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We examine the impact of the first phase of the Bank of England’s quantitative easing (QE) programme during March 2009–January 2010 on the UK government bond (gilt) market, using high-frequency, disaggregated data on individual gilts. We find that: QE announcements took varying amounts of time to get incorporated into market prices and had significant effects on the shape of the term structure; the Bank’s reverse auctions were initially associated with additional yield reductions; and, allowing for fiscal news and the changing macroeconomic outlook, QE appears to have had persistent effects on gilt yields.