The State issued the first OAT linked to the French consumer price index (OATi) on 15 September 1998. This innovation was followed in October 2001 by the very first issue of an OAT linked to the euro-area consumer price index excluding tobacco (OAT€i), and a third OAT was issued in May 2022, the very first green OAT€i.
Since then, AFT has issued index-linked securities on a regular and transparent basis, thus creating two real yield curves, one linked to French inflation and the other to euro area inflation. Securities account for around 10% of AFT’s annual issuance programme. Since 2004, OATi and OAT€i auctions are held on a regular basis on the same day as auctions for medium-term OATs, but at a separate session held at 11.50am. OATis and OAT€is 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.
OATi GENERAL CHARACTERISTICS
These bonds have a par value of €1 and the real coupon yield is 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 yield × par value × indexation coefficient. The indexation coefficient is equal to the daily inflation benchmark of the day divided by the basic benchmark. The daily benchmark is calculated by linear interpolation between the CPI for the month M-3 and the CPI for the month M-2, and the basic benchmark is the daily inflation index on the dated date (1) of the OAT at its first issue. Thus, the indexation coefficient calculates the change in the price index since the dated date. The benchmark index is the CPI, the consumer price index excluding tobacco for all French households, published every month by INSEE.
(1) The dated date for an OAT is the starting date for calculating the first coupon for the said OAT, i.e. the coupon date immediately prior to the first date of issue for the OAT in question. For example, an OAT issued for the first time on 1 April of year Y, with a coupon date of 25 May, will have a dated date of 25 May of year Y-1.
OATs are redeemed using the following formula: face value × indexation coefficient at the redemption date. If the daily inflation index at maturity is lower than the basic benchmark, the bond is redeemed at par.
OATi General characteristics
These bonds have a par value of €1 and the real coupon yield is calculated as a fixed percentage of the index-linked principal at the time of issue and remains fixed to maturity. The coupon is paid annually and calculated as follows: real coupon yield × par value × indexation coefficient. The indexation coefficient is equal to the daily inflation benchmark of the day divided by the base benchmark. The daily benchmark is calculated by linear interpolation between the consumer price index excluding tobacco (CPI) for month M−3 and the CPI for month M−2, and the base benchmark is the daily benchmark used to calculate changes in the price index. The benchmark index used is the consumer price index excluding tobacco for all resident households in France, which is published by INSEE (France’s national institute of statistics and economic studies) each month.
AFT calculates the daily inflation benchmarks and indexation coefficients and publishes them on its website.
OAT redemption is based on the following formula: par value × indexation coefficient. If the daily inflation index at maturity is lower than the base benchmark, redemption at par is guaranteed. The dated date for an OAT is the starting date for calculating the first coupon for the said OAT, i.e. the coupon date immediately prior to the first date of issue for the OAT in question. For example, an OAT issued for the first time on 15 April of year Y, with a coupon date of 25 May Y, will have a dated date of 25 May of year Y-1.
