The Heriot-Watt University/Institute and Faculty of Actuaries

British Government Securities Database

 

constructed by:

Dr Andrew Cairns and Professor David Wilkie

 

sponsored by:

The Department of Actuarial Mathematics and Statistics, Heriot-Watt University

The Institute of Actuaries

 

Revision 1.10 June 2011

 

Five files are available on this database.  Apart from this ReadMe text/html file, they are all Excel 2003 Workbooks.  Anyone may download them free.  Whilst we believe the data to be correct (subject to the caveats and explanations below), their accuracy is not warranted, and we can take no responsibility for any use that may be made of the figures.  In particular they do not indicate that any actual transactions took place at those prices on the dates in question; indeed since many of the prices are constructed by averaging quotations from different market-makers, they would hardly ever be the prices of actual trades.

 

In September 2005 a new style of index-linked stock was issued (1¼% Index-linked 2055).  The indexing for this and subsequent stocks is different from the older ones, and the lag is no longer an exact eight months, but varies between two and three months.  These stocks are described in Section F.

 

If any user observes errors in our data, or has additional information or other observations, we should be very pleased to hear from them, at A.J.G.Cairns @hw.ac.uk.

 

The Excel files are:

 

A       BGSDetails.xls

B       BGSAmounts.xls

C       BGSPrices.xls

D       BGSIndices.xls

 

These are available also as csv (comma separated variable) files:

 

A       BGSDetailsCSV.csv

B       BGSAmountsCSV.csv

C       BGSPricesCSV.csv

D       BGSIndicesCSV.csv

 

The Excel files have several worksheets in each workbook.  The csv files have the contents of all worksheets in one file, so if they are read into an Excel file, all the data appears in one worksheet.  The top of each worksheet is easily identified.  The data on each line ends with the word "END" so that all the lines have the same number of commas in them, thus forming a fully rectangular array.

 

The files are also available in two zipped files:

          BGSExcel.zip

          BGSCSV.zip

each of which contains all the Excel or csv files together with this ReadMe file in both text and html format.  This may be the most convenient way to download all the files.

 

The files and their contents are described below.

 

 

 

A       BGSDetails.xls

 

A1     This file contains details of all the British Government Securities that we believe have been in issue between March 1964 and the present date.  Stocks included are: conventional gilts, floating rate stocks, index-linked stocks, STRIPS and some government guaranteed stocks.  Stocks not included are: Treasury Bills, non-sterling issues (e.g. stocks denominated in Dollars, Ecus or Euros).  Incomplete data is recorded for floating rate or variable rate stocks (e.g. the coupons paid are not shown).  Incomplete data is given for convertibles (e.g. the conversion terms).

 

A2     Three worksheets are included in the file:

          "Codes", which explains the abbreviations used on the other worksheets

          "Details" for conventional stocks

          "IL Details" for index-linked stocks

          “STRIPS” for STRIPS

 

A3     The data for each stock lies in one row.  The fields listed below are shown for conventional stocks.  Note that dates are displayed as Excel "d mm yyyy" format, i.e. the day, the first three letters of the month and the four-digit year, e.g. 1 Jul 1966.  This can easily be changed by the user in their own copy of the file.  Note that Excel records dates accurately only from 1 March 1900 (it erroneously allows 29 Feb 1900), and does not record dates prior to 1 Jan 1900.  The issue dates of some very old stocks are therefore shown as "1 Jan 1900".  The columns are the same for conventional stocks, index-linked stocks and STRIPS, although some columns are applicable only to one of these categories of stock.  For STRIPS, rather little data is relevant or necessary.

 

          A       Sequence: this is our (arbitrary) sequence number, starting initially at 100 and increasing by steps of 100, so that there is plenty of space to insert future issues.  Stocks are identified uniquely in other workbooks through this sequence number.  Conventional stocks start at 100, index-linked at 50000 and STRIPS at 60000.

 

          B       Inst Code: the abbreviation used by the Debt Management Office (DMO) for the stock.  This is in a coded form, with coupon, name, dates and suffix in sequence.

 

                   Coupon is given as a digit and possibly a letter, the digit representing the integral rate per cent, the fraction, if any, denoted by a letter:

                            H = 1/2

                            Q = 1/4

                            T = 3/4

                            A = 1/8

                            B = 3/8

                            C = 5/8

                            D = 7/8

 

 

                   Name codes are a two or three letter abbreviation and are shown in the worksheet "Codes".  The DMO uses:

                            AN    Annuities

                            CL    Consolidated

                            CV    Conversion

                            EX    Exchequer

                            FD    Funding

                            FR     Floating Rate

                            IL      Index Linked

                            ILC   Index Linked Convertible

                            TY    Treasury or Treasury Gilts (as stocks issued in 2005 and later are called)

                            TYC  Treasury Convertible

                            WR   War Stock

 

                   to which we have added, for stocks now redeemed:

                            BE    British Electric

                            BEA BEA

                            BO    BOAC

                            BT     British Transport

                            EG    Exchequer Gas

                            EXC Exchequer Convertible

                            RD    Redemption

                            SB     Savings Bonds

                            VY    Victory

                            VR    Variable Rate

 

                   Dates: the two digits giving the last two digits of the last or only year of redemption, or four digits giving the first two digits of the first and last redemption years.

 

                   Suffix: "A", "B", etc for an A, B stock, i.e. a new tranche of a stock issued at a later date

                   Example: 8HTY8082A representing 8 1/2% Treasury 1980-82 "A".

 

                   The coding for STRIPS is less condensed, and quite explicit.  Thus, e.g. UKT07JUN2002C represents the coupon strip (C) maturing on 7 June 2002, and UK7TO7JUN2002P represents the principal strip (P) for 7% Treasury 2002 also maturing on 7 Jun 2002.

 

          C       %: percentage coupon, i.e. the rate of interest per £100 nominal paid per year.

 

          D       Name: name of the stock.

 

          E       Suffix: "A", "B", ... to identify further tranches A, B, ... of each stock.

 

          F       Special features: comments relevant to the stock.  "Small" indicates a small issue, for which we have incomplete details (and no prices).  There are also other notes.

 

          G       First year: earliest year of redemption; blank if there is only one year of redemption, as for index-linked.

 

          H       Last year: latest or only year of redemption.  Blank for "irredeemables".

 

          I        Issue date: date (day-month-year) of issue.  This may be inaccurate by one or two days, because it has not always been easy to see whether the recorded date is the actual issue date or the first day of dealing; practice seems to have changed over the years.

 

          J        First coupon payable on date: the date of payment of the first interest payment.

 

          K       Earliest redemption: the date (day month year) of the first possible redemption date, or blank if there is only one redemption date.

 

          L       Latest redemption: the date (day month year) of the last or only redemption date.  The first redemption date, if any, always has the same month and year as the last.  For irredeemables it is blank.

 

          M      A (B, C ) stock merged on date: the date on which an "A" (B, C, ...) stock was amalgamated with the main stock; normally this is the xd date of the first interest payment of the A stock.  An "A" stock typically has an irregular first interest payment, and is therefore not fungible with the main stock until after this payment has gone xd.

 

          N       Actually redeemed: the date on which stocks that have been redeemed were in fact redeemed. 

 

          O       Frequency: frequency of interest payments; 2 for all stocks except for the following stocks which are payable quarterly: 2½% Consols, 2½% Annuities, 2¾% Annuities and floating rate stocks.

 

          P-S    Payment dates 1, 2, 3 and 4, in sequence within the calendar year.

 

          T       First coupon: amount of first (possibly irregular) interest payment, per £100 nominal.  This amount is calculated on the basis of the annual coupon, the number of days from the issue day to the first interest payment date, the convention applicable at the time for counting days in the year and the convention applicable at the time for the number of decimal places to which it is quoted and the way it is rounded.  The amount is given in the prospectus for each stock.  Since the conventions have varied from time to time, it has not been possible to check the exact accuracy of the figures we have given.

 

          U       Last coupon: amount of last interest payment, if this is irregular.  This can only apply to “double-dated” stocks (including irredeemables) if they are redeemed on a day other than an interest payment date.  So far it has applied only to 3½% Funding 1999-2004, which will be (was) redeemed on 6 June 2003, with a final interest payment of £1.382597 per £100 nominal.

 

          V       IL coupon rounding: (for index-linked only): number of decimal places of £1 to which the indexed coupon payments are rounded.  This was 2 (rounded down) for some early issues, is 4 (rounded down) for most issues, and is 6 (rounded to the nearer) for the most recent old-style issue.  For new-style index-linked this is left blank.

 

          W      IL redemption rounding: (for index-linked only): number of decimal places of £1 to which the indexed redemption payments are rounded.  This is so far always the same as the coupon rounding.  For new-style index-linked this is left blank.

 

          X       Indexing lag: (for index-linked only): number of months lag for indexing, which is 8 for all index-linked stocks issued before 2005.  For new-style index-linked this is left blank.

 

          Y       Base month: (for index-linked only): the month eight months before the issue date, on the basis of which indexing is calculated.  For new-style index-linked this is left blank.

 

          Z       Base RPI: (for index-linked only): the value of the Retail Prices Index (adjusted as necessary for rebasing of the RPI) for the base month for the stock.  For new-style index-linked this is the applicable interpolated RPI for the issue date.

 

          AA    Number of calls: for stocks where the issue price has been paid in instalments, by "calls", the number of such calls.  This column (and the next following columns) are blank where the issue price was paid in one instalment; the amount of the issue price is not recorded.  The number of calls, if given, is therefore at least 2, and may be as many as 4.  Details of the calls are given in the following columns.

 

          AB, AD, AF, AH         Call payment 1, 2, 3, 4: the amount of each call per £100 nominal.

 

          AC, AE, AG, AI          due on: the date on which each call was payable.

 

 

 

B       BGSAmounts.xls

 

B1     This file contains the amounts in issue of each BGS stock, including conventional and index-linked stocks, but not STRIPS, at the end of each month from March 1964 to the latest date. 

 

There are (so far) three worksheets:

          Monthly1964to1979

          Monthly1980to1999

          Monthly2000to2019

 

Index-linked stocks are included only from March 1981, when they were first issued.  The last month on each completed worksheet (e.g. Dec 1979, Dec 1999) is repeated on the next worksheet.

 

B2     Each month gets one column, and each stock one row.  Identifying data for each stock is given in the first few columns.  This should match up exactly with what is shown in the Details Workbook and in the Prices Workbook.

 

          A       Sequence: the unique sequence number used to identify the stock

          B       %: coupon per cent

          C       Stock name

          D       Suffix: A, B, C, etc for subsequent tranches of the stock

          E       First year: first possible redemption year (even for index-linked although it is always blank)

          F       Last year: last or only redemption year; blank for irredeemables

          G       Issue date

          H       Last redemption date

          I        Actually redeemed or amalgamated: for "A" stocks the date of amalgamation is shown; for other stocks the actual redemption date is shown.

          J        Special features

 

          Amount (in £ millions) in issue for each stock for which the amount was non-zero on that date.  The word "Redeemed" or "Amalgamated" appears at the end of the month in which it was redeemed or amalgamated.

 

B3     We have shown data for amounts from March 1964 because it is readily available from the Annual Reports, and it is possible that the price data might be extended back towards that date (perhaps even by someone other than us!).

 

 

 

C       BGSPrices.xls

 

C1     This file contains the quoted prices of each BGS stock, including conventional and index-linked stocks and also STRIPS, at the end of each month from November 1975 to the latest date shown.

 

There are (so far) three worksheets:

          Monthly1975to1979

          Monthly1980to1999

          Monthly2000to2019

 

Index-linked stocks are included only from March 1981 and STRIPS from December 1997.  The last month on each completed worksheet (e.g. Dec 1979, Dec 1999) is repeated on the next worksheet.

 

C2     Each month gets one column, and each stock one row.  Identifying data for each stock is given in the first few columns.  This should match up exactly with what is shown in the Details Workbook and in the Amounts Workbook.

 

          A       Sequence: the unique sequence number used to identify the stock

          B       %: coupon per cent

          C       Stock name; for STRIPS the Inst Code is shown.

          D       Suffix: A, B, C, etc for subsequent tranches of the stock

          E       First year: first possible redemption year (even for index-linked although it is always blank)

          F       Last year: last or only redemption year (blank for irredeemables)

          G       Issue date

          H       Last redemption date

          I        Actually redeemed or amalgamated: for "A" stocks the date of amalgamation is shown; for other stocks the actual redemption date is shown.

          J        Special features

 

C3     The data given for each date is:

 

          Date of last working day of each month

          Day of the week of the above

          Settlement date corresponding to the last working day

          Day of week of the above

          Price (in £ per cent nominal) for each stock for which the price was available on that date.

 

C4     The following points should be noted:

 

C5     The prices are given to different accuracy at different dates:

                   From November 1975 to June 1996 they are given in binary fractions (1/2, 1/4, etc, down to 1/32), which was the method of quotation at the time.

                   From July 1996 onwards they are given in decimals, but with varying numbers of decimal places.

 

C6     The prices come from different sources.

 

          C6.1  Conventional gilts:

                   From November 1975 to May 1984 they are derived from the prices collected by A. D. Wilkie while he was responsible for checking, by parallel running, the then Financial-Times–Actuaries Indices.

                   From June 1984 to April 1988 they have been transcribed from printouts of the microfilm versions of The Financial Times, held in Edinburgh Public Library.  These are not always clear; some end-of-month dates are so obscure that they have been deduced with the aid of the prices for the following working day and the day's change shown.  Two months (April 1987 and November 1987) are so obscure for several days in succession that we cannot read them at all.  If anyone has a suitable and legible source, such as a copy of the relevant section of The Financial Times, we would be pleased to hear from them

                   From May 1988 to June 1996 they have been transcribed from photocopies of The Financial Times held by Watson Wyatt Partners.

                   From July 1996 to March 2001 they are derived from disks provided by the DMO.

                   From April 2001 to the latest date shown they have been taken from the DMO website.

 

          C6.2  Index-linked stocks:

                   From May 1981 to December 1984 they are derived from the prices collected by A. D. Wilkie while he was responsible for checking, by parallel running, the then Financial Times–Actuaries Indices.

                   From January 1985 to April 1988 they have been transcribed from printouts of the microfilm versions of The Financial Times, held in Edinburgh Public Library.  These are not always clear; some end-of-month dates are so obscure that they have been deduced with the aid of the prices for the following working day and the day's change shown.  Two months (April 1987 and November 1987) are so obscure for several days in succession that we cannot read them at all.

                   From May 1988 to November 1992 they have been transcribed from photocopies of The Financial Times held by Watson Wyatt Partners.

                   From December 1992 to June 1996 they are derived from the prices collected by A. D. Wilkie while he was responsible for checking, by parallel running, the index-linked section of the FTSE-Actuaries Indices.

                   From July 1996 to March 2001 they are derived from disks provided by the DMO.

                   From April 2001 to the latest date shown they have been taken from the DMO website.

 

 

 

 

C7     The prices are "clean" or "dirty" depending on the class of stock and the date.

 

          C7.1

                   "Clean" means that there is no allowance for accrued interest in the quoted price; accrued interest has to be calculated separately and added (or deducted) from the quoted price to get the actual price per cent payable.

 

                   "Dirty" means that accrued interest is included in the quoted price, and there is no separate calculation of accrued interest.  The dirty price is the actual price per cent payable. 

 

          C7.2

                   Up to 28 February 1986 the prices for stocks with a maturity date greater than five years were dirty, while the prices for stocks with a maturity date less than five years were clean.

 

                   From March 1986 to the latest date the prices for all stocks are clean.

 

          C7.3

                   The way in which accrued interest has been calculated has varied from time to time.  The indices have followed the market convention at the time.  Up to 30 October 1998 the basis was "Actual/365"; from 31 October 1998 onwards it has been "Actual/Actual".

 

                   How the "ex div" (strictly "ex interest") date is determined has also varied from time to time.  Up to 31 December 1995 it was 37 calendar days before the due date, except for 2 1/2% Consols, which is payable on 5 January, 5 April, 5 July and 5 October, and for which the ex div dates were 1 December, 1 March, 1 June and 1 September.  From 1 January 1996 onwards the ex div date has been 7 working days before the due date, except for 3 1/2% War Stock (Loan) for which it is 10 working days.

 

C8     Prices are missing for some stocks for dates close to the redemption date, and for others for the whole of the last year of the stock.  Prices for some “A” stocks are missing because they did not appear in The Financial Times.

 

 

 

D       BGSIndices.xls

 

D1     Values of the FTSE-Actuaries British Government Securities Indices (formerly the Financial Times–Actuaries BGS Indices) are given for the last working day of each month from 31 December 1975 to the most recent date.  The data is all on one worksheet, called "BGSIndices1975Onwards".

 

D2     One row is used for each date.  One column is used for each index item.  Note that this is transposed from the other workbooks, but it allows all the data to go onto one worksheet.  The index items included have varied with time.  The main sections are:

          1        Gilts (i.e. conventional BGS), which have existed for the full period since 31 December 1975.

          2        Debentures and Loan Stocks, which commenced on 30 December 1977 and ceased on 30 December 1994.

          3        Preference Shares, which commenced on 30 December 1977 and ceased on 30 November 1990.

          4        Index-linked Stocks, which commenced 31 May 1981 (after the first such stock became fully paid).

          5        Bank Base Rate, commencing 31 December 1975, together with a Total Return Index based on Bank Base Rate; see Section G.

 

          Each of the sections contains price indices and yield indices.

 

D3     The items included in each of the indices has varied from time to time.  We have followed whatever was published at the date, except that we have derived our information for earlier years from the series of articles by A. D. Wilkie published in Journal of the Institute of Actuaries and in Transactions of the Faculty of Actuaries covering the years from 1976 to 1984.

 

D4     Particular changes to be noted are:

          1        Irredeemables yield: from December 1975 to December 1977 this was calculated as the “long” point of the high coupon yield curve; from December 1977 onwards it was calculated as the average (aggregate) yield of the irredeemable stocks.

          2        25/20 years yield, for Low, Medium and High Coupon bands: from December 1975 to March 1991 this was the 25 years yield from the calculated yield curves; from April 1991 to October 1998 it was the 20 years yield; the series ceased in October 1998.

          3        Number of stocks in each sector and Accrued Interest commenced in December 1990 (though the number of stocks is available sporadically before that date), for both BGS and Index-linked.

          4        For BGS the 5-10 and 10-15 year sectors, Total Return Indices, and the Yield, Duration and Weight for each sector commenced in November 1998.

          5        The Low, Medium and High coupon bands ceased in November 1998, except that Medium and High 15-year yields continued until May 1999.

          6        Preference indices commenced in December 1977 and ceased in November 1990

          7        Debenture and Loan Stock indices commenced in December 1977 and ceased in December 1994.

          8        Index-linked indices commenced in May 1981 with an All Stocks sector.

          9        For index-linked Up to 5 years and Over 5 years indices commenced in January 1986; 5-15 years and Over 15 years indices commenced in November 1998, along with Total Return Indices and Weights for each sector.

          10      For index-linked yields on the basis of 5% and 10% inflation were given from May 1981 to October 1998; yields and also duration on the basis of 0% and 5% inflation are given from November 1998 onwards.

          11      For index-linked duration on the basis of 0% inflation ceased in August 2005, but has been reinstated when available from time to time since then..

          12      For both conventionals and index-linked all the calculations of yield and duration omitted stocks with less than one year to maturity prior to 3 May 2011, but after that date these stocks have been included.  Note that this change makes only a small difference to the yields for the “Under 5 years” and “All stocks” sectors, but makes a quite large difference to the duration, especially for the index-linked.

 

D5     It sometimes occurs that an error is made in the calculation of the indices for a particular day, which may be noted and corrected by The Financial Times or by FTSE International in the following day's newspaper, or in a later day's.  If such an error occurred in the month-end indices, we may not have noticed its subsequent correction, since in general we have used the newspaper for the day following the last working day of each month.  If any such errors are drawn to our attention, we shall be please to correct them.

 

E       Monthly list of events and major changes (routine changes like adding a further month’s data not noted)

 

E1     May 2003:           Redemption of 9¾% Conversion 2003 (£12mn).

                                      Redemption of 2½% Index-linked 2003 (£2,734mn nominal).

                                      Issue of new stock: 4% Treasury 2009 (£3,500mn).

                                      Issue of further tranche of 4¼% Treasury 2036 (£2,250mn, making £5,000mn), and whole stock made strippable, with extra strips:

                                               Coupons: 7 September 2025, 7 March 2026, …, 7 March 2036.

                                               Principal: 7 March 2036.

                                      Addition of a column in BGSIndices showing Bank Base Rate at the end of each month from December 1975.

 

This report of monthly changes has not been continued.

 

 

 

F       Technical features of “new-style” index-linked gilts with three-month lag and “old-style” with eight-month lag

 

F1     The indexing method for “new-style” index linked gilts, those issued from September 2005 (1¼% Index-linked 2055), differs from the “old-style” index-linked gilts, those issued from March 1981 (2% Index-linked 1996) to July 2002 (2% Index-linked 2035).  The five differences are:

 

                   (i)      indexing of coupon and redemption amounts (see ¶F2 and ¶F3);

                   (ii)     calculation of first coupon (see ¶¶F4, F5 and F6);

                   (iii)    calculation of price (see ¶F7);

                   (iv)    calculation of accrued interest (see ¶F8 and ¶F9);

                   (v)     calculation of current indexed nominal (see ¶F10).

 

F2     For old-style index-linked indexation of coupon and redemption amounts was based on the values of the Retail Prices Index (RPI) for the month eight months prior to the date of payment and the value of the RPI eight months prior to the issue date (the Base RPI).  Thus for 2% Index-linked 2035, issued in July 2002, the Base RPI is the value of the RPI for November 2001 (eight months before July 2002), which is173.6.  The coupon due on 26 January 2006, at the rate of 1% before indexing, is calculated using the value of the RPI for May 2005 (eight months before January 2006), which is 192.0.  The coupon, per £100 nominal, is therefore calculated as 1% × 192.0 / 173.6 = £1.105991.  For this stock the coupon is rounded to the nearer £0.000001, and this is the only stock to which this rule applies.  For other stocks the rounding rules differ.  For the earliest-issued stocks the coupons and redemption amounts per £100 nominal were rounded down to £0.01.  The stocks to which this rule applies are (were):

                   2% Index-linked 1996

                   2% Index-linked 2006

                   2½% Index-linked 2011

 

For later stocks the coupons and redemption amounts per £100 nominal were rounded down to £0.0001.  The stocks to which this rule applies are (were):

                   2% Index-linked 1988

                   2% Index-linked 1990

                   2% Index-linked 1992

                   2% Index-linked 1994

                   4⅝% Index-linked 1998

                   2½% Index-linked Convertible 1999

                   2½% Index-linked 2001

                   2½% Index-linked 2003

                   4⅜% Index-linked 2004

                   2½% Index-linked 2009

                   2½% Index-linked 2013

                   2½% Index-linked 2016

                   2½% Index-linked 2020

                   2½% Index-linked 2024

                   4⅛% Index-linked 2030

 

For the last old-style index linked stock, 2% Index-linked 2035, the rule is to calculate the coupons and redemption amounts per £100 nominal to the nearer £0.000001.

 

Thus when 4⅜% Index-linked 2004 reached its redemption date of 21 October 2004 the redemption amount per £100 nominal was calculated from the Base RPI (that for January 1992, eight months before the issue date of 22 September 1992) which was 135.6 and the value of the RPI for February 2004 (eight months before October 2004) which was 183.8.  The calculation gave £100 × 183.8 / 135.6 = £135.5457 (rounded down).  The last coupon payment was indexed similarly and was calculated as 4⅜ /2 × 183.8 / 135.6 = £2.9650 (also rounded down).

 

F3     For new-style index-linked the “Reference RPI” changes each day.  On the first day of each month it is the value of the RPI for the month three months previously.  For intermediate dates it is calculated for the day by linear interpolation.  Thus 1¼% Index-linked 2055 was issued with settlement on 23 September 2005.  The Reference RPI for 1 September 2005 is that for June 2005, whose value is 192.2; the Reference RPI for 1 October 2005 is that for July 2005, whose value is also 192.2.  The Base RPI is therefore calculated as (22 × 192.2 (the later one) + 8 × 192.2 (the earlier one)) / 30 = 192.2 exactly.  Normally the Reference RPI would be rounded to the nearer 5th decimal place.  The first coupon for this stock is due on 22 May 2006, and the Reference RPI will be calculated as: (21 × RPI for March 2006 + 10 × RPI for February 2006) / 31 and the “RPI Ratio” for that date will be calculated as this value divided by the Base RPI (=192.2) rounded to the nearer 5th decimal place.

 

F4     For most gilts (unless issued on a coupon date) the first coupon is an irregular one, and depends on the number of days between the issue date and the date of payment of the first coupon.  The period until the first coupon is paid may be shorter or longer than half a year and the calculation is slightly different in each case.  Consider again 2% Index-linked 2035, an “old-style” index-linked, issued on 11 July 2002 with the first coupon payable on 26 January 2003.  Normal coupons are payable on 26 January and 26 July each year, and these dates are treated as “pseudo-coupon days” even when no coupon is payable on them.  The period for the first coupon is counted as interest for 15 days (from 11 July 2002 to 26 July 2002) plus one half year (from 26 July 2002 to 26 January 2003).  There are 181 days from 26 January 2002 to 26 July 2002 (it was not a leap year) so the non-indexed coupon per £100 nominal would be calculated as 2% × (15/181 + 1) × ½  = 1.0828729... .  The extra dots after this number indicate that there are more decimal digits, not shown.  However, this now needs to be indexed, and the indexation can be calculated at the time the stock is issued, because the values of the RPI for the relevant dates, November 2001 (eight months before the issue date) and May 2002 (eight months before the first coupon date) are known.  They were 173.6 and 176.2 respectively.  The indexed first coupon was therefore 1.0828729 × 176.2 / 173.6 = 1.099091, rounded to the nearer £0.000001.  This indexed first coupon could therefore be announced when the stock was first issued, and the indexed accrued interest could be calculated from the issue date.

 

F5     For stocks with short first period the calculation depends only on the number of days in the period, and there is no addition of one half a year.

 

F6     For “new-style” index-linked the calculations are in principle the same, but the indexed amount is not known at the issue date.  1¼% Index-linked 2055 was issued 23 September 2005 with coupons payable on 22 May 2006.  The long first period is counted in two parts, 60 days from 23 September 2005 to 22 November 2005 and one half-year from 22 November 2005 to 22 May 2006.  The non-indexed first coupon per £100 nominal is calculated as 1.25 × (60/184 + 1) × ½ = 0.828804… .  This number will in due course be multiplied by the RPI Ratio for 22 May 2006, as described in ¶F3, which will be known about the middle of April 2006, and which will be rounded to the nearer 5th decimal place; the resulting product will then be rounded to the nearer 6th decimal place of £1.

 

F7     For old-style index-linked gilts the quoted price per £100 nominal is the actual price, and includes such indexation as the market thinks fit.  For new-style index-linked the quoted price is a notional “real” price, and needs to be indexed to the settlement date to get the actual price.  The quoted price for 1¼% Index-linked 2055 on Friday, 30 September 2005 was 106.48 per £100 nominal.  Settlement was on Monday, 3 October 2005.  The Reference RPI for 3 October 2005 is calculated from the values for the RPI for July 2005 (192.2) and August 2005 (192.6) and its value is: (2 × 192.6 + 29 × 192.2) / 31 = 192.22581 (rounded to the nearer 5th decimal place).  The RPI Ratio for 3 October 2005 is calculated as the Reference RPI for that date divided by the Reference RPI for the base date, 192.2, as shown in ¶F3, which comes to 192.22581 / 192.2 = 1.00013 (rounded to the nearer 5th decimal place).  The indexed (clean) price for 30 September is therefore calculated as 106.48 × 1.00013 = 106.493842… .  This is left unrounded at this stage.

 

F8     Accrued interest on old-style index-linked is calculated as for conventional (unindexed) gilts.  The amount of the next coupon payment is known at the beginning of the interest period, so the accrued interest can be calculated on the “actual/actual” basis from the start of the period.  The actual quoted price of 2% Index-linked 2035 on 30 September 2005 was 128.22.  The coupon due on 26 January 2006 is 1.105991, calculated as one half of 2% × RPI for May 2005 / Base RPI, that for November 2001 = ½ × 2 × 192.0 / 173.6.  The accrued interest for the settlement date of 3 October 2005 was 0.414747…, and the “dirty” price (including accrued interest) was 128.22 + 0.414747… = 128.634747… .

 

F9     Accrued interest on new-style index-linked is calculated in the opposite order.  First, the unindexed amount is calculated, and then this is indexed up to the settlement date.  We return to 1¼% Index-linked 2055.  On 30 September 2005, with a settlement date of 3 October the unindexed accrued interest, based on the irregular long first period, is calculated counting 10 days from 23 September 2005 to 3 October 2005 as 1.25 /2 × 10/184 = 0.033967… .   We now index this in the same way as the clean price (see ¶F7) by multiplying by the RPI ratio of 1.00013, giving

0.033972… .  This is added to the clean price, 106.493842…, giving a dirty price per £100 nominal  of 106.527814… .  This is finally multiplied by the size of the deal and rounded to pennies for payment.

 

F10   In the BGSAmounts file the unindexed nominal amounts for each stock, as the end of each month, are shown, and for index-linked stocks also the indexed amounts.  For old-style gilts this is the unindexed amount multiplied by the value of the RPI for the month eight months prior to the given month and divided by the Base RPI.  For new-style index-linked it is the unindexed amount multiplied by the RPI for two months prior to the given month and divided by the Base RPI; this has the effect of indexing the amount to the first day of the month following the given month.

 

F11   In the BGSDetails file the unindexed first coupon is shown; the fields showing the rounding and lag are blank, as is the Base Month, and the Base RPI is shown, rounded to the 5th decimal place.  In the BGSPrices file the unindexed quoted price is shown for new-style index-linked.

 

 

 

G       Calculation of the Total Return Index based on Bank Base Rate

 

G1     In the BGSIndices file, column GN shows the value of Bank Base Rate (in the past also known as Bank Rate and Minimum Lending Rate), on the last working day of each month.  Column GO shows a Total Return Index (TRI) calculated on the basis of this interest rate in the following way.  The index is calculated as at the last working day of each month (as shown in Column B), and is compounded monthly.  Interest is credited on a daily basis, taking account of the values of Bank Base rate on each day.  (We have the dates of change recorded in a separate file, but they are not shown here.)  In a leap year interest is credited for 29 February, but calculated throughout the year by dividing by 365 not 366.  The base of the index is 100.00 on 31 December 1975.

 

 

 

Acknowledgments

 

The help of the Debt Management Office, FTSE International, Watson Wyatt Partners and also David Jones and Craig MacLean, students from the Department of Actuarial Mathematics and Statistics at Heriot-Watt University, who transcribed much of the data, is gratefully acknowledged.

 

 

David Wilkie and Andrew Cairns

First edition: April 2002

Last revision: March 2014