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