Overview

On 10/24/12 the Australian Bureau of Statistics rebased (re-referenced) the Headline CPI “Weighted Average of Eight Capital Cities: All-Groups Index” (AUCPI index) to 100 for the fiscal year 2011/12. The old index (based in 1989/90) was discontinued, and the new index (based in 2011/12) is now used.

The calculation of a retroactive history for the rebased index resulted in rounding differences when compared to the AUCPI90. As a result, the inflation adjusted principal calculated by Accounting for periods prior to 10/24/12 will be incorrect when using the AUCPI index. The inflation adjusted principal is cumulative, so the current period adjustment will be off due to the incorrect calculation of adjustments in prior periods. This is why ILB Calculation Type = RATIOS_SD must be used.

Processing

To properly account for Australian ILBs that span the rebasing date (October 24, 2012), ILB Calculation Type should be set to RATIOS_SD, with the correct daily ILB Index Ratios calculated offline. This only affects issues prior to 10/24/12.

For coupon periods that begin on or after 10/24/12, the rebased index values are used. These values can be found on the AUCPI index in Bloomberg. A retroactive history for the AUCPI based in 2011/12 was calculated and published to 1 decimal place.

Historical index values based in 1989/90 can be found on the AUCPI90 index. Coupon periods prior to or spanning 10/24/12 still use this index.