Gilt and Treasury Bill Reference Price Provision
The DMO currently publishes daily end of day gilt and Treasury bill reference prices on behalf of the Gilt-edged Market Makers Association (GEMMA) and CREST respectively. On 21 January 2015 the DMO announced a strategic intention to withdraw in due course from the provision of these reference prices.
As a first step towards withdrawing from the provision of these prices, the DMO has engaged with market participants, data providers, market infrastructure providers and other stakeholders in order to explore with them the markets’ requirements for gilt and Treasury bill prices; to build stakeholder consensus around the conditions for the DMO ceasing to provide reference prices; and to help to identify potential alternative ways that requirements can be met.
In May 2015 the DMO published the feedback that it received during this stakeholder engagement process and in July it announced that the government intends to establish a formal and independent process to review the provision of reference prices and facilitate the transition to a successor arrangement through the appointment of an individual to lead the review and oversee the transition.
In January 2016, the government appointed Professor David Miles CBE, professor at Imperial College, London and former member of the Bank of England’s Monetary Policy Committee, to lead this review.
On 19 May 2016, the Independent Reference Prices Review launched a consultation to gather further views on the necessary features of any successor arrangements and the approach to transitioning to them.
All interested parties were encouraged to respond to the consultation by 19 June 2016.
On 5 July 2016, a Request for Proposals was published by the Review as an open invitation for potential providers to submit their proposals to the Review. The Independent Reference Prices Review published its final report on 11 October 2016. The Review found that FTSE Russell and Tradeweb jointly put forward the strongest proposal for future reference price provision and that the DMO should actively assist with, and monitor, the transition to the new pricing arrangement.
In February 2017, FTSE Russell and Tradeweb announced that they will be in a position to produce a full set of end-of-day reference prices for gilts, strips and Treasury bills from late March 2017. On the basis that this successor pricing arrangement is available from late March 2017 and market participants are sufficiently prepared for the transition, the DMO expects to cease publishing end-of-day and intraday reference prices in July 2017.
If you would like further information on the solution being developed by FTSE Russell and Tradeweb you can contact Tradeweb on ECS@Tradeweb.com or 020 7776 3200.