We produce three types of estimated yield curves for the UK on a daily basis:
- A set based on yields on UK government bonds (also known as gilts). This includes nominal and real yield curves and the implied inflation term structure for the UK.
- A set based on sterling interbank rates (LIBOR) and 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. These curves will be discontinued at the end of 2021 in line with the cessation and loss of representativeness of the LIBOR benchmarks. Archive data will remain available after this date.
- A set based on sterling overnight index swap (OIS) rates. These are instruments that settle on overnight unsecured interest rates (the SONIA rate in the UK). OIS curves are for nominal rates only. In light of the transition away from the LIBOR benchmarks towards risk-free rates (including SONIA), we aim to publish OIS curves out to longer maturities as soon as operationally possible.
We aim to publish the latest daily yield curves by noon on the following business day.
Archive yield curve data are available by close of business of the second working day of a month, for example, data for the 31/12/10 will be published by close of business 05/01/11.