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CCH Software User Documentation

How are index-linked gilts priced in the data feed?

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CCH asked Interactive Data this question, who replied as follows:

"All of the UK Index-Linked Gilts your client lists were issued after July 2005: all Gilts issued after this date are priced exclusive of the inflation index-ratio. Any Gilts issued before July 2005, are priced inclusive of the index-ratio.

So for these Gilts in question, the prices are 'clean clean', excluding both the accrued interest and the index ratio."

The same probably applies to the Telekurs feed too, although CCH haven't investigated this. CCH understand that the Daily Official List prices excluding the index ratio, but many brokers price including it.


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