The UK Government is considering changes to the calculation and use of the Retail Price Index (RPI) which could have a big effect on index liked gilts.
The UK National Statistician has suggested that the RPI calculation has statistical shortcomings and recommended it be aligned with the Consumer Price Index including owner occupiers housing costs (CPIH) - which are lower, of course.
Currently coupon and redemption proceeds of index linked gilts are linked to the level of the RPI.
RPI has risen consistently faster than the recommended index (CPIH), Jf they align the 2 this will reduce the value of future cash flows and the price of fixed and index linked and bonds will fall.
The largest price falls will likley be long dated bonds. It is estimated that a bond that matures in 2068 could fall as much as 30%.
The consultation was due to start January 2020 and be reported by the end of the current financial year but has been delayed until March with findings to be announced by the end of April although the Chancellor has ruled out any changes before 2025.
There is also a question regarding compensation:
It will certainly reduce government borrowing liabilities if returns are lowered. You can guess whether the change will happen or not.