IUMSNIF

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Date End month level of yield from British Government Securities, 5 year Nominal Implied Forward
[a]
IUMSNIF
31 Jan 10 4.7695
28 Feb 10 4.9543
31 Mar 10 4.8541
30 Apr 10 4.7378
31 May 10 4.3497
30 Jun 10 4.1008
31 Jul 10 4.0366
31 Aug 10 3.3835
30 Sep 10 3.5448
31 Oct 10 3.6815
30 Nov 10 3.8999
31 Dec 10 4.1455
31 Jan 11 4.4691
28 Feb 11 4.4293
31 Mar 11 4.4223
30 Apr 11 4.2309
31 May 11 4.0168
30 Jun 11 4.1211
31 Jul 11 3.4725
31 Aug 11 3.1535
30 Sep 11 2.7497
31 Oct 11 2.8642
30 Nov 11 2.7773
31 Dec 11 2.3457
31 Jan 12 2.282
29 Feb 12 2.3909
31 Mar 12 2.4834
30 Apr 12 2.4155
31 May 12 1.7025
30 Jun 12 1.985
31 Jul 12 1.6935
31 Aug 12 1.7444
30 Sep 12 1.7798
31 Oct 12 2.0057
30 Nov 12 1.892
31 Dec 12 2.0206
31 Jan 13 2.4148
28 Feb 13 2.3062
31 Mar 13 1.9799
30 Apr 13 1.8629
31 May 13 2.3069
30 Jun 13 2.9873
31 Jul 13 2.8666
31 Aug 13 3.2732
30 Sep 13 3.1652
31 Oct 13 3.1121
30 Nov 13 3.3304
31 Dec 13 3.7375
31 Jan 14 3.3502
28 Feb 14 3.3598
31 Mar 14 3.3276
30 Apr 14 3.2332
31 May 14 3.0915
30 Jun 14 3.1761
31 Jul 14 3.1222
31 Aug 14 2.6917
30 Sep 14 2.7932
31 Oct 14 2.6187
30 Nov 14 2.2548
31 Dec 14 2.0892
31 Jan 15 1.5646
28 Feb 15 2.1396
31 Mar 15 1.9457
30 Apr 15 2.2546
31 May 15 2.2157
30 Jun 15 2.4953
31 Jul 15 2.3015
31 Aug 15 2.2616
30 Sep 15 2.0513
31 Oct 15 2.2229
30 Nov 15 2.1099
31 Dec 15 2.2498
31 Jan 16 1.8468
29 Feb 16 1.4908
31 Mar 16 1.6175
30 Apr 16 1.8323
31 May 16 1.6911
30 Jun 16 1.0534
31 Jul 16 0.7805
31 Aug 16 0.5897
30 Sep 16 0.7379
31 Oct 16 1.3711
30 Nov 16 1.6406
31 Dec 16 1.447
31 Jan 17 1.6391
28 Feb 17 1.1949
31 Mar 17 1.1962
30 Apr 17 1.1677
31 May 17 1.1043
30 Jun 17 1.3363
31 Jul 17 1.29
31 Aug 17 1.083
30 Sep 17 1.4573
31 Oct 17 1.4498
30 Nov 17 1.4534
31 Dec 17 1.3139
31 Jan 18 1.6218
28 Feb 18 1.6512
31 Mar 18 1.4628
30 Apr 18 1.5825
31 May 18 1.3979
30 Jun 18 1.4539
31 Jul 18 1.5057
31 Aug 18 1.4848
30 Sep 18 1.6555
31 Oct 18 1.4813
30 Nov 18 1.3206
31 Dec 18 1.276
31 Jan 19 1.2083
28 Feb 19 1.2968
31 Mar 19 0.9536
30 Apr 19 1.1711
31 May 19 0.8355
30 Jun 19 0.7791
31 Jul 19 0.5386
31 Aug 19 0.2753
30 Sep 19 0.2786
31 Oct 19 0.4255
30 Nov 19 0.5293
31 Dec 19 0.7214
31 Jan 20 0.3746
29 Feb 20 0.2922
31 Mar 20 0.2286
30 Apr 20 0.1519
31 May 20 0.058
30 Jun 20 0.0749
31 Jul 20 -0.0089
31 Aug 20 0.2633
30 Sep 20 0.1241
31 Oct 20 0.1798
30 Nov 20 0.259
31 Dec 20 0.1376
31 Jan 21 0.3044
28 Feb 21 0.9291
31 Mar 21 0.9878
30 Apr 21 1.0086
31 May 21 0.9474
30 Jun 21 0.8536
31 Jul 21 0.6643
31 Aug 21 0.7031
30 Sep 21 1.0681
31 Oct 21 1.0318
30 Nov 21 0.7884
31 Dec 21 0.9294
31 Jan 22 1.2769
28 Feb 22 1.2918
31 Mar 22 1.522
30 Apr 22 1.8344
31 May 22 2.019
30 Jun 22 2.1202
31 Jul 22 1.6591
31 Aug 22 2.5576
30 Sep 22 4.0474
31 Oct 22 3.6807
30 Nov 22 3.1516
31 Dec 22 3.602
31 Jan 23 3.2712
28 Feb 23 3.5807
31 Mar 23 3.1868
30 Apr 23 3.3734
31 May 23 3.7757
30 Jun 23 3.8246
31 Jul 23 3.7941
31 Aug 23 3.9431
30 Sep 23 4.0953
31 Oct 23 4.245
30 Nov 23 3.8502
31 Dec 23 3.2384
31 Jan 24 3.4935
29 Feb 24 3.7651

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Notes:

[a] Calculated using the Variable Roughness Penalty (VRP) model.