Notes on the Financial Times-Actuaries British Government Securities Indices in 1977

Extract

1.1. The paper “The F.T.-Actuaries Fixed Interest Indices” by G. M. Dobbie and A. D. Wilkie (J.I.A., 105, 15 and T.F.A., 36, 20.3) gave details of the purpose and construction of the F.T.-Actuaries fixed interest indices, and the note “The F.T.-Actuaries British Government Securities Indices 1976” (J.I.A., 105, 27 and T.F.A., 36, 2.1.4) gave details of the constituents, changes and values of the B.G.S. indices in 1976. The present note continues the history for a further year.

1.2. In §8.2 of the paper it was observed that during 1977 the government had issued stocks where the issue price was payable in separate “calls” on a series of dates. The published indices, however, included these stocks only when they were fully paid. An alternative series of indices has also been constructed, allowing for the calls as and when they occurred. This note gives details for the alternative series, but refers also to the published series where the results differ.