Treasury Indexed Bonds

Coupon and Maturity (click for term sheet)	Outstanding (face value, AUD millions)	ISIN
0.75%  21 November 2027	7,350	AU000XCLWAV1
2.50%  20 September 2030	8,242	AU0000XCLWV6
0.25%  21 November 2032	7,450	AU0000171134
2.00%  21 August 2035	8,050	AU000XCLWAF4
1.25%  21 August 2040	6,100	AU000XCLWAO6
1.00% 21 February 2050	4,600	AU0000024044

Treasury Indexed Bonds on issue as at 6 November 2026. This table is updated weekly.

The Data Hub contains a time series of indexation factors for Treasury Indexed Bonds.

The Information Memorandum for Treasury Indexed Bonds (PDF) provides detailed information about Treasury Indexed Bonds including the terms and conditions of their issue.

An Information Memorandum for Treasury Indexed Bonds - Monthly Inflation is now available. The AOFM plans to issue an inaugural Treasury Indexed Bond referencing monthly CPI in the second half of 2026-27, further details will be available in due course.

Treasury Indexed Bonds are quoted and traded on a real yield to maturity basis rather than on a price basis. This means the price is calculated by inputting the real yield to maturity into the appropriate pricing formula.

The price per $100 face value is calculated using the following pricing formulae:

(1) Basic Formula 

\(\Large P = v^\frac{f}{d}\left(g \left( 1 + \require{enclose}a_{\enclose{actuarial}{n}}\right) + 100 v^{n} \right) \LARGE \frac{K_{t}(1+\frac{p}{100})^{\frac{-f}{d}}}{100}\)

 

(2) Ex-Interest Formula 

\( \Large P = v^\frac{f}{d}\left(g\require{enclose}a_{\enclose{actuarial}{n}} + 100 v^{n} \right) \LARGE \frac{K_{t}(1+\frac{p}{100})^{\frac{-f}{d}}}{100} \)

 

In these formulae: 

\(\large P=\) the price per $100 face value. \( P \) is rounded to three decimal places in all cases except during the final ex-interest period for the bond, where it is unrounded.

\(\large i=\) the annual real yield (per cent) to maturity divided by 400.

\(\large v=\LARGE\frac{1}{1 + i} \)

\(\large f=\) the number of days from the date of settlement to the next interest payment date.

\(\large d=\) the number of days in the quarter ending on the next interest payment date.

\(\large g=\) the fixed quarterly interest rate payable (equal to the annual fixed rate divided by 4).

\(\large n=\) the number of full quarters between the next interest payment date and the date of maturity.

\(\large \require{enclose}a_{\enclose{actuarial}{n}}=\large v + v^2 + ... + v^n = \Large \frac{1 - v^n}{i} \) \(.\ \mathrm{Except \, if\ \,} i = 0 \ \mathrm{\,then\,}\ \require{enclose}a_{\enclose{actuarial}{n}} = n \)

\( \large p=\) half the semi-annual change in the Consumer Price Index over the two quarters ending in the quarter which is two quarters prior to that in which the next interest payment falls (for example, if the next interest payment is in November, is based on the movement in the Consumer Price Index over the two quarters ending the June quarter preceding).

\(\Large =\frac{100}{2}\left[ \frac{CPI_t}{CPI_{t-2}}-1\right] \)

where \( CPI_{t} \) is the Consumer Price Index for the second quarter of the relevant two quarter period; and \( CPI_{t-2} \) is the Consumer Price Index for the quarter immediately prior to the relevant two quarter period. It is rounded to two decimal places.

\(\large  K\)s are indexation factors (also known in the market as 'the nominal value of the principal' or 'capital value').

\( \large K_t= \) nominal value of the principal at the next interest payment date.

\( \large K_{t-1}= \) nominal value of the principal at the previous interest payment date.

The relationship between successive \( K \) values is as follows:

\( \large K_t= \)  \( \large K_{t-1}\left[1+ \Large \frac{p}{100}\right] \)

 

Worked Examples

(1) Basic Formula 

Consider the 1.25% 21 August 2040 Treasury Indexed Bond, with a real yield to maturity of 0.10 per cent and settlement date of 15 September 2019.

\(\Large P = v^\frac{f}{d}\left(g \left( 1 + \require{enclose}a_{\enclose{actuarial}{n}}\right) + 100 v^{n} \right) \LARGE \frac{K_{t}(1+\frac{p}{100})^{\frac{-f}{d}}}{100}\)

where:

       \( \large\ i=\Large\frac{0.10}{400}= \) \(\large 0.00025\)

       \( \large\ v=\Large\frac{1}{1+i}=\frac{1}{1+0.00025}= \) \(\large 0.99975\)

       \(\large \require{enclose}a_{\enclose{actuarial}{n}}=\Large \frac{1 - v^n}{i}=\frac{1-0.99975^{83}}{0.00025}=\)\(\large 82.1346\)

       \( \large\ f = 67 \), the number of days from 15 September 2019 to 21 November 2019

       \( \large\ d = 92 \), the number of days from 21 August 2019 to 21 November 2019

       \( \large\ g =\Large\frac{1.25}{4}= \) \(\large 0.3125\)

       \( \large\ n = 83\), the number of full quarters from 21 November 2019 to 21 August 2040

       \( CPI_{t-2} = 114.1\), the Consumer Price Index for the December 2018 quarter 

       \( CPI_{t} = 114.8\), the Consumer Price Index for the June 2019 quarter

       \( \large p =\)\(\Large \frac{100}{2}\left[ \frac{CPI_t}{CPI_{t-2}}-1\right] = \frac{100}{2}\left[ \frac{114.8}{114.1}-1\right] = 0.31\)

       \( \large K_{t-1}= 107.12\), the \( K \) value of this bond on 21 August 2019 (the previous interest payment date)

       \( \large K_t= \)  \( \large K_{t-1}\left[1+\frac{p}{100}\right] = 107.12\left[1+\frac{0.31}{100}\right] = 107.45 \), the \( K \) value for 21 November 2019 (the next interest payment date)

\(\Large P = v^\frac{f}{d}\left(g \left( 1 + \require{enclose}a_{\enclose{actuarial}{n}}\right) + 100 v^{n} \right) \LARGE \frac{K_{t}(1+\frac{p}{100})^{\frac{-f}{d}}}{100} \)

\(\Large P = 0.99975^\frac{67}{92}\left(0.3125 \left( 1 + 82.1346\right) + 100 \times 0.99975^{83} \right) \LARGE \frac{107.45(1+\frac{0.31}{100})^{\frac{-67}{92}}}{100} \)

\(\Large P = 132.835\)

 

(2) Ex-Interest Formula  

Consider the 1.25% 21 August 2040 Treasury Indexed Bond, with a real yield to maturity of 0.10 per cent and settlement date of 15 November 2019.

\( \Large P = v^\frac{f}{d}\left(g\require{enclose}a_{\enclose{actuarial}{n}} + 100 v^{n} \right) \LARGE \frac{K_{t}(1+\frac{p}{100})^{\frac{-f}{d}}}{100} \)

where:

       \( \large\ i=\Large\frac{0.10}{400}= \) \(\large 0.00025\)

       \( \large\ v=\Large\frac{1}{1+i}=\frac{1}{1+0.00025}= \) \(\large 0.99975\)

       \(\large \require{enclose}a_{\enclose{actuarial}{n}}=\Large \frac{1 - v^n}{i}=\frac{1-0.99975^{83}}{0.00025}=\)\(\large 82.1346\)

       \( \large\ f = 6 \), the number of days from 15 November 2019 to 21 November 2019

       \( \large\ d = 92 \), the number of days from 21 August 2019 to 21 November 2019

       \( \large\ g =\Large\frac{1.25}{4}= \) \(\large 0.3125\)

       \( \large\ n = 83\), the number of full quarters from 21 November 2019 to 21 August 2040

       \( CPI_{t-2} = 114.1\), the Consumer Price Index for the December 2018 quarter 

       \( CPI_{t} = 114.8\), the Consumer Price Index for the June 2019 quarter

       \( \large p =\)\(\Large \frac{100}{2}\left[ \frac{CPI_t}{CPI_{t-2}}-1\right] = \frac{100}{2}\left[ \frac{114.8}{114.1}-1\right] = 0.31\)

       \( \large K_{t-1}= 107.12\), the \( K \) value of this bond on 21 August 2019 (the previous interest payment date)

       \( \large K_t= \)  \( \large K_{t-1}\left[1+\frac{p}{100}\right] = 107.12\left[1+\frac{0.31}{100}\right] = 107.45 \), the \( K \) value for 21 November 2019 (the next interest payment date)

\(\Large P = v^\frac{f}{d}\left(g \left( \require{enclose}a_{\enclose{actuarial}{n}}\right) + 100 v^{n} \right) \LARGE \frac{K_{t}(1+\frac{p}{100})^{\frac{-f}{d}}}{100} \)

\(\Large P = 0.99975^\frac{6}{92}\left(0.3125 \times 82.1346 + 100 \times 0.99975^{83} \right) \LARGE \frac{107.45(1+\frac{0.31}{100})^{\frac{-6}{92}}}{100} \) 

\(\Large P = 132.794\)

 

Record Date Examples

Example 1

The 2.50% 20 September 2030 Treasury Indexed Bond makes a Coupon Interest Payment on Thursday, 20 June 2024. The Record Date for this Coupon Interest Payment is Tuesday, 12 June 2024. 

Example 2

The 1.25% 21 August 2040 Treasury Indexed Bond makes a Coupon Interest Payment on Monday, 21 August 2023. The Record Date for this Coupon Interest Payment is Friday, 11 August 2023 (ten days prior to the Coupon Interest Payment Date, since the date eight days prior to the Coupon Interest Payment Date falls on a weekend).

Treasury Indexed Bonds – Monthly Inflation (TIBSmi) are quoted and traded on a real yield to maturity basis rather than on a price basis. This means the price is calculated by inputting the real yield to maturity into the appropriate pricing formula.

The price per $100 face value is calculated using the following pricing formulae:

(1) Basic Formula

\[ P = v^{f/d}\left[g\left(1+\require{enclose}a_{\enclose{actuarial}{n}}\right)+100v^n\right]\times IR \]

 

(2) Ex-Interest Formula

\[ P = v^{f/d}\left[g\require{enclose}a_{\enclose{actuarial}{n}}+100v^n\right]\times IR \]

The Basic Formula applies where the buyer is entitled to the next Coupon Interest Payment. The Ex-Interest Formula applies where the buyer is not entitled to that payment.

 

In these formulae:

\(P =\) the settlement price per $100 face value, extended to three decimal places.

\(i =\) the annual real yield (per cent) to maturity divided by 200.

\[ v = \frac{1}{1+i} \]

\(f =\) the number of days from the date of settlement to the next Coupon Interest Payment Date.

\(d =\) the number of days in the half-year ending on the next Coupon Interest Payment Date.

\(g =\) the fixed half-yearly coupon interest rate payable, equal to the annual fixed coupon rate divided by 2.

\(n =\) the number of full half-years between the next Coupon Interest Payment Date and the date of maturity.

\[ \require{enclose}a_{\enclose{actuarial}{n}} = v+v^2+\ldots+v^n = \frac{1-v^n}{i} \]

Except if \(i = 0\), then \(\require{enclose}a_{\enclose{actuarial}{n}} = n\).

\(IR =\) the Index Ratio at the settlement date, calculated as follows:

\[ IR = \frac{\text{Daily Reference CPI at the settlement date}} {\text{Daily Reference CPI at launch}} \]

The Index Ratio is rounded to five decimal places, with 0.000005 rounded up.

Daily Reference CPI is calculated by linear interpolation between monthly CPI observations, with a three-month lag:

\[ R_{m,j} = CPI_{m-3} + \frac{j-1}{D_m}\left(CPI_{m-2}-CPI_{m-3}\right) \]

where:

\(R_{m,j} =\) Daily Reference CPI for calendar day \(j\) of month \(m\).

\(D_m =\) the number of calendar days in month \(m\).

\(CPI_{m-3} =\) the monthly CPI observation for the month three months before month \(m\).

\(CPI_{m-2} =\) the monthly CPI observation for the month two months before month \(m\).

Daily Reference CPI is rounded to five decimal places. For example, Daily Reference CPI for May is interpolated between February CPI, which applies on 1 May, and March CPI, which applies on 1 June.

The Adjusted Capital Value per $100 face value is \(100\times IR\). At maturity, the final redemption value is no less than $100 per $100 face value, irrespective of CPI movements over the life of the bond.

 

Worked Examples

The following examples assume a hypothetical 3.00% 21 June 2035 TIBSmi, with semi-annual coupon dates of 21 June and 21 December, and an assumed launch date of 29 April 2026.

(1) Basic Formula

Consider the hypothetical 3.00% 21 June 2035 TIBSmi, with a real yield to maturity of 2.46 per cent and settlement date of 6 October 2026.

\[ P = v^{f/d}\left[g\left(1+\require{enclose}a_{\enclose{actuarial}{n}}\right)+100v^n\right]\times IR \]

where:

\[ i = \frac{2.46}{200} = 0.0123 \]

\[ v = \frac{1}{1+i} = \frac{1}{1.0123} = 0.9878494517\ldots \]

\[ \require{enclose}a_{\enclose{actuarial}{n}} = \frac{1-v^{17}}{0.0123} = 15.2561296836\ldots \]

\(f = 76\), the number of days from 6 October 2026 to 21 December 2026.

\(d = 183\), the number of days from 21 June 2026 to 21 December 2026.

\[ g = \frac{3.00}{2} = 1.50 \]

\(n = 17\), the number of full half-years from 21 December 2026 to 21 June 2035.

Daily Reference CPI

The Daily Reference CPI, \(R_{m,j}\), is calculated as:

\[ R_{m,j} = CPI_{m-3} + \frac{j-1}{D_m} \left(CPI_{m-2}-CPI_{m-3}\right) \]

where \(m\) is the month containing the relevant date, \(j\) is the calendar day of that month, and \(D_m\) is the number of days in that month.

Daily Reference CPI at launch

For the launch date of 29 April 2026, \(m=\) April, \(j=29\), and \(D_m=30\). Therefore, \(CPI_{m-3}\) is the January 2026 CPI and \(CPI_{m-2}\) is the February 2026 CPI.

January 2026 CPI \(= 101.33\).

February 2026 CPI \(= 101.31\).

\[ R_{\text{Apr 2026},29} = 101.33 + \frac{29-1}{30}(101.31-101.33) = 101.31133 \]

Daily Reference CPI at settlement

For the settlement date of 6 October 2026, \(m=\) October, \(j=6\), and \(D_m=31\). Therefore, \(CPI_{m-3}\) is the July 2026 CPI and \(CPI_{m-2}\) is the August 2026 CPI.

July 2026 CPI \(= 103.07\).

August 2026 CPI \(= 103.50\).

\[ R_{\text{Oct 2026},6} = 103.07 + \frac{6-1}{31}(103.50-103.07) = 103.13935 \]

Index Ratio

The Index Ratio is the Daily Reference CPI on the settlement date divided by the Daily Reference CPI on the launch date:

\[ IR = \frac{R_{\text{Oct 2026},6}} {R_{\text{Apr 2026},29}} \]

\[ IR = \frac{103.13935}{101.31133} = 1.01804 \]

Therefore:

\[ P = v^{76/183} \left[ 1.50 \left( 1+\require{enclose}a_{\enclose{actuarial}{17}} \right) + 100v^{17} \right] \times 1.01804 \]

\[ P = 106.980 \]

 

(2) Ex-Interest Formula

Consider the same hypothetical 3.00% 21 June 2035 TIBSmi, with a real yield to maturity of 2.46 per cent and settlement date of 15 June 2026. Settlement occurs during the Ex-Interest Period, so the buyer is not entitled to the 21 June 2026 Coupon Interest Payment.

\[ P = v^{f/d}\left[g\require{enclose}a_{\enclose{actuarial}{n}}+100v^n\right]\times IR \]

where:

\[ i = \frac{2.46}{200} = 0.0123 \]

\[ v = \frac{1}{1+i} = \frac{1}{1.0123} = 0.9878494517\ldots \]

\[ \require{enclose}a_{\enclose{actuarial}{n}} = \frac{1-v^{18}}{0.0123} = 16.0586087954\ldots \]

\(f = 6\), the number of days from 15 June 2026 to 21 June 2026.

\(d = 182\), the number of days from 21 December 2025 to 21 June 2026.

\[ g = \frac{3.00}{2} = 1.50 \]

\(n = 18\), the number of full half-years from 21 June 2026 to 21 June 2035.

Daily Reference CPI at launch

For the launch date of 29 April 2026, \(m=\) April, \(j=29\), and \(D_m=30\). Therefore, \(CPI_{m-3}\) is the January 2026 CPI and \(CPI_{m-2}\) is the February 2026 CPI.

January 2026 CPI \(= 101.33\).

February 2026 CPI \(= 101.31\).

\[ R_{\text{Apr 2026},29} = 101.33 + \frac{29-1}{30}(101.31-101.33) = 101.31133 \]

Daily Reference CPI at settlement

For the settlement date of 15 June 2026, \(m=\) June, \(j=15\), and \(D_m=30\). Therefore, \(CPI_{m-3}\) is the March 2026 CPI and \(CPI_{m-2}\) is the April 2026 CPI.

March 2026 CPI \(= 102.44\).

April 2026 CPI \(= 102.80\).

\[ R_{\text{Jun 2026},15} = 102.44 + \frac{15-1}{30}(102.80-102.44) = 102.60800 \]

Index Ratio

The Index Ratio is the Daily Reference CPI on the settlement date divided by the Daily Reference CPI at launch:

\[ IR = \frac{R_{\text{Jun 2026},15}} {R_{\text{Apr 2026},29}} \]

\[ IR = \frac{102.60800}{101.31133} = 1.01280 \]

Therefore:

\[ P = v^{6/182} \left[ 1.50\require{enclose}a_{\enclose{actuarial}{18}} + 100v^{18} \right] \times 1.01280 \]

\[ P = 105.629 \]

Calculations use unrounded \(v\) and annuity values, and the five-decimal-place Daily Reference CPI and Index Ratio.

 

Record Date and Coupon Interest Payment Examples

The following examples assume a hypothetical 3.00% 21 September 2036 TIBSmi, with semi-annual coupon dates of 21 March and 21 September, and an assumed launch date of 20 February 2025.

The Record Date is the close of business on the eighth day before the relevant Coupon Interest Payment Date. If banks are closed in both Sydney and Melbourne on that date, the Record Date falls on the closest preceding date on which banks are generally open for business in Sydney or Melbourne.

Daily Reference CPI at launch

For the launch date of 20 February 2025, \(m=\) February, \(j=20\), and \(D_m=28\). Therefore, \(CPI_{m-3}\) is the November 2024 CPI and \(CPI_{m-2}\) is the December 2024 CPI.

November 2024 CPI \(= 96.68\).

December 2024 CPI \(= 97.31\).

\[ R_{\text{Feb 2025},20} = 96.68 + \frac{20-1}{28} (97.31-96.68) \]

\[ R_{\text{Feb 2025},20} = 96.68 + \frac{19}{28}(0.63) = 97.10750 \]

Example 1:  Coupon Interest Payment Date falls on a weekend

For the hypothetical 3.00% 21 September 2036 TIBSmi, the Coupon Interest Payment Date is Saturday, 21 March 2026. The date eight days before the Coupon Interest Payment Date is Friday, 13 March 2026. Assuming banks are generally open for business in Sydney or Melbourne on that date, the Record Date is Friday, 13 March 2026.

Daily Reference CPI at Coupon Interest Payment Date

The Daily Reference CPI on 21 March 2026 is calculated using the December 2025 CPI of 100.97 and January 2026 CPI of 101.33.

For 21 March 2026, \(m=\) March, \(j=21\), and \(D_m=31\). Therefore:

\[ R_{\text{Mar 2026},21} = 100.97 + \frac{21-1}{31} (101.33-100.97) \]

\[ R_{\text{Mar 2026},21} = 100.97 + \frac{20}{31}(0.36) = 101.20226 \]

Index Ratio

The Index Ratio applicable to the Coupon Interest Payment is the Daily Reference CPI on the Coupon Interest Payment Date divided by the Daily Reference CPI at launch:

\[ IR = \frac{R_{\text{Mar 2026},21}} {R_{\text{Feb 2025},20}} \]

\[ IR = \frac{101.20226}{97.10750} = 1.04217 \]

Coupon Interest Payment

Assuming a bondholder holds $100 million face value (on 13 March 2026), would be entitled to a Coupon Interest Payment calculated using the 1.50 per cent semi-annual coupon rate of:

\[ \text{Coupon Interest Payment} = \$100{,}000{,}000 \times 1.04217 \times \frac{3.00}{200} \]

\[ \text{Coupon Interest Payment} = \$1{,}563{,}255.00 \]

As the Coupon Interest Payment Date falls on a Saturday, the Coupon Interest Payment is made on the next business day, Monday, 23 March 2026, without payment of any additional interest.

Example 2:  Record Date falls on a weekend 

For the same hypothetical 3.00% 21 September 2036 TIBSmi, the Coupon Interest Payment Date is Sunday, 21 March 2027. Applying the Record Date rule, the Record Date is Friday, 12 March 2027, nine days before the Coupon Interest Payment Date, because the date eight days prior falls on a Saturday. This assumes banks are generally open for business in Sydney or Melbourne on the Friday.