Sottoscrizione al contenuto Treasury certificates indexed to 6-month Euribor (CCTs-eu)

Introduction sectionTreasury certificates indexed to 6-month Euribor (CCTs-eu)

Treasury certificates indexed to 6-month Euribor (CCTs-eu)

CCTs-eu are floating rate securities with maturity from 3 to 7 years.
Interest is paid with semi-annual coupons in arrears indexed to 6-month Euribor. Also the difference between the nominal value and the issue price accounts for the yield.

CCTs-eu main features
Currency Euro.
Maturity From 3 to 7 years.
Remuneration Floating semi-annual coupons in arrears indexed to 6-month Euribor plus spread and discount at issuance.
Type of auction Marginal auction with discretional determination of price and quantity issued.
Auction frequency Monthly at mid-month auction.
Settlement dates T+2 on the primary and secondary markets.
Market conventions Actual/360 (Modified Following Business Day Convention) for the yield calculation and the accrued interest.
Redemption At par, single payment on maturity.

1. Investing in CCTs-eu

Treasury Certificates indexed to Euribor, as all floater bonds, grant an yield fairly in line with the market yields. Moreover, thanks to the indexation to Euribor, CCTs-eu offer a very efficient opportunity of protection (hedging) for investors, institutional and retails, whose liabilities are linked to the Euribor trend (as is the case for floating rate mortgages).
Like other Government Bonds, CCTs-eu are traded regularly on the electronic Government Bond market (MOT) in limited quantities (lots of 1,000 euros or multiples thereof) and on the electronic wholesale spot market of Government Bonds (MTS). Furthermore, CCTs-eu can be traded on all others non regulated electronic platforms and on over the counters (OTC) markets.

The Bank of Italy is responsible for the execution of the CCTeu auction.

As compensation for the service, the Treasury pays the Bank of Italy a commission of 15 basis points of the total nominal amount subscribed. This commission will be awarded, totally or partially, to operators participating in the auction since these financial intermediaries cannot apply any fees to investors.

Since these securities are subject to a dematerialized regime, subscribed CCTeu amounts are represented by the accounting entries in favour of the entitled.

 

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2. Indexation

CCTs-eu are floating rate bonds with semi-annual coupons in arrears indexed to 6-month Euribor. The coupon calculation procedure is as follow: the simple gross annual simple yield is calculated by adding the 6 month Euribor (rounded to the 3th decimals places) to the spread – defined at the issuance of the new bond (and kept constant for the whole life of the bond). The 6-month Euribor is observed on the second business day before the first accrual day of the coupon (according to what is published on the page of the Reuters circuit EURIBOR01, at 15:00 a.m. CET, or from another source of equal rank in case this is not available; when also this last source is not available, the 6 month EURIBOR of the first business day for which it is available, going backwards in time, will be used). The 6 month coupon rate is determined multiplying the gross annual simple yield by dividing the actual days of the reference semester by 360 (Actual/360 Convention). The coupon amount is calculated multiplying the 6 month coupon rate by the bond’s face value, rounded to one euro cent.

As far as the actual interest payment is concerned, there is a 6 month lag between the coupon definition and its payment.
Finally, in this regard, it is worth recalling the Ministerial Circular n. 5619 of 21 March 2016 which has established in the event of the parameter for determining the coupon falling to a negative level sufficient enough for totally eroding and exceeding the spread, the coupon must be set at zero.

 

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3. Maturity

Treasury Certificates indexed to Euribor have maturity from 3 to 7 years with floating semi-annual coupon.

 

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