Overview

In March 2016 the France National Institute of Statistics and Economic Studies (INSEE) rebased (re-referenced) the France Consumer Price Index: Excluding Tobacco (FRCPXTOB Index) to July 2015 = 100. The official announcement is available here:

http://www.aft.gouv.fr/articles/oatis-and-btanis-indexation-coefficients_681.html

Monthly CPI values are available from the INSEE for both base 2015 and base 1998 at the website below. However, French ILBs that span the rebasing date require monthly CPI values out to 5 decimal places prior to March 2016. If these are not available from a data vendor, they can be calculated offline using the attached ILB Rebasing - France.xlsx spreadsheet. Refer to the "Calculated Rate" tab.

http://www.bdm.insee.fr/bdm2/affichageSeries.action?idbank=001763852&page=seriesCorrespondantes&codeGroupe=1742&recherche=idbank

Processing

To properly account for French ILBs that span rebasing, the base 2015 FRCPXTOB Index security must be loaded with adjusted CPIs prior to March 2016. These rates will be calculated out to 5 decimal places rather than 2 as published. CPI values for March 2016 and all subsequent months can be loaded directly as published to 2 decimal places.

The loading of unrounded monthly CPI values is a one-time exercise that is only required for backdated trades or rollback/replay prior to March 2016. This ensures the correct daily index ratios (as shown in the "STAR Recon" tab of attached spreadsheet) are calculated both historically and subsequent to rebasing.

Refer to attached spreadsheet (ILB Rebasing - France.xlsx) for a sample French ILB security validated in Eagle Accounting.