Zero-coupon yield curve

The curve is a Nelson-Siegel-Svensson fit through the day's priced conventional gilts, drawn as a par yield: the coupon a new gilt of that maturity would need to trade at 100. Each point is a gilt's own gross redemption yield against its remaining term, so a gilt above the line yields more than its neighbours imply and one below yields less.

The gilts in the fit are the ones the report priced; a gilt the pipeline skipped is in the points and out of the fit. Fitted yields at the very short and very long ends are the model's extrapolation rather than any gilt's own yield, which is why the curve can extend past the last point.