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Characteristics of OAT€is  

The Government issued the first OAT indexed to the French consumer price index (OATi) on September 15, 1998. This was followed in October 2001 by the very first issue of an OAT indexed to the euro area consumer price index (OAT€i), the Harmonised Index of Consumer Prices (HICP).

Since then, AFT has issued inflation-indexed securities on a regular and transparent basis, thus creating two curves, one indexed to French inflation and the other to euro area inflation. Around 10% of AFT’s annual issuance programme comprises these securities, and this percentage may be even higher if there is sufficient demand (12% in 2008, 7.5% in 2009, 10.8% in 2010, 10.9% in 2011, 9.6% in 2012, 9.9% in 2013, and 10.2% in 2014). Since 2004, OATi and OAT€i auctions are held on a regular basis on the same day as auctions for medium-term OATs, but during a separate session (11.50am). OATi and OAT€i are designed for all types of investors looking to protect the purchasing power of their investments, improve their asset-liability management or diversify their investment portfolio. They are suitable for resident or nonresident institutional investors, e.g. insurance companies, pension and social welfare funds, asset managers, banks, etc, as well as private individuals.

They have a par value of €1 and the real coupon is calculated as a fixed percentage of the index-linked principal. It is established at the time of issue and remains fixed to maturity. The coupon is paid annually and calculated as follows: real coupon x par value x indexation coefficient. The indexation coefficient is equal to the daily inflation benchmark J divided by the basic benchmark. The daily benchmark is calculated on a linear basis between the HICP for the month M-3 and the HICP for the month M-2, and the basic benchmark is the daily benchmark used as the basis for calculating changes in the price index. The benchmark index is the HICP, the consumer price index excluding tobacco for the euro area published every month by Eurostat.

AFT calculates and publishes the daily inflation benchmarks and indexation coefficients on its website.

OAT redemption is based on the following formula: par value x indexation coefficient. If the daily inflation benchmark at maturity is lower than the basic benchmark, redemption at par is guaranteed.

General characteristics of OAT€is
ParEUR 1
Real couponfixed percentage of linked principal, determined on issue and fixed until maturity.
Paid couponpost-set annual coupon calculated according to the following formula: real coupon x nominal x indexation coefficient.
Reference indexharmonized index of consumer prices (HICP) excluding tobacco for eurozone, published every month by Eurostat.
Daily inflation referenceDaily reference calculated by linear interpolation according to the following formula:
- the reference applicable to the first day of the month m is the HICP for month m-3. For example, the reference applicable to June 1 is the HICP for March.
- the reference for any other day of month m is calculated by linear interpolation between the HICP for month m-3 and the HICP for month m-2, according to the following formula.
Rounding rulesThe daily inflation references, including the base index, are rounded to the nearest fifth decimal after truncating up to the sixth decimal. The same rule applies to the indexation coefficient.
Basic referenceDaily reference used to calculate the change in the price index.
Indexation coefficientCIj = reference of day j / basic reference.Same rounding rule as for the daily inflation reference.
Publication procedureThe Ministry of the Economy, Finance and Industry calculates and publishes the daily inflation reference and the indexation coefficient through the web site and through the major real-time financial information services (Reuters <TRESOR> and Bloomberg TRESOR <GO> pages).
Indexation methodAll flows, accrued interest, aggregate interest and principal are paid according to the indexation coefficient.
Redemption on maturityNominal x indexation coefficient. Should the daily inflation reference on maturity be lower than the basic reference, redemption at par is guaranteed.
Accrued interestReal coupon x (number of days passed / exact number of days of the interest period) x nominal x indexation coefficient.