The Bank of England is the central bank of the United Kingdom. The Bank was founded in 1694, nationalized on 1 March 1946, and gained independence in 1997. The Monetary Instruments and Markets Division of the Bank of England estimates yield curves for the UK on a daily basis. There are of two kinds: One set is based on yields on UK government bonds (gilts) and includes nominal and real yield curves and the inflation term structure for the United Kingdom. The other set is based on sterling interbank rates (LIBOR) and on yields 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 and include: Implied Inflation Government Liability, Nominal Commercial Bank Liability, Nominal Government Liability, and Real Government Liability.
Key Features and Coverage on RIMES
For this data source, RIMES currently hosts 16 Yield Curve indices and 9 Money Market indices.
- Yield Curve indices include: Forward Curves, Spot Short End Curves, Implied Inflation Government Liability, Nominal Commercial Bank Liability, Nominal Government Liability,Real Government Liability, etc.
- Money Market indices include various SONIA indices and daily official bank rates. Data history for this database goes back to 1970.
Data items currently available include:
- Curve Symbols, Dates, Descriptions, Tenors, Years, Yields, etc.