Yield Curves
Frequently Asked Questions
- How often is the information on this site updated?
- Why doesn't the spreadsheet for the latest month contain up-to-date data?
- At which frequency are the yield curves compounded?
- Are the yields quoted on an annual basis?
- What are the day count conventions?
- Why are the yields not available for all maturities on some trading days?
- Where can I get more information on how to interpret movements in yield curves?
- Where can I get UK yield curve data going further back in time?
- Where can I get yield curve data for other countries?
- Where can I get data on Libor and other market interest rates?
- Which curve is used to derive the market expectations of the Bank's policy rate published in the Inflation Report?
- Why is there no short-end information for the government curve prior to March 1997?
How often is the information on this site updated?
We aim to publish yield curves by noon of the following business day. The site shows when the data were last updated.
Why doesn’t the spreadsheet for the latest month contain up-to-date data?
If the downloaded spreadsheet does not contain up-to-date data, it is possible this is due to an old version of the page being saved in your cache memory. It is often possible to fix this problem by ensuring that you have accessed the page using the link below and by refreshing the web-page before downloading the spreadsheet.
http://www.bankofengland.co.uk/statistics/yieldcurve/index.htm.
At which frequency are the yield curves compounded?
All our yields are continuously compounded.
Are the yields quoted on an annual basis?
Yes, all yields are annualised.
What are the day count conventions?
We follow the conventions used in the market. For UK government bonds this has been Actual/Actual since November 1998 and Actual/365 prior to that. For all other instruments the convention is Actual/365.
Why are the yields not available for all maturities on some trading days?
The start and end points of our estimated curves depend on the shortest and longest market instruments for which reliable prices are available. Therefore, the range of maturities for which yields are available may vary according to the instruments available.
Where can I get more information on how to interpret movements in yield curves?
General discussion of yield curve movements can be found in Section 1 of the Bank’s Quarterly Inflation Report, and also in the Markets and Operations section of the Bank’s Quarterly Bulletin.
Where can I get UK yield curve data going further back in time?
A good source for this kind of historical data is the book by F Capie and A Webber, 'A Monetary History of the United Kingdom 1870-1982', published by Routledge. Alternatively a good web source is www.globalfindata.com.
Where can I get yield curve data for other countries?
The ECB homepage has nominal yield curve data for the euro area. The Federal Reserve Board's homepages contain nominal and real yield curve data for the US.
Where can I get data on Libor and other market interest rates?
Libor rates for a number of currencies and also sterling market Repo rates are provided on the BBA website.
Which curve is used to derive the market expectations of the Bank's policy rate published in the Inflation Report?
The projections for CPI inflation and GDP growth published in the Inflation Report are conditioned on a benchmark path for Bank Rate over the future. This assumes that Bank Rate follows a path implied by a yield curve calculated from certain financial market instruments. An explanation of how the MPC derived the conditioning paths for previous Inflation Report projections can be found here.
Why is there no short-end information for the government curve prior to March 1997?
The market for generalised collateral (GC) repo agreements began
in January 1996. GC repos became a more satisfactory indicator
of expectations of future interest rates after March 1997, when
the Bank began conducting its Open Market Operations using gilt
repos. Prior to this date the only available short maturity
assets we could use would be Treasury bills, which do not have
an active secondary market and the prices of which are affected
by banks’ liquidity requirements.
