Par RPI curve

Implied RPI annual growth is the difference between the interpolated yield curve for conventional gilts and the real yield curve derived from index-linked gilts of corresponding maturities. That spread is the breakeven RPI rate at which the two would return the same — in other words, the market's inflation expectation.

Where the method is approximate

• Projected over maturity. The implied rate from coupon-bearing bonds is projected onto their maturity dates rather than decomposed across time horizons, so the curve reports breakeven rates at maturities, not instantaneous forward rates.
• Not zero-coupon. Nothing is bootstrapped from zero-coupon yields, so coupon effects are baked in and can distort the picture over short intervals.
• A par RPI curve. What comes out is the average RPI expectation implied by coupon bonds up to each maturity.
• Tax bias. Low-coupon gilts are more tax efficient and tend to trade at lower yields, which biases the implied rates.