Index-linked gilts

The Bank of England collects and publishes data relating to UK monetary financial institutions’ (MFIs’) holdings of UK government bonds (gilts) and treasury bills, split by residual maturity.
Published on 01 March 2018

These data are available in Bankstats Table B1.7.

From January 2016, this collection was extended to capture additional granularity of gilts holdings by identifying, within each maturity breakdown, the amount that relate to index-linked gilts.

Index Linked

Index-linked gilts differ from conventional gilts in that coupon and principal payments are adjusted in line with movements in inflation. Index-linked gilts are reported as a separate ‘of which’ item, for each residual maturity split. This enhanced granularity will enable users to identify, within residual maturity splits, the proportions that are impacted by changes in the Retail Price Index (RPI).

Chart A utilises the new detail and demonstrates the proportion of index-linked gilts for each residual maturity band. 

uk-mfi-holdings
Chart A: UK MFIs’ (excluding central bank) holdings of gilts by residual maturity – Dec 2017

Next steps

From this month, the Bank of England will publish a number of new series showing the stocks and flows of index-linked gilts. The new series will include the amount of index-linked gilts for gross long and short positions for all maturity splits. These data will be available monthly in the Database. The relevant Database codes for these series can be found in the table below.

For more information about previous changes to this collection, please see “Publication of additional data on UK monetary financial institutions' holdings of UK government bonds” by Dennis Jeevarajasingham.

For questions relating to this announcement please contact dsd_ms@bankofengland.co.uk or call +44 (0)20 3461 5161.

  Index-linked Gilts (£) 
  Levels  Flows 
  Long  Short  Long  Short 
Years Maturity  RPM 
<1  ZL62  ZL6H  ZL6W  ZL7D 
≥1, <2  ZL63  ZL6I  ZL6X  ZL7E 
≥2, <3  ZL64  ZL6J  ZL6Y  ZL7F 
≥3, <4  ZL65  ZL6K  ZL6Z  ZL7G 
≥4, <5  ZL66  ZL6L  ZL72  ZL7H 
≥5, <6  ZL67  ZL6M  ZL73  ZL7I 
≥6, <7  ZL68  ZL6N  ZL74  ZL7J 
≥7, <8  ZL69  ZL6O  ZL75  ZL7K 
≥8, <9  ZL6A  ZL6P  ZL76  ZL7L 
≥9, <10  ZL6B  ZL6Q  ZL77  ZL7M 
≥10, <15  ZL6C  ZL6R  ZL78  ZL7N 
≥15, <20  ZL6D  ZL6S  ZL79  ZL7O 
≥20, <25  ZL6E  ZL6T  ZL7A  ZL7P 
≥25, <30  ZL6F  ZL6U  ZL7B  ZL7Q 
≥30  ZL6G  ZL6V  ZL7C  ZL7R 

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