Yield curves

The Bank of England publishes daily estimated yield curves for the UK.

We produce three types of estimated yield curves for the UK on a daily basis:

  1. 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.
  2. 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.
  3. 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.

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. 

Other Latest yield curve data

PDF Yield curve terminology and concepts

PDF Commercial bank liability curve: Quarterly Bulletin article

UK instantaneous nominal forward curve (gilts)

UK instantaneous nominal forward curve (gilts)

* The curve on the day of the previous MPC meeting is provided as reference point
Sources: Bloomberg, TradeWeb and Bank calculations

UK instantaneous implied real forward curve (gilts)

UK instantaneous implied real forward curve (gilts)

* The curve on the day of the previous MPC meeting is provided as reference point
Sources: Bloomberg, TradeWeb and Bank calculations
UK instantaneous implied inflation forward curve (gilts)

UK instantaneous implied inflation forward curve (gilts)

* The curve on the day of the previous MPC meeting is provided as reference point
Sources: Bloomberg, TradeWeb and Bank calculations
UK instantaneous commercial bank liability forward curve

UK instantaneous commercial bank liability forward curve

* The curve on the day of the previous MPC meeting is provided as reference point
Sources: Bloomberg and Bank calculations 

UK instantaneous nominal forward curve (overnight index swaps)

UK instantaneous nominal forward curve (overnight index swaps)

* The curve on the day of the previous MPC meeting is provided as reference point 
Sources: Bloomberg and Bank calculations

This page was last updated 13 December 2017
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