Gilt Market

Yields and Returns

This section includes data on the returns available from gilts as measured by redemption yields and holding period returns. The redemption yield of a gilt is a measure of the return implicit in its prevailing market price, assuming that the gilt is held to maturity and that all cash flows are reinvested back into the gilt. The holding period return of a gilt is calculated as the percentage change in its dirty price over a specified period of time.

The price and yields report includes daily close of business reference yields on all gilts since November 2002. In addition, historical average conventional gilt yields are provided, these being calculated as the average daily close of business yields for the prevailing short, medium, long and ultra-long dated benchmark gilts for each month since April 1998. Average daily yields for 2½% Consolidated Stock are available on an annual basis from 1900.