CPI Re-referencing – Impact on Treasury Indexed Bonds
4 September 2012
The Australian Bureau of Statistics has announced that the Consumer Price Index (including the ‘Weighted Average of Eight Capital Cities: All-Groups Index’ used in calculations relating to Treasury Indexed Bonds) is to be re-referenced (see http://www.abs.gov.au/AUSSTATS/abs@.nsf/mediareleasesbyReleaseDate/DE7A3CDF9E18DF2CCA257AFB000E5156?OpenDocument):
“From the September quarter 2012, all index numbers will be calculated on a new index reference period of 2011-12. This will result in the index numbers for each index series being reset to 100.0 for the financial year 2011-12. Period-to-period percentage changes may differ slightly to those previously published due to rounding and the re-referencing. These differences do not constitute a revision.”
The Kt values relating to Treasury Indexed Bond coupon interest payments in November and December 2012 are as published by the Reserve Bank of Australia:
|Treasury Indexed Bond line||Kt|
|20 August 2015||164.14|
|20 August 2020||151.89|
|21 February 2022||100.62|
|20 September 2025||108.35|
|20 September 2030||105.74|
The CPI numbers expressed on the new base as published by the Australian Bureau of Statistics will be used for the purpose of calculation of future p and Kt values for all Treasury Indexed Bonds.
Pricing formulae for Treasury Indexed Bonds are available on the Australian Office of Financial Management’s website.
Last updated: 21 March 2014