Gilt Reference Prices
Report Overview
GEMMA reference prices were first published on 12 July 1996 and are available here from that date to 21 July 2017 when the DMO ceased publishing reference prices for gilts, STRIPs and Treasury Bills, while the corresponding redemption yields are available on this website from 25 November 2002 to 21 July 2017. Prices and yields were only produced for UK business days i.e. data are not available for weekends or bank holidays. If you are using this report to retrieve several years’ data you will need to split your request into smaller batches. In this instance it is recommended that you retrieve one year of data at a time. Please be aware that there are a limited number of errors with this historical price/yield data set.
1
A description of the method used to construct GEMMA reference prices can be found in the Formulae & Examples section of this website. Clean prices have been rounded to the nearest 2 decimal places since 6 April 1999. A list of UK bank holidays is available in the Formulae & Examples section of this website.
2
For index-linked gilts with a 3-month indexation lag the clean price is the real clean price, while the dirty price is the inflation-adjusted dirty price.
3
For conventional gilts the yield shown is a nominal yield, while for index-linked gilts it is a real yield. For index-linked gilts with an 8-month indexation lag the yield is computed using a 3% inflation assumption, while for index-linked gilts with a 3-month indexation lag a simpler yield formula is used which ignores the lag and so does not depend on an inflation assumption.
4
It is assumed that all double-dated gilts will be redeemed on the first redemption date, irrespective of whether or not they have been called.