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Home > Statistics > Yield Curves
 

Yield Curves

What are Yield Curves?

The Macro Financial Analysis Division of the Bank of England estimates yield curves for the UK on a daily basis. They are of three kinds. One set is based on yields on UK government bonds (gilts) and includes nominal and real yield curves and the inflation term structure for the United Kingdom. Another set is based on sterling interbank rates (LIBOR) and on yields on instruments linked to LIBOR, short sterling futures, forward rate agreements and LIBOR-based interest rate swaps. These commercial bank liability curves are nominal only. The third set is based on sterling overnight index swap (OIS) rates, which are instruments that settle on overnight unsecured interest rates (the SONIA rate in the UK). OIS curves are for nominal rates only.
 
For queries relating to data quality or technical issues, please contact yieldcurve@bankofengland.co.uk, where we endeavour to respond within five working days of receipt. You may wish to view our list of frequently asked questions before emailing, as our most common enquiries are dealt with there.
 
 
We aim to publish yield curves by noon of the following business day. If you are having problems viewing up-to-date data, please see our frequently asked questions for help on fixing the problem.
 
Please address wider queries about the nature of the Bank's work (not related to statistics) to enquiries@bankofengland.co.uk
 
The estimates of the real government liability curve for the period 2007 to 15 December 2014 were revised on 16/12/2014. The estimates of the inflation government liability curve, which is derived from the estimates of the nominal and real government liability curves, have also been revised.
 
Page Last Updated: 22 December 2014
 

Latest data (current month)
(click here for archive data)

 ​Nominal (commercial bank liability) (2.7MB) ​Chart
 Nominal (government liability) (2MB) ​Chart
 Nominal (overnight index swap) ​Chart
​ Real (government liability) ​Chart
​ Implied inflation (government liability) ​Chart

 

 

 

UK instantaneous commercial bank liability forward curve

 

UK commercial bank liability forward curves graph
* The curve on the day of the previous MPC meeting is provided as reference point
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UK instantaneous nominal forward curve (gilts)
UK government liability forward curves graph

* The curve on the day of the previous MPC meeting is provided as reference point
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UK instantaneous nominal forward curve (OIS)
UK OIS curves graph

* The curve on the day of the previous MPC meeting is provided as reference point
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UK instantaneous implied real forward curve (gilts)
UK implied real forward curves graph

* The curve on the day of the previous MPC meeting is provided as reference point
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UK instantaneous implied inflation forward curve (gilts)
UK implied inflation forward curves graph

​* The curve on the day of the previous MPC meeting is provided as reference point
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Key Resources

​  Yield curve terminology and concepts 
       Notes on the Bank of England Yield Curves 

  Commercial bank liability curve 
       Bank of England Quarterly Bulletin Nov 2000