or in Nov.

6Q72 6.250 08 Aug 1972 03 Feb 1967 5.51 6¼% Exchequer 1972 GB0003256285
GB0003256285 subsequently the ISIN of Exeter Investment Group Plc.
6T71 6.750 10 Sep 1971 13 Oct 1966 4.91 6¾% Exchequer 1971 GB0003256061
The 'A' tranche (6T71A), issued 05Jan1970, had Sᴇᴅᴏʟ 0-325-617, the same as that of 10H97.
6H71 6.500 28 Jan 1971 28 July 1967 3.50 6½% Treasury 1971 GB0009030023
3%6070 3.000 01 Sep 1970
(01 Sep 1960)
01 May 1942 18.33 3% S(?) B(?) 1960–1970
6%70 6.000 01 Mar 1970 6% Exchequer 1970 GB0003255873
6H69 6.500 11 Aug 1969 22 June 1965 4.14 6½% Exchequer 1969
3%5969 3.000 15 Apr 1969
(15 Apr 1959)
04 Apr 1934 25.03 3% Funding 1959–1969
3%6668 3.000 01 Aug 1968
(01 Aug 1966)
03 Nov 1950 15.74 3% Funding 1966–1968
4%68 4.000 15 Mar 1968 25 Sep 1963 4.47 4% Exchequer 1968
5%67 5.000 21 Nov 1967 20 June 1962 5.42 5% Exchequer 1967
2H6467 2.500 01 May 1967
(01 May 1964)
17 May 1946 17.96 2½ S(?) B(?) 1964–1967
5H66 5.500 15 Mar 1966 14 Jan 1958 8.17 5½% Exchequer 1966
3%5565 3.000 15 Aug 1965
(15 Aug 1955)
02 Jan 1941 14.62 3 S(?) B(?) 55–65
4%65 4.000 01 Feb 1965 04 Oct 1962 2.33 4% Treasury 1965
4H64 4.500 14 May 1964 29 Jan 1960 4.29 4½% Cv(?) 1964
4T63 4.750 15 June 1963 03 Feb 1961 2.37 4¾% Cv(?) 1963
3%6263 3.000 14 June 1963
(14 June 1962)
05 Oct 1953 8.69 3% Exchequer 1962–1963
5H62 5.500 14 Nov 1962 15 July 1960 2.33 5½% Treasury 1962
4H62 4.500 15 Feb 1962 08 May 1957 4.77 4½% Cv(?) 1962
2H5661 2.500 15 Apr 1961
(15 Apr 1956)
04 Dec 1935 20.36 2½% Funding 1956–1961
3%60 3.000 03 Mar 1960 03 Mar 1953 7.00 3% Exchequer 1960
3%59 3.000 15 Oct 1959 13 Mar 1940 19.59 3% War 1955–1959
2%59 2.000 15 Jan 1959 03 June 1954 4.62 2% Cv(?) 1958–1959
3%5458 3.000 15 July 1958
(15 July 1954)
15 June 1938 16.08 3% Nt(?) Def(ence?) 1954–1958
4%5758 4.000 15 June 1958
(15 June 1957)
13 Oct 1955 1.67 4% Cv(?) 1957–1958
5%57 5.000 15 June 1957 07 Mar 1956 1.27 5% Exchequer 1957
2T5257 2.750 15 June 1957
(15 June 1952)
19 Nov 1936 15.57 2¾% Funding 1952–1957
2H5456 2.500 15 Aug 1956
(15 Aug 1954)
13 June 1945 9.17 2½% Nat(ional?) WR(?) 1954–1956
3%55 3.000 14 Nov 1955 06 Oct 1952 3.11 3% S(? …pecial?) Funding 1955
1T54 1.750 14 Nov 1954 06 Oct 1952 2.11 1¾ S(? …pecial?) Funding 1954
2H5254 2.500 01 Mar 1954
(01 Mar 1952)
01 Sep 1943 8.50 2½% Nat(ional?) WR(?) 1952–1954
1T53 1.750 14 Nov 1953 06 Oct 1952 1.11 1¾ S(? …pecial?) Funding 1953
2H5153 2.500 01 Mar 1953
(01 Mar 1951)
01 Dec 1942 8.25 2½% Nat(ional?) WR(?) 1951–1953
3%4853 3.000 01 Mar 1953
(01 Mar 1948)
03 Nov 1932 15.33 2½% Nat(ional?) WR(?) 1951–1953
2H4951 2.500 01 Aug 1951
(01 Aug 1949)
09 Oct 1941 7.81 2½% Nat(ional?) WR(?) 1949–1951
1T50 1.750 15 Feb 1950 07 Nov 1944 5.27 1¾ Exchequer 1950
2H4648 2.500 15 Aug 1948
(15 Aug 1944)
02 Jan 1941 3.62 2½% National War Bonds 1946–1948
This and other nearby gilts mentioned in the London Gazette on 10 Feb 1948, 24 Feb 1948, and 23 March 1948.
2H4448 2.500 15 Sep 1946 29 Apr 1937 9.38 2½% National Defence Bonds 1944–1948
2H4448 might have been called, causing the mis-match between name and maturity. Mentioned in the London Gazette on 14 Mar 1939.
2H4547 2.500 01 July 1946 25 June 1940 6.02 2½% National War Bonds 1945–1947
2H4547 might have been called, causing the mis-match between name and maturity.
2H4449 2.500 01 Apr 1946 24 Mar 1933 13.02 2½% Cv(?) 1944–1949
2H4449 might have been called, causing the mis-match between name and maturity.
5%2947 5.000 ?? ??? 1947
(?? ??? 1929)
5% War Loan 1929–1947

Called, with holders having the option to accept 3½% War Loan instead of the £100 principal. See the London Gazettes of 30 June 1932 and 12 July 1932, and the Edinburgh Gazette of 05 July 1932.

There is a myth than this conversion was a ‘default’. It wasn’t: the bond was called; those wanting cash were paid cash; others took the new 3½% War Loan instead. As an example of the spread of the myth, see the Financial Times, 14 Apr 2020, The calls for sovereign debt relief are mounting, and the discussion in the comments underneath. That discussion pointed to Reinhart (2010), p114 of which incorrectly says “In 1932, World War I debts are restructured”; and Reinhart & Rogoff (2013), p14 correctly saying that “This domestic debt conversion was apparently voluntary”. There was also a link to an extract from Kynaston (who is always a solid source).

Coupon Strips (⇑ Top ⇑, ↑ to The Gilts ↑)

Coupon strips (of the same payment date) from different gilts are fungible and indistinguishable. Principal strips are in the above table of gilts; indentifiers for coupon strips follow.

Early in the strip market the BoE seemed to believe that WI gilts would be stripped, and hence those coupons would need separate ISINs.

There is no published policy to end the strip market. But new strippable gilts are infrequent; the last extension of the strippable curve was in Nov 2005 when 4Q55 became strippable; and the last time a new coupon strip was ‘created’ (in the sense of being assigned an ISIN) was in June 2009 when 4Q39 became strippable.

MaturityISINFIGISame-maturity
gilts
ISINs of
W.I. Strips
07 Dec 2055GB00B0BDTT97BBG0000BSSP54Q55
07 Jun 2055GB00B0BDTS80BBG0000BSSM8
07 Dec 2054GB00B0BDTR73BBG0000BSSG5
07 Jun 2054GB00B0BDTQ66BBG0000BSS57
07 Dec 2053GB00B0BDTP59BBG0000BSRZ6
07 Jun 2053GB00B0BDTN36BBG0000BSRV0
07 Dec 2052GB00B0BDTM29BBG0000BSRQ6
07 Jun 2052GB00B0BDTL12BBG0000BSRM0
07 Dec 2051GB00B0BDTK05BBG0000BSRK2
07 Jun 2051GB00B0BDTJ99BBG0000BSRJ4
07 Dec 2050GB00B0BDTH75BBG0000BSST1
07 Jun 2050GB00B0BDTG68BBG0000BSSX6
07 Dec 2049GB00B0BDTF51BBG0000BSSF64Q49
07 Jun 2049GB00B0BDTD38BBG0000BSS84
07 Dec 2048GB00B0BDTC21BBG0000BSS48
07 Jun 2048GB00B0BDTB14BBG0000BSS11
07 Dec 2047GB00B0BDT997BBG0000BSRW9
07 Jun 2047GB00B0BDT880BBG0000BSRS4
07 Dec 2046GB00B0BDT773BBG0000BSRP74Q46
07 Jun 2046GB00B0BDT666BBG0000BSSQ4
07 Dec 2045GB00B0BDT559BBG0000BSSN7
07 Jun 2045GB00B0BDT443BBG0000BSSL9
07 Dec 2044GB00B0BDT336BBG0000BSSJ2
07 Jun 2044GB00B0BDT229BBG0000BSSH4
07 Dec 2043GB00B0BDT112BBG0000BSSD8
07 Jun 2043GB00B0BDT005BBG0000BSSB0
07 Dec 2042GB00B0BDSZ82BBG0000BSS934H42
07 Jun 2042GB00B0BDSY75BBG0000BSS75
07 Dec 2041GB00B0BDSX68BBG0000BSS66
07 Jun 2041GB00B0BDSW51BBG0000BSS39
07 Dec 2040GB00B0BDSV45BBG0000BSRX84Q40
07 Jun 2040GB00B0BDST23BBG0000BSRH6
07 Dec 2039GB00B0BDSS16BBG0000BSRF8
07 Sep 2039GB00B61NVD94BBG0000D7R034Q39
07 Jun 2039GB00B0BDSR09BBG0000BSR95
07 Mar 2039GB00B61HRJ92BBG0000D7P61
07 Dec 2038GB00B0127W55BBG000091LS14T38
07 Sep 2038GB00B61LFW02BBG0000D7P07
07 Jun 2038GB00B0127Q95BBG000091LR2
07 Mar 2038GB00B61NVB70BBG0000D7MW9
07 Dec 2037GB00B0127N64BBG000091LQ3
07 Sep 2037GB00B614YC20BBG0000D7M681T37
07 Jun 2037GB00B0127L41BBG000091LP4
07 Mar 2037GB00B61NZ372BBG0000D7BX2
07 Dec 2036GB00B0126S45BBG000091LM7
07 Sep 2036GB00B61BCQ39BBG0000D77Z9
07 Jun 2036GB00B0127B43BBG000091LL8
07 Mar 2036GB0032729922BBG000027B664Q36
07 Dec 2035GB00B0127928BBG000091LJ1
07 Sep 2035GB0032729815BBG000026Z28
07 Jun 2035GB00B0126K68BBG000091LH3
07 Mar 2035GB0032729708BBG000026VQ1
07 Dec 2034GB00B0126284BBG000091LG4
07 Sep 2034GB0032729690BBG000026K584H34
07 Jun 2034GB00B0125P49BBG000091LF5
07 Mar 2034GB0032729583BBG000026490
07 Dec 2033GB00B0125M18BBG000091LC8
07 Sep 2033GB0032729476BBG000025T87
07 Jun 2033GB00B0125L01BBG000091LB9
07 Mar 2033GB0032729369BBG000025FM1
07 Dec 2032GB00B0125K93BBG000091L92
07 Sep 2032GB0032729252BBG000024VR2
07 Jun 2032GB0009141895BBG00002G8274Q32
07 Mar 2032GB0032729146BBG000024303
07 Dec 2031GB0009141671BBG00002DZT1
07 Sep 2031GB0032729039BBG0000240X3
07 Jun 2031GB0009141010BBG000024580
07 Mar 2031GB0032728957BBG000023DM8
07 Dec 2030GB0009140939BBG000021C064T30
07 Sep 2030GB0032728841BBG000022BZ9
07 Jun 2030GB0009140483BBG00001RX77
07 Mar 2030GB0032728734BBG000021ZH7
07 Dec 2029GB0009140269BBG00001NTG0
07 Sep 2029GB0032728627BBG000021VZ6
07 Jun 2029GB0009140046BBG00001HYW8
07 Mar 2029GB0032728510BBG000021SM7
07 Dec 2028GB0002443926BBG00005Z2M06%28
07 Sep 2028GB0032728403BBG000021PS7
07 Jun 2028GB0002443819BBG00005Z2L14H28
07 Mar 2028GB0032728395BBG000021MK2
07 Dec 2027GB0002443702BBG00005Z2J44Q27
07 Sep 2027GB0032728288BBG000021CF0
07 Jun 2027GB0002443694BBG00005Z2H6
07 Mar 2027GB0032728171BBG0000212R93T27
07 Dec 2026GB0002443587BBG00005Z2G7
07 Sep 2026GB0032728064BBG000020YP2
07 Jun 2026GB0002443470BBG00005Z2F8
07 Mar 2026GB0032727983BBG000020C89
07 Dec 2025GB0002443363BBG00005Z2D0
07 Sep 2025GB0030884893BBG00001Z3M72%25
07 Jun 2025GB0002443256BBG00005Z2B20F25
07 Mar 2025GB0030884786BBG00003H1J15%25
07 Dec 2024GB0002443140BBG00005Z295
07 Sep 2024GB0030884679BBG00003FM522T24
07 Jun 2024GB0002443033BBG00005Z286
07 Mar 2024GB0030884562BBG00003FK83
07 Dec 2023GB0002442951BBG00005Z277
07 Sep 2023GB0030884455BBG00003DXM12Q23
07 Jun 2023GB0002442845BBG00005Z268
07 Mar 2023GB0030884349BBG00003D3F5
07 Dec 2022GB0002442738BBG00005Z240
07 Sep 2022GB0030884232BBG0000387S81T22
07 Jun 2022GB0002442621BBG00005Z231
07 Mar 2022GB0030884125BBG000037C714%22
07 Dec 2021GB0002442514BBG00005Z222
07 Sep 2021GB0030883937BBG000035D263T21
07 Jun 2021GB0000515923BBG000050XQ68%21
07 Mar 2021GB0030883713BBG000035845
07 Dec 2020GB0000515477BBG000050XP7
07 Sep 2020GB0030883606BBG000032V563T20
07 Jun 2020GB0000515360BBG000050XN9
07 Mar 2020GB0030883598BBG000032S084T20
07 Dec 2019GB0000515147BBG000050XL1
07 Sep 2019GB0030883481BBG000030YF13T19
07 Jun 2019GB0000515030BBG000050XK2
07 Mar 2019GB0030883267BBG000030N384H19
07 Dec 2018GB0000514959BBG000050XJ4
07 Sep 2018GB0030883150BBG000030LX9
07 Jun 2018GB0000514843BBG000050XH6
07 Mar 2018GB0030882962BBG000030BR85%18
07 Dec 2017GB0000514736BBG000050XG7
07 Sep 2017GB0030882855BBG00002ZPB81%17
07 Jun 2017GB0000514512BBG000050XF8
07 Mar 2017GB0030882418BBG00002WWV4
07 Dec 2016GB0000514405BBG000050XD0
07 Sep 2016GB0030882293BBG00002VV104%16
07 Jun 2016GB0000514280BBG000050XC1
07 Mar 2016GB0030882186BBG00002VPJ4
07 Dec 2015GB0000513985BBG000050X958%15
07 Sep 2015GB0030881998BBG00002TLY94T15
07 Jun 2015GB0000513654BBG000050X77
07 Mar 2015GB0030881881BBG00002S2D5
07 Dec 2014GB0000513431BBG000050X59
07 Sep 2014GB0030881667BBG00002MDF55%14
07 Jun 2014GB0000512359BBG000050X31
07 Mar 2014GB0030881444BBG00002M2J52Q14
07 Dec 2013GB0000512243BBG000050X13
07 Sep 2013GB0030881220BBG00002LQ76
07 Jun 2013GB0000512029BBG000050X04
07 Mar 2013GB0030881113BBG00002LM754H13
07 Dec 2012GB0000511278BBG000050WX0
07 Sep 2012GB0030880925BBG00002J2Z1
07 Jun 2012GB0000511161BBG000050WV25Q12
07 Mar 2012GB0030471238BBG00002G3Y35%12
07 Dec 2011GB0000511054BBG000050WS63Q11
07 Sep 2011GB0030471121BBG00002FTL1
07 Jun 2011GB0000510973BBG000050WR7
07 Mar 2011GB0030471014BBG00002FKN84Q11
07 Dec 2010GB0000510866BBG000050WP9
07 Sep 2010GB0030470933BBG00002DMJ1
07 Jun 2010GB0000510536BBG00096XLJ34T10
07 Mar 2010GB0030470826BBG000926197
07 Dec 2009GB0000510429BBG0008X0G575T09GB0002078458
07 Sep 2009GB0030470719BBG000027JZ7
07 Jun 2009GB0000508456BBG0008K08H0GB0002074143
07 Mar 2009GB0030470602BBG0008DR0M84%09
07 Dec 2008GB0000509751BBG00087YRN3GB0002073517
07 Sep 2008GB0030470594BBG00084RMB2
07 Jun 2008GB0000509538BBG00081W9Y6GB0002072543
07 Mar 2008GB0030470487BBG0007Z59905%08
07 Dec 2007GB0000509421BBG0007TTVH07Q07GB0002072329
07 Sep 2007GB0030470370BBG0007NR3C2
07 Jun 2007GB0000509207BBG0007HZCL6GB0002071792
07 Mar 2007GB0030470263BBG0007CQF034H07
07 Dec 2006GB0000508340BBG00077BDP87H06GB0002071578
07 Sep 2006GB0030470156BBG000742JP2
07 Jun 2006GB0000508126BBG000710BV0GB0002069945
07 Mar 2006GB0030470040BBG0006YGXL5
07 Dec 2005GB0000508019BBG0006VVNJ98H05GB0002067121
07 Sep 2005GB0030469935BBG000MV7QN6
07 Jun 2005GB0000507821BBG0006Q72J3GB0001941300
07 Mar 2005GB0030469828BBG0006MXDL6
07 Dec 2004GB0000507714BBG0006KFSJ0GB0001934941
07 Sep 2004GB0030469711BBG0006HGSS6
07 Jun 2004GB0000507607BBG0006FTWP05%04GB0001934503
07 Mar 2004GB0030469604BBG0006D3DS2
07 Dec 2003GB0000507599BBG0006BH3R46H03GB0001934388 GB0002576683
07 Sep 2003GB0030469596BBG000696QS9
07 Jun 2003GB0000507482BBG000LG03Q5GB0001927143 GB0002576576
07 Mar 2003GB0030469489BBG00064MQM8
07 Dec 2002GB0000507375BBG0006251V6GB0001926954 GB0002576469
07 Sep 2002GB0030469372BBG0005ZZJB4
07 Jun 2002GB0000505882BBG0005XPWC07%02GB0001865467 GB0002576352
07 Dec 2001GB0000505668BBG0005RL3M0GB0001865350 GB0002576139
07 Jun 2001GB0000505551BBG0005K6LK4GB0001926178 GB0002576022
07 Dec 2000GB0000505445BBG0005C07018%00GB0001925766 GB0002575941
07 Jun 2000GB0000505221BBG00055BWG2GB0001925543 GB0002575834
07 Dec 1999GB0000505114BBG0004V6PM0GB0001925329 GB0002575727
07 Jun 1999GB0000504927BBG000GMJWP5GB0001925105 GB0002575503
07 Dec 1998GB0000504703BBG0004C48H8GB0001924793 GB0002575271
07 Jun 1998GB0000504471BBG000477TJ8GB0001924579 GB0002575057

The ISINs of the Jun/Dec series are generally in alphanumerical order, except Dec2036–Jun2036 and Jun2009–Dec2008.

The ISINs of the Mar/Sep series are in alphanumerical order until Mar2037, but after that muddled.

— Julian D. A. Wiseman
London, from January 2016
www.jdawiseman.com


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