Sterling closes

August 28, 2009

The UK’s debt management office publishes closing prices calculated as an average of Gilt dealer prices here. One application of the prices is dealer execution of fund manager orders for execution at the close. The dealer and real money manager don’t know what the execution price will be when the order is placed, but that’s not a problem as the fund manager trusts the DMO price.


2 Responses to “Sterling closes”

  1. Is this analogous to the “Average Price” which so-called non-competitive bidders receive at US Treasury auctions? If so, there’s a easy way to game the process … which was made illegal in the US after the Moser/Meriwether/Salomon Brothers scandal in the 1990’s….

  2. etrading Says:

    I don’t know if the DMO closes are used in the primary market at all…

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