Index-Linked Gilts

Definitions:

• Market Price - approximate, clean price (no accrued interest included).

• Breakeven RPI Growth - the inflation rate required such that the return of the IL gilt matches that of the equivalent conventional gilt of similar maturity. From this breakeven growth the Implied Redemption amount and Implied RPI at Maturity (defined below) can be calculated. Breakeven Growth is calculated on a monthly basis from the most recently released RPI level. If "N/A" is displayed, it is possible that all future coupons and redemption amounts are known (the index linked gilt is within 2-3 months of maturity). 

• Base RPI - Reference RPI on the date the IL gilt was issued upon.

• Index Ratio - Reference RPI (Settlement Date) / Base RPI

• Net Price - includes accrued interest and Index Ratio.

• Implied Redemption - the anticipated redemption value (as a percentage of par) if annual inflation continues at the Breakeven RPI Growth rate.

• Yield - the Gross Redemption Yield of the IL gilt assuming RPI does not change from the current settlement Index Ratio (no inflation).

• Modified Duration - the change in Market Price for a +0.1% increase in Yield. Here the change is expressed as a percentage of the Market Price.

• Theo. Values Using 0% and 4% RPI Growth - the theoretical market price of the IL gilt if inflation expectations change but all other functions remain the same (i.e. conventional gilt yields are unchanged).

• Implied RPI at Maturity: absolute level of RPI at maturity implied by Breakeven RPI Growth (= Implied Redemption x Base RPI). For short dated bonds, a comparison of what this would imply for the YoY growth rate is shown.