The Macro-Financial Analysis Division of the Bank of England estimates yield curves for the United Kingdom on a daily basis. They are of three kinds. One set is based on yields on UK government bonds. It includes nominal and real yield curves and the implied inflation term structure for the UK. Another set is based on sterling interbank rates (LIBOR) and on instruments related to LIBOR (short sterling futures contracts, forward rate agreements and LIBOR-related interest rate swaps). These commercial bank liability curves are nominal only. The other set is based on sterling overnight interest rates (SONIA) and on related overnight index swap rates (OIS). The methodology used to construct the yield curves is described in the Bank of England Quarterly Bulletin article by Anderson and Sleath (1999), and a detailed technical description can be found in their Bank of England Working Paper no.126, 'New estimates of the UK real and nominal yield curves'. The way in which the methodology is adapted for the commercial bank liability curves is described in the Quarterly Bulletin article by Brooke, Cooper and Scholtes (2000) – see especially the appendix. The methodology used for the nominal OIS curves is analogous to that of the government bond yield curve; more information on SONIA rates and OIS contracts can be found in the Quarterly Bulletin article by Joyce and Meldrum (2008). For examples of the way in which the Bank uses and interprets these data, see the Money & Asset Prices chapter of the Bank's Inflation Report. These background notes describe some terminology, the relevant financial instruments and other points to be aware of.1
The government liability nominal yield curves are derived from UK gilt prices and General Collateral (GC) repo rates. The real yield curves are derived from UK index-linked bond prices (section 1 below describes these instruments). By appealing to the Fisher relationship, the implied inflation term structure is calculated as the difference of instantaneous nominal forward rates and instantaneous real forward real rates (section 2 makes clear exactly what these terms mean). The instruments used in the construction of the commercial bank liability curve are first converted into synthetic bonds, and the same method is then used to produce the commercial bank liability curve as is used for the nominal government curve. The nominal OIS yield curves are derived from the fixed interest rate component of spot OIS contracts.
The spreadsheets on the Bank’s website provide spot rates and instantaneous forward rates for each type of curve. For horizons out to five years, points on the curves are available at monthly intervals. The spreadsheets also show available points on the government and bank liability curves out to a horizon of 25 years at half-yearly intervals.