Daily Prices and Yields
At the end of each business day, each Gilt Edged Market Maker (GEMM) sends the DMO a set of mid-market closing prices for those gilts in which it makes markets (conventional gilts, index-linked gilts, or both, with the exception of rump gilts and STRIPS). The DMO collates prices for each gilt and then publishes an averaged mid-price, together with the associated gross redemption yields, as the Gilt Edged Market Makers Association (GEMMA) reference price. The reference prices that the DMO publishes for rump gilts are derived from the prices of other benchmark gilts. Since 3 October 2011, prices for STRIPS have been calculated using the DMO's theoretical yield curve model fitted to conventional gilts; these prices are not intended to represent market prices at which the securities could be traded (previous to this date, prices were based on end-of-day market price contributions by the GEMMs). In particular, for a given maturity principal strip the model will set the price of this strip to be identical to the price of the corresponding coupon strip regardless of whether these securities are trading at different levels in the market.
For a given gilt the reference price is not intended to give a market price at which it could or has been traded. The DMO collates reference prices on behalf of GEMMA and is in no way responsible for the accuracy and coverage of the underlying prices contributed by the GEMMs. Any errors identified in published reference prices will be corrected ASAP, on a best endeavours basis, and the DMO assumes no responsibility towards users of the reference prices. In addition the DMO reserves the right to share prices submitted by the GEMMs with other official bodies in appropriate circumstances.
The DMO aims to publish GEMMA reference prices for a particular day on its wire services pages at 5:00pm and subsequently on its website from approximately 6.30pm each day. This publication timetable is adhered to on a best endeavours basis.
Closing Prices and Yields
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