The film is one of a series of films commissioned by Sky TV, each to mark one of the twelve days of Christmas.
UPDATE: Neil Gaimen has completed filming and editing his short film, talking a little about it on his blog:
The film was finished. I spent the last few days editing it with a terrific editor named Amanda James, and it was handed in, with a cut-off of last night at 7:30pm, when we had to lock it (because today we will grade the film). At 7:28 we were sitting nervously looking at the phone waiting for the Senior Executive at Sky TV to tell us what he thought, and at 7:29 we had huge grins on our faces, because he had phoned and told us that he was very very happy indeed, had absolutely loved it and he wouldn't change a frame.You can check out the short here.
It's eight minutes and 21 seconds long.