Inflation Swap Index References and Seasonal Adjustment

Summary

The document asks whether inflation swaps consistently reference non-seasonally-adjusted consumer price index values. It notes that CPI series may be published in both seasonally adjusted and non-seasonally-adjusted forms, and says the author’s observed swaps have used the non-seasonally-adjusted series.

The response supplies Bloomberg index identifiers for inflation measures across several countries, including the United States, United Kingdom, euro area, Japan, and Australia. These examples are offered as a way to check the referenced index variant, rather than as a proof that all inflation swaps use NSA data. The exchange gives no contract-by-contract survey or discussion of exceptions, so the listed references should be treated as examples rather than a universal rule.

Key ideas

• Inflation swaps reference changes in a CPI index between specified dates.
• CPI data may be published in seasonally adjusted and non-seasonally-adjusted forms.
• The response lists market index identifiers for several countries as examples to inspect.
• The examples do not establish that every inflation swap references an NSA index.

Tags

# Do all inflation swaps reference the non-seasonally-adjusted index values?


# Do all inflation swaps reference the non-seasonally-adjusted index values?












Inflation CPI values (typically published monthly except Australia) are typically published in both SA (sseaonally adjusted) and NSA (non-seasonally adjusted) variants.

Inflation swaps reference the change in a CPI index between issue date and maturity date.

From those I've seen so far, inflation swaps reference the NSA variant.

Is this always the case?

## Answer by user42108 (score 1)

https://quant.stackexchange.com/a/59274

BBG index references for inflation swaps (via JPM paper); you can check if NSA.

- EU - CPTFEMU

- FR - FRCPXTOB

- IT - ITCPIUNR

- ES - SPIPC

- DE - GRCP2000

- NL - NECPIND

- GB - UKRPI

- SE - SWCPI

- JP - JCPNGENF

- AU - AUCPI

- US - CPURNSA

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.