UK Inflation Swap Rates Today: Current & Historic RPI Swap Rates

An inflation swap is a derivative in which one party pays a fixed rate and the other pays realised inflation on the same notional. It lets you lock in, or take a view on, future inflation without holding index-linked bonds. In the UK market the standard contract references RPI and settles in a single exchange at maturity. Here is how the contract works.

In the UK, effectively yes. The liquid UK inflation swap market trades on RPI, so ‘inflation swap rates’, ‘RPI swap rates’ and ‘the RPI curve’ usually refer to the same numbers: the fixed rates exchanged for realised RPI inflation, quoted by tenor. A smaller UK CPI swap market trades alongside it, so a contract on CPI is quoted separately, but unless stated otherwise, a UK inflation swap rate is an RPI swap rate.

Inflation swap rates are quoted as a single fixed rate, compounded annually over the life of the trade and exchanged at maturity for realised index growth. A 10-year rate of 3% means the market will lock 3% average annual inflation for ten years. That convention makes each tenor a clean read on implied inflation to that horizon.

The UK inflation swap market trades overwhelmingly on RPI, with a growing CPI market alongside it. From February 2030 the RPI methodology will be aligned with CPIH, which has historically printed lower, so tenors spanning 2030 price in lower average inflation than the short end. BlueGamma publishes the UK RPI swap curve, and a UK CPI curve derived from it using the traded RPI-CPI wedge, because the UK CPI swap market is too thin to bootstrap directly.

The UK RPI forward curve shows the RPI inflation rate the market implies for each individual future year, derived from adjacent swap tenors: the gap between the 4-year and 5-year rates isolates year five. It is sometimes called the RPI inflation curve or the RPI yield curve. Where the swap curve gives the average inflation to each horizon, the forward curve gives the path, including the step down where the market prices the 2030 alignment of RPI with CPIH.

No. The current UK RPI rate published monthly by the ONS measures price growth over the past twelve months, while inflation swap rates are forward-looking: the average annual RPI inflation the market will lock in from today. The 1-year swap rate in the table above is the closest market equivalent to a one-year-ahead RPI forecast. The two can differ materially when inflation is accelerating or falling quickly, which is exactly why hedgers price off the swap curve rather than the last print.

Inflation swap pricing starts from where the market clears: dealer quotes anchored by real hedging flow from pension schemes, LDI desks and issuers of inflation-linked debt. From the quoted swap curve, pricing a trade means interpolating the rate to the exact horizon, handling index seasonality and the publication lag, and discounting the exchange on the SONIA curve.

The 5y5y is the 5-year inflation rate starting 5 years forward, derived from the 5-year and 10-year swap rates. Central banks watch it as a gauge of medium-term inflation expectations because it looks through the current inflation cycle. BlueGamma computes forward inflation between any two tenors from the full curve.

From February 2030 the RPI methodology will be aligned with CPIH, the consumer prices index including owner occupiers' housing costs. RPI has historically printed above CPIH, so tenors that span 2030 price in lower average inflation than the short end. That step is visible in the curve, and it is real market pricing of the reform, not noise.

RPI (Retail Prices Index) and CPI (Consumer Prices Index) measure UK inflation with different baskets and formulas. RPI includes mortgage interest payments and other housing costs that CPI excludes, and uses an arithmetic averaging formula that causes it to print roughly one percentage point above CPI over time, the ‘formula effect’. CPI is the Bank of England's target measure, but RPI remains the reference index for index-linked gilts, most UK inflation swaps and many legacy contracts, and its methodology will be aligned with CPIH from 2030.

Both are market-implied inflation. Breakeven rates come from the gilt market, the gap between nominal and index-linked gilt yields, while inflation swap rates come from derivatives. They usually track each other, but issuance, pension-scheme hedging flow and liquidity premia pull them apart; that swap–gilt gap is itself a traded signal. See UK breakeven rates.

BlueGamma publishes the full UK inflation swap curve: RPI swap rates from 1 to 50 years, plus UK CPI, in the web app, the Excel Add-in and the API. Current and historical values, updated every business day from the same broker sources as the premium terminals. Start a free 14-day trial (no card required) to see them.