TECHNICAL DATA-SHEETS
THE TREASURY AUCTION PROCEDURE
2
BUYING AND SELLING BTFs
4
BUYING AND SELLING BTANs
6
BUYING AND SELLING OATs
8
FLOATING RATE OATs
10
TECHNICAL SPECIFICATIONS OF THE TEC 10 OAT
12
TECHNICAL SPECIFICATIONS OF THE INFLATION-INDEXED OAT
13
FRENCH TREASURY STRIPS
14
REVERSE AUCTIONS
15
REPO AND LENDING-BORROWING OF SECURITIES
16
DELIVERY / SETTLEMENT PROCEDURES
18
TAX TREATMENT OF FRENCH GOVERNMENT SECURITIES
20
TAX CONVENTIONS AND AGREEMENTS
22
LIST OF ABBREVIATIONS
24
1
THE TREASURY
AUCTION PROCEDURE
The principal method of issuing
French government securities since
1985 has been the “bid price
system” (denominated in France
1. PROCEDURES
and lower limits announced for BTANs and OATs,
Any institution affiliated to Sicovam SA, the clearing
while in the case of BTFs it matches the precise
house, and holding an account with the Bank
figure announced, after rounding as required.
of France is eligible to bid in response to calls
for tender.
“à la hollandaise”). Nowadays
underwriting techniques are only
used in special circumstances.
Participants compete in the auction
according to a planned issuance
programme.
In order to adjust the amounts issued as precisely
as possible, the Treasury reserves the right to scale
Two business days prior to the auction, the Treasury
down bids at the lowest accepted price (OATs and
announces a fixed amount for BTFs or an upper and
BTANs) or rate (BTFs) on a pro rata basis.
lower limit for OATs and BTANs to be issued. It also
specifies the lines on which it intends to issue
Auction results are announced to the bidders as
bonds or bills.
soon as the bids have been examined and are
on an equal footing through a
transparent system of open bidding
aggregate amount allocated falls within the upper
displayed on the specialised agencies’ screens. The
Auction procedures differ according to the
length of time between the deadline for handing in
securities concerned. In all cases, applications are
bids and publication of results has been shortened
served at the price or rate bid, not at the average
to less than 10 minutes by the introduction of
or marginal price.
screen-based bidding and data transmission via the
TELSAT system, which is open to all regular
Bids by eligible institutions must be handed in to
participants. Among major sovereign borrowers,
the Bank of France 10 minutes prior to the time of
France has nowadays the shortest auction times.
the auction at the latest. The Bank of France ranks
bids in ascending order of rates for BTFs and in
Occasional bidders may also hand in their bids in
descending order of price for OATs and BTANs. The
sealed envelopes.
results are then reported to the Treasury,
withholding the names of the bidders.
The Treasury determines the amount to be
allocated on each line, based on the prices and
volumes tendered for each line auctioned. The
2
For the first two issues of a new OAT or BTAN line
and for each BTF auction, the following bidding
Bond
or bill
Frequency
Minimum bids**
(M = million)
BTF
Every Monday
at 3 p.m.
EUR 1 M
BTAN**
3rd Thursday* of
each month
at 11 a.m.
OAT
1st Thursday* of
each month
at 11 a.m.
rules are applied: the maximum amount offered
at each price (or rate) on the bid scale is fixed at
EUR 400 million for BTFs, BTANs and the 10-year
benchmark OAT and at EUR 200 million for
other OATs.
Price
formulation
Tick
Settlement
Yield to maturity rate
0.5 c
Thursday following
auction*
EUR 1 M
Price as a % of nominal,
net of accrued interest
1c
Thursday following
auction*
EUR 1 M
Price as a % of nominal,
net of accrued interest
1c
Thursday following
auction*
*
if the scheduled date is not a business day, the session or settlement generally takes place on the next business day
** OAT issues of medium-term residual maturity may also be issued with BTANs
2. PAYMENT TIMES
Once an auction is completed, the Bank of France
initiates a delivery-versus-payment order in the RGV
system, broken down by bidder and by auctioned
securities line. The settlement date is the date
provided for payment of the auction.
Since the middle of 1997, settlement takes place
one calendar week after auction - the following
Thursday - for all BTAN and OAT auctions and three
days after auction - the following Thursday for BTFs.
3
BUYING AND SELLING BTFs
BTFs are fixed-rate short-term
discount Treasury bills. They are
1. BUYING BTFs
AT AUCTIONS
(ACT/360). Primary market transactions are based
on the settlement date.
fungible securities whose original
On the Thursday prior to the auction, which is held
Secondary market transactions are generally
maturity is less than or equal to one
each Monday, the Treasury announces the precise
cleared on D + 1 on the domestic market and D + 3
amount to be issued on each maturity. Bids, in a
for non-residents. The method of calculation is the
minimum amount of EUR 1 million, are quoted on a
same, only the number of days changes.
year. BTFs are denominated in units
of 1 euro. They are issued weekly by
auction, according to a quarterly
money market straight-line yield to three decimals
(tick of 0.5 c) expressed as a percentage of a
360-day year (ACT/360). Bids at the marginal
3. DELIVERY
calendar published in advance
discount rate are scaled down on a pro rata
AND SETTLEMENT
specifying the maturity of bills to be
basis, rounded up to the nearest million euros
(the minimum unit).
auctioned. A 13-week BTF is issued
each week, together with a semiannual or annual BTF, depending on
Since 30 June 1998, delivery and settlement of
BTFs has taken place through Sicovam SA’s Relit
(See example overleaf)
Grande Vitesse (RGV) system. Like other fixedincome securities, BTFs benefit from the new
After auction, the Bank of France, acting on behalf
features introduced by RGV:
circumstances. Some BTFs may be
of the Treasury, debits the amount due on auctions,
- instant irrevocability of settlements;
auctioned outside this calendar for
rounded to the nearest euro, from the bidder’s RGV
- real-time processing;
account without notification by the bidders or
- direct payment in central bank money;
terms of 4 to 7 weeks in response to
matching of the trade. Settlement takes place on
- collateralization of securities in order to secure
cash requirements.
the Thursday following auction.
purchase transactions;
- real-time two-way cash exchanges with the
TBF system of the Bank of France and TARGET;
2. TRANSACTIONS
The procedures for buying BTFs on the market
- segregation of assets by type of security or client.
Transactions between residents
(when-issued, secondary or forward) follow identical
4
rules. Trades are based on a money market in fine
Both counterparts (or their custodian institutions)
yield to three decimal places (tick of 0.5 c)
enter the conditions of the trade: buy or sell, trading
expressed as a percentage of a 360-day year
and settlement dates, counterpart code, type of
instruction, ISIN security code, number of securities
EXAMPLE: 13-WEEK BTF AUCTION, 1ST FEBRUARY 1999:
and net amount to be settled in euros.
Announced borrowing requirement
Total amount of bids (excl. non-competitive bids)
Marginal discount rate
Percentage accepted at marginal rate:
Total amount of bids served (excl. non-competitive bids)
These details are transmitted electronically (or,
failing that, by fax). The status of the transaction is
displayed on each counterpart's terminal (TRANS =
notification, received by Sicovam, is being
processed; APPARIE = notification received from
both parties and matched; DENOUE = transaction
finally settled; the system has processed the cash
and securities). In the event of a mismatch, the
EUR 800 million
EUR 5,175 million
2.865%
37.05357%*
EUR 806 million
* A EUR 10 million bid at the marginal rate will be served up to EUR 3.705357 million, rounded up to EUR 4 million, namely a real
percentage of 40% the difference being attributable to rounding-up.
The following method is used to calculate the net amount due for a competitive bid served for EUR 10 million at a rate of 2.865 %:
n = number of days (91);
t = money market straight-line yield (2.865%);
C = capital subscribed (EUR 10 million);
P = net amount to be paid;
system informs the counterparts of the anomaly.
Each is then responsible for entering the transaction
P=
C
1+ t x n/360
=
EUR 10 million
= EUR 9,928,099.87 rounded up to EUR 9,928,100
1 + 2.865% x 91/360
again in matching terms.
International transactions
Thanks to a combination of instant irrevocability and
Moreover, the ties established within the
real-time processing, Sicovam SA can be used to
framework of the European Central Securities
clear BTF transactions on the primary and
Depositories Association (ECSDA), created in 1997,
secondary markets at the same accounting date in
also enable Sicovam SA to deliver to other
RGV and in the international clearing-houses Cedel
European central securities depositories.
and Euroclear. Each counterpart whose custodian is
Cedel or Euroclear uses his Cedel or Euroclear
subaccount in RGV:
• The Cedel or Euroclear member must specify the
RGV account of the custodian of the resident who
buys or sells the BTFs;
• The RGV member must specify the Cedel or
Euroclear account of the non-resident who
subscribes or sells the BTFs.
5
BUYING AND SELLING BTANs
BTANs
are
fungible
fixed-rate
1. BUYING BTANs
2. TRANSACTIONS
AT AUCTION
Treasury notes with maturities of
Trading is based on yield-to-maturity expressed on
two and five years and a coupon
Two business days before the auction, held every
the “exact number of days/exact number of days”
paid annually. They are auctioned on
third Thursday of each month, the Treasury
basis (ACT/ACT).
the third Thursday of each month,
announces upper and lower limits for the amount it
intends to issue.
according to a semi-annual calendar
published in advance.
Primary market
There is a primary market on which BTANs are
Bids, in a minimum amount of EUR 1 million, are
traded on a settlement date basis, with accrued
priced as a percentage of the par value net of
interest calculated at the settlement date.
accrued interest to two decimal places. Settlement
The Treasury issues one new 5-year
takes place on the next Thursday or on the previous
Secondary market
or next business day.
Transactions are generally cleared on D + 1 on the
and one new 2-year BTAN every half
year, to which subsequent monthly
issues are attached. In certain cases,
domestic market and D + 3 for non-residents.
Bidding rules, obtainable from SVTs, limit the size of
The following formula is used to work out the
bids at any given price for the first auctions on a
price as a function of yield-to-maturity and the
given line, in order to maintain an orderly market.
corresponding amount to be paid in euros.
existing 5-year BTAN lines with a
2-year residual maturity may be
BTANs are denominated in units of EUR 1. Accrued
interest is calculated on the “exact number of
issued as 2-year BTANs.
6
P + CC =
A
100
+
(1 + TA/100) (A - n/365) i = 1
days/ exact number of days” basis (ACT/ACT).
BTANs principal and coupons are paid on the 12th
CC = CN x n/365 ;
of the month.
M = N x (P + CC)/100
CN
(1 + TA/100) (i - n/365)
3. SETTLEMENT
AND DELIVERY
Since 30 June 1998, transactions on BTANs are
settled through Sicovam SA’s Relit Grande Vitesse
(RGV) system.
Thanks to a combination of instant irrevocability and
TERMS OF TRANSACTION: ABBREVIATIONS USED
P
CC
M
N
CN
TA
A
n
=
=
=
=
=
=
=
=
price as a % of par value net of accrued interest with 2 decimal places
accrued interest as a % of par value
amount paid in euros
par value in euros
nominal yield in euros
yield-to-maturity rate as a % over a year of 365 days
maturity of BTANs in years
number of days between the value date and the eligibility date
Note: the above formulae are based on 366 days during leap years.
real-time processing, Sicovam SA can be used to
clear BTAN transactions on the primary and
secondary markets at the same accounting date in
RGV and in Cedel and Euroclear, the international
clearing-houses.
Moreover, the ties established within the
framework of the European Central Securities
Depositories Association (ECSDA), created in 1997,
also enable Sicovam SA to deliver to other
European central securities depositories.
7
BUYING AND SELLING OATs
OATs (Obligations Assimilables du
1. BUYING OATs
2. TRANSACTIONS
AT AUCTION
Trésor) have become the French
SVTs quote net prices on screen, valid for amounts
government's main long-term borro-
Two business days prior to the auction, the
of EUR 5 million, with a bid-offer spread of just
wing instrument. These fungible
government announces the bonds to be issued and
10 cents for the most liquid securities.
sets the upper and lower limits of its borrowing
securities are issued with maturities
of seven to 30 years, generally by
auction, according to an annual
calendar published in advance.
requirement. Auctions of OATs are held on the first
Primary market
Thursday of each month. OAT lines with medium-
OATs can be traded in the primary market 2-5 days
term residual maturity may also be issued during
prior to the monthly auctions, and until the auction
the BTAN auction on the third Thursday of each
settlement. The value date for primary market
month.
transactions is the auction settlement date, with
accrued interest calculated to that date.
Bids, in a minimum amount of EUR 1 million, are
Ten-year OATs form the bulk of
the pool of underlying bonds eligible
for delivery against the dual-issuer
submitted as a % of par value net of accrued
Secondary market
interest, to two decimals places. Settlement takes
Transactions on the secondary market are cleared
place on the Thursday following auction or on the
on day D + 3 (coupon and settlement).
previous or next business day.
(French/German) Euro-notional futures
contract traded on the MATIF. Used
as a benchmark by the market, they
Bidding rules, obtainable from SVTs, limit the size of
3. SETTLEMENT
bids made at a given price for the first auctions on a
AND DELIVERY
given line in order to maintain an orderly market.
Since 1991, FRF and ECU OATs were cleared
are issued once a month.
OATs are denominated in units of EUR 1. Accrued
through the Relit (Réglement/Livraison des Titres)
interest is calculated on the “exact number of
system managed by Sicovam SA. On 9 February
days/exact number of days” basis (ACT/ACT).
1998, OATs were switched to Relit Grande Vitesse
OATs' principal and coupons are paid on the 25th
(RGV), Sicovam’s new DVP system. Relit is now
of the month.
only used for stock market transactions, notably
securities bought by retail investors.
8
Therefore, all transactions (buy/sell trades, free-of-
Moreover, the ties established within the
payment transfers, repos, securities lending)
framework of the European Central Securities
between professionals (including SVTs) benefit
Depositories Association (ECSDA), created in
from the new features offered by the RGV system:
1997, also enable Sicovam SA to deliver to other
- instant irrevocability of cleared positions;
European central securities depositories.
- real-time processing;
- settlement in central bank money;
- collateralization of securities to secure buy
transactions;
- real-time two-way cash exchanges with the TBF
system of the Bank of France and TARGET;
- segregation of assets by type of security or client.
As regards repos, the system uses the data in the
instruction to generate the repurchase agreement
and the restitution of the security at maturity, and
to calculate fixed and floating-rate interest as well
as securities transactions.
Thanks to a combination of instant irrevocability
and real-time processing, Sicovam SA can be used
to clear OAT transactions on the primary and
secondary markets at the same accounting date in
RGV and in Cedel and Euroclear, the international
clearing systems.
9
FLOATING RATE OATs
Most OATs are issued at a fixed rate
and are redeemable at maturity. The
French government also issues
1. BENCHMARK RATES
• TEC 10: is a constant maturity rate. It represents
the yield-to-maturity rate of a fictitious OAT whose
a/ Floating rates may be indexed to a
short-dated benchmark:
maturity is exactly 10 years.
The TEC 10 is derived from the interpolated yield of
the two closest 10-year OATs (see data-sheet).
floating or revisable rate OATs,
• TMB: is the arithmetical mean of average
indexed to long or short-dated
benchmark rates.
monthly yields on 13-week BTFs recorded during
the year prior to payment of the coupon.
c/ Since 1998, the Treasury issues
inflation-indexed OATs (OATi).
• TRB: is a benchmark rate which can be
The OATi is a fixed real-rate coupon bond whose
adjusted at each quarterly maturity based on the
principal is guaranteed at par and protected against
yield on 13-week BTFs recorded at the auction
inflation by indexation to a daily reference calculated
prior to payment of coupon.
on the basis of the French CPI excluding tobacco.
The daily inflation reference on day d of month m
b/ Floating rates may also be indexed to
a long-dated benchmark:
(REFmd) is calculated by linear interpolation of the
monthly inflation indices published by the INSEE for
month m-2 and m-3 (for details, see the separate
• TRA: is a long-term rate which can be adjusted in
data-sheet). The ratio between this daily inflation
line with average monthly yields on fixed-rate
reference and the base reference (daily inflation
Emprunts d’État maturing in 7 years or more. This
reference at initial accrual date) is called the index
rate is published by the Caisse des Dépôts et
ratio (IR).
Consignations.
• TME: is the yield on a sample of Emprunts d’État
on the secondary market. This is the average
monthly rate on government fixed-rate long-term
bonds recorded over the 12 months prior to
payment of coupon.
10
2. CALCULATION OF
3. OUTSTANDINGS
ACCRUED INTEREST
Floating rate OATs outstanding came to
• Pre-set revisable rate: the next coupon being set
EUR 33.3 billion on 31 December 1998. The main
in advance, this is calculated as for a standard bond
floating rate OATs were as follows:
(TRB, TRA, TEC 10).
TMB OAT:
EUR 3.65 billion
• Post-set floating rate: the next coupon being
January 1999
September 2000 TRA OAT:
EUR 2.81 billion
unknown, an estimate is made on the basis of the
January 2001
TME OAT:
EUR 3.76 billion
average of the index from the start of the reference
October 2006
TEC 10 OAT:
EUR11.89 billion
period for the known portion of the coupon and the
January 2009
TEC 10 OAT:
EUR 6.82 billion
latest available index for the entire unknown portion
July 2009
3% OATi :
EUR 4.34 billion
of the coupon.
• OATi : accrued interest is calculated according to
the same method as interest of a fixed-rate bond
whose cash flows are linked to the trend of the
consumer price index since the issue date. As with
fixed-rate bonds, accrued interest is calculated as a
percent:
number of days accrued
Accrued interest% = coupon% x
actual number of days of the coupon period
This percentage, multiplied by the index ratio, is
subsequently applied to the par value of the bond:
accrued interest = accrued interest% x nominal x
index ratio.
11
TECHNICAL SPECIFICATIONS
OF THE TEC 10 OAT
On 9 April 1996, the French Republic
issued for the first time an OAT
SPECIFICATIONS OF THE TEC 10
The Taux de l’Échéance Constante à 10 ans or TEC 10 represents the yield-to-maturity of a fictitious OAT with a constant maturity
of exactly 10 years.
whose quarterly coupon is linked to
the recently-created TEC 10 index, an
Calculation procedure: coupons derived from the linear interpolated current yield of the two OATs whose maturity is under and over
10 years.
average yield of OATs with a constant
maturity of 10 years.
Selection of the two benchmark OATs: fixed-rate OATs, with coupon paid annually and settled outstandings in excess of
FRF 20 billion (about EUR 3 billion) and coupons to be detached on 25 January, 25 April, 25 July or 25 October.
Calculation method: daily fixing (at 10 am) on the basis of bids by French primary dealers (SVTs) for the two benchmark OATs
(settlement day D + 3). The Comité de Normalisation Obligataire (Bond Standardization Committee, CNO) fixes a reference price
This issue reflects the modernisation
based on the average of the bids, after eliminating the four highest and the four lowest prices. This price is converted into a
of French government floating rate
reference rate for each OAT. The index is then calculated by simple linear interpolation for a maturity of exactly 10 years.
Frequency of calculations and of publication: daily
issues, with the launch of a more
simple and transparent benchmark,
whose structure is closer to existing
Calculation agent: Comité de Normalisation Obligataire (CNO)
Publication agent: the French Ministry of the Economy, Finance and Industry. Every day, at about noon, the Ministry publishes the
day’s value of the TEC 10 using the main real-time financial information systems (Reuters <TREASTEC10>, Bloomberg TRESOR <GO>).
bonds in international markets. The
specifications of the TEC 10 index and
DESCRIPTION OF THE 25 JANUARY 2009 TEC 10 OAT
Maturity: 25 January 2009
of the TEC 10 OAT appeal to a broad
Coupon: payable quarterly in arrears on 25 April, 25 July, 25 October and 25 January of each year.
range of investors, thereby ensuring
Coupon rate: the coupon is predetermined. Its amount is calculated according to the following formula:
the new security’s liquidity.
par value x [(1 + T – 1.00%) 1/4 –1]
Thus, this security's nominal margin is 1.00%.
T is the reference rate (TEC 10) calculated five business days before the coupon’s maturity date (e.g. TEC published on 18 April for the
coupon corresponding to the period from 25 April to 25 July, paid on 25 July).
Outstandings: EUR 6.82 billion on 1st January 1999.
Denomination: EUR 1.
12
TECHNICAL SPECIFICATIONS
OF THE INFLATION-INDEXED OAT
On 15 September 1998, the French
Inflation-indexed OATs are aimed at diversifying
throughout the year, at the same dates as other
Republic issued its first inflation-
government borrowing policy. As such, they benefit
OATs. As soon as the first issue has reached
from the commitment to liquidity and regular
adequate volume, other lines will be created in
indexed OAT (OATi ). This aim of this
issuance associated with all French government
order to build up a complete euro-denominated
issue was to reduce borrowing costs,
securities. OATi will be auctioned regularly
yield curve.
create a new type of government secu-
GENERAL CHARACTERISTICS OF OATi
rity and provide the benchmark for
Denomination
EUR 1
Real coupon
Fixed percentage of index-linked principal, determined upon issuance and unchanged
until maturity.
inflation-indexed bonds denominated
Paid coupon
Post-determined annual coupon calculated as follows: real coupon x nominal x index ratio.
in euros. OATi are designed for all
Reference index
Monthly consumer price index (CPI) excluding tobacco for all households
residing in France, published by the INSEE.
investors wishing to protect the
Daily inflation
reference
The daily inflation reference is calculated by linear interpolation as follows:
purchasing power of their investments, to improve asset-liability mana-
• the reference applicable to the first day of the month m is the CPI for month m-3.
For example, the reference applicable to 1 June 1999 is the CPI for March 1999;
• the reference for any other day of month m is calculated by linear interpolation between
the CPI for month m-3 and the CPI for month m-2, according to the following formula:
Daily reference d = CPI m–3 +
gement or to diversify their portfolios.
where: CPI m–2
CPI m–3
Potential investors include resident
nies, pension funds, provident funds,
x
(CPI m–2
: price index for month m–2
nd
: price index for month m–3
NJ
– CPI m–3 )
: number of the day in the month
m : number of days in month m
Base index
Daily inflation reference at initial accrual date.
Index ratio
Index ratio at day d = daily inflation reference at day d / base index.
Same rounding rule as for the daily inflation reference.
Publication procedure
The Ministry of the Economy, Finance and Industry calculates and publishes daily inflation
references and index ratios through the major real-time financial information services
(Reuters <OATINDEXED01-02>, Bloomberg TRESOR <GO>).
Indexation method
All cash flows, accrued interest, coupon and principal are paid after adjustment by the
index ratio.
Redemption on maturity
Nominal x indexation coefficient. Should the daily inflation reference on maturity be lower
than the base index, redemption at par is guaranteed.
Accrued interest
Real coupon x (number of days accrued / actual number of days of the interest period)
x nominal x index ratio.
mutual funds, etc. - as well as retail
investors.
NDm
The daily inflation reference is rounded off to five significant digits, after truncating the
results of the above formula to the sixth significant digit.
and non-resident institutional investors - including life insurance compa-
nd –1
DESCRIPTION OF THE 3% 25 JULY 2009 OATi
Maturity:
Real coupon:
Accrual date:
Base index:
First issue:
Outstandings on 1st January 1999:
Denomination:
25 July 2009.
3 %.
25 July 1998.
daily inflation reference of 25 July 1998 = 100.17406.
FRF 24 billion on 15 September 1998, by underwriting.
EUR 4.34 billion.
par value EUR 1.
13
FRENCH TREASURY STRIPS
Introduced in June 1991, the French
1. PROCEDURES
2. TRANSACTIONS
strips market (Separate Trading of
The first transaction involving stripped OATs was
Participating SVTs undertake to make markets in
Registered Interest and Principal of
announced on 23 May 1991 and took place on 12 June
Treasury Strips. Further, the OAT coupon certificates
Securities on OATs) is just as liquid
of that year, on the 8.5% 2019 OAT. On 31 December
are listed and traded on the Paris stock market on a
1998, stripping and reconstitution was authorised on
yield-to-maturity basis expressed as a percentage of
the following OATs:
a year of 365 or 366 days (ACT/ACT). The price is
and secure as the market in other
Treasury securities (i.e. OATs, BTANs
and BTFs). A group composed of
Sicovam and the SVTs was
commissioned by the French
government to manage and ensure
the security of stripping and
reconstituting operations.
rounded off to four decimal places as a percentage of
• 9.50%
• 6.75%
• 8.50%
• 8%
• 6.75%
• 5.50%
• 6%
• 6.75%
• 7.50%
• 7.75%
• 7%
• 7.25%
April 2000 OAT
April 2002 OAT
April 2003 OAT
April 2003 OAT
October 2003 OAT
April 2004 OAT
April 2004 OAT
October 2004 OAT
April 2005 OAT
October 2005 OAT
April 2006 OAT
April 2006 OAT
• 6.50%
• 5.50%
• 5.50%
• 5.25%
• 8.50%
• 6.50%
• 8.50%
• 8.25%
• 8.50%
• 6%
• 5.50%
October 2006 OAT
April 2007 OAT
October 2007 OAT
April 2008 OAT
October 2008 OAT
April 2011 OAT
October 2019 OAT
April 2022 OAT
April 2023 OAT
October 2025 OAT
April 2029 OAT
par value. The following formula is applied in order to
calculate the price to be paid for a strip:
P=
100
(1 + y)n + f
where:
days = Actual/Actual
y = annual yield-to-maturity
n = number of full years until maturity
f = number of days between value date and the next
25 October (or April) divided by 365 or 366.
SVTs holding a strippable OAT may present this
security to Sicovam SA and, in exchange for the
Strips are settled on D + 3 through Sicovam,
Euroclear or Cedel.
bond, request separately tradable securities each
representing an interest maturity, together with the
capital maturity known as the principal.
3. ADVANTAGES
The face value of PO (principal only) strips is EUR 1,
and EUR 0.25 for IO (interest only) strips. From an
accounting point of view, the SVT records a sale of
a stripped OAT and the simultaneous purchase of a
series of securities for identical amounts.
Stripped bonds give final investors the opportunity
to improve the performance of their bond portfolio,
because of their greater sensitivity to interest rate
movements. This offers them greater leverage than
on a conventional OAT. Stripped securities also
14
A strip operation can be reversed at any time by
eliminate the interest rate risk linked for
assembling all of these distinct stripped securities.
conventional securities to reinvestment of the
Interest certificates of a given maturity detached
coupons. Moreover, OAT certificates have a longer
from OATs of different original maturities are
duration and a more sharply convex curve than
fungible.
OATs of the same maturity.
REVERSE AUCTIONS
1. OBJECTIVES
3. REPURCHASE
TRANSACTIONS
The Treasury may at any time introduce a programme
of “reverse auctions” designed to repurchase some of
The first reverse auction took place on 28 March 1991
its loans on the market. The main purpose of these
and involved 3 BTAN lines for the following amounts:
repurchase transactions is:
• to prepare for the redemption of lines with large
amounts outstanding in order to avoid major
fluctuations in the government’s cash position, and to
improve liquidity in the secondary market in
government debt;
• to enhance the liquidity of the secondary market by
offering to withdraw illiquid issues.
• FRF 2.510 billion on the 8% August 1991 BTAN;
• FRF 0.623 billion on the 7% March 1992 BTAN;
• FRF 0.482 billion on the 7% October 1992 BTAN.
The 7% 1992 BTAN was one of the smaller issues
in terms of volume outstanding. Its coupon no longer
reflected rates on the secondary market and this issue
was therefore insufficiently liquid. The repurchases
2. PROCEDURES
The reverse auction is like a conventional auction, but
bids are made in terms of sale price instead of
purchase price.
The government sets a maximum quota for the
bonds it wishes to repurchase, within which the
lowest-price offers are accepted. The government
thus acquires the bonds at the sale prices submitted
by the bidders.
As with conventional auctions, the Treasury
were refinanced by the issue of new 2- and 5-year
notes better suited to the market in terms of coupon
and liquidity.
In November 1992, the Treasury repurchased
FRF 7.5 billion of TRB* OATs with an outstanding
volume of FRF 36 billion. Repurchases in 1993 also
concerned the following lines:
• FRF 2.705 billion on the 9% April 1993 BTAN;
• FRF 3.152 billion of TMB* OAT.
No reverse auction has been performed since.
announces in advance the lines it intends to
repurchase and announces the upper and lower limits
of the transaction. Penalties are applied for
non-delivery of securities on the settlement day.
* see "Floating rate OATs" data-sheet.
15
REPO AND LENDING-BORROWING
OF SECURITIES
Lending of securities or repo
1. PRINCIPLES
2. PROCEDURES
transactions have expanded greatly
in recent years under the impetus of
There are two major categories of "cessions
Securities lending
temporaires de titres" in France: the prêts de titres
a more detailed legal and regulatory
(securities lending) and the pension livrée (repos
This transaction allows holders of securities to earn
framework, the rapid growth of
with securities delivered).
a return on their portfolios through gains on
temporary sales of assets, avoiding the need to
money market mutual funds, and
These transactions consist of temporary sales
refinance those assets. These transactions
implementation of the Relit and
of securities against cash (or in some cases for
generally do not entail a cash transfer or any
other securities). They carry short-term interest for
guarantee in exchange for the securities loaned.
Saturne and subsequently the Relit
Grande Vitesse (RGV) delivery /
a fixed period of time at a rate close to the money
market rate.
Securities lending offers several advantages:
• administrative procedures are pared to a
settlement systems.
They allow professional investors to hedge short
minimum, and the legal and fiscal framework is
positions by borrowing securities, and to finance
clearly defined;
long positions by selling securities on a temporary
• they do not entail any movement of funds, with
basis.
the exception of the remuneration paid at maturity;
• and they enable holders to generate a return on
They also improve portfolio return and enable
an inactive securities portfolio, but without the
institutions that do not have access to the money
benefit of the security of repo transactions.
market to make attractive and safe short-term
investments, paying a remuneration with close
Repos
to money market rates.
Until 1993, pensions livrées operated according to a
Finally, they generally serve to hedge against a
set of tacit rules accepted by the different players in
potential delivery default.
the market and the French tax authorities. In 1994,
a legal basis for the pension livrée was defined (in
the “Act containing various provisions relating to
the Bank of France, insurance, credit and the
financial markets”), spelling out clearly its legal and
fiscal framework and confirming the tax neutrality of
the transaction.
16
• In a mise en pension (repo) transaction, a person
liabilities. The buyer, meanwhile, is deemed not to
(the seller) sells securities or other instruments to
hold the securities and records a claim on the seller
another person (the buyer), these two people
in his balance sheet. Only in the event of default,
undertaking respectively and irrevocably, the first to
i.e. if at the expiration of the sale or repurchase
repurchase the securities and the second to sell
agreement one of the parties fails to fulfil his
them back at an agreed price and a stated date.
obligation to return the securities or cash at the
This therefore consists of a temporary sale of
agreed date, does the sale become effective or a
securities accompanied by a real transfer of
profit or loss on the sale is recorded.
ownership, with possible transfer of voting rights
and financial rights. Securities eligible for this type
The payment made to the buyer is treated as an
of transaction are listed securities or securities
interest payment on a loan liable for tax under the
traded over-the-counter, negotiable debt securities
“accrued interest” rule. Moreover, sale and
as well as public or private-sector paper. Securities
repurchase transactions are exempt from VAT as
from which the right to a dividend may be detached
well as from stamp duty and registration fees.
or securities giving rise to interest payments
entitling the owner to an "avoir fiscal" or a tax credit
• In addition to the irrevocable undertaking by both
during the lifetime of a repo are ineligible.
parties to unwind the transaction initiated, the
pension livrée entails exchanges of cash at the time
Repurchase agreements may be carried out not
of initiation and maturity of the transaction. The
only by banking institutions, but also by
mise en pension (temporary sale) may serve to
corporations, as well as by securitized debt funds
refinance a securities portfolio, while the prise en
and investment trusts. However, banking
pension (temporary purchase) enables an investor
institutions alone are entitled to enter into sale and
to obtain a secure return on funds available for short
repurchase transactions involving private
periods.
instruments.
The setting up of margin calls between the parties
to such agreements has increased their safety.
• The accounting rules have been clarified. The
seller is deemed not to have sold his securities,
which continue to be included in his assets. The
corresponding debt (repurchase) is recorded under
17
DELIVERY/SETTLEMENT
PROCEDURES
1. RELIT GRANDE VITESSE - RGV
Since the introduction in January 1996 of the
European directive which provided for freedom of
Government securities transactions are settled
establishment and mutual recognition of
through Relit Grande Vitesse (RGV), the new
authorizations, every “investment service provider”
gross settlement system for fixed-income
in the meaning of the directive can become an RGV
securities developed by Sicovam SA in partnership
participant.
with the Bank of France. RGV became operational
for OATs on 9 February 1998 and on 30 June 1998
3. THE ADVANTAGES
for BTANs and BTFs.
Sicovam SA also acts as a central securities
depository for OATs, BTFs and BTANs. RGV
participants can open different accounts to
segregate their proprietary and agency assets,
including a separate account for each type of client.
OFFERED BY RGV
• RGV is used to process all government
(and fixed-income) securities transactions
between financial intermediaries:
– purchases and sales on the primary, grey and
secondary markets;
– free-of-payment transfers;
2. RGV PARTICIPANTS
– repos;
– over-the counter securities loans;
• RGV participants are:
– and all monetary policy transactions.
– financial intermediaries (SVTs and other banks,
custodians, brokers, etc.);
• RGV ensures instant irrevocability of
– issuers, for the management of their registered
settlement, permits direct payment in central
securities issues;
bank money and ensures intraday links with
– foreign depositories and international clearing
the TBF system of the Bank of France.
organizations (Cedel and Euroclear).
Moreover, its collateralization technique improves
The Bank of France is a key player in this system.
the flexibility of RGV participants and helps them
It has three responsibilities: it acts as a payment
optimize management of their positions. It enables
agent, it acts as a counterpart for intraday repos
them to use all or part of the securities on their
and it initiates transactions on the money market
account or the securities they are buying to secure
(tender operations, bilateral transactions, marginal
their purchase transactions.
lending facility).
18
Thanks to its links with TBF, the French connection
• Thanks to a combination of instant
to the TARGET system - which since 1st January
irrevocability and real-time processing, RGV
1999 connects the cash settlement systems of all
offers all operators an ideal base to optimize
European central banks - RGV is the main tool
cross-border transactions safely via links with
to implement monetary policy and to manage
other national depositories and international
intraday liquidity in euros, notably by
clearing organizations, as Cedel and Euroclear.
collateralizing securities in favour of the Bank of
France. Therefore, RGV participants have a fully
protected framework for their securities and
cash transactions with all institutions
These links enable international operators to carry
out transactions directly with domestic
counterparts.
throughout the European Union.
• Transactions can be settled the same day (D)
or during a period between D and D+100, at
the discretion of the participants.
Transactions at the day’s value can be sent to the
system until 5:00 p.m.
RGV participants use standard messages and the
Sigma network or their RGV workstation to send
their instructions to the system. As of end-1999, it
will also be possible to access RGV via SWIFT.
19
TAX TREATMENT OF FRENCH
GOVERNMENT SECURITIES
1. TAXATION OF
For non-profit organizations, income from
– As with French-resident retail investors, tax is due
FRENCH GOVERNMENT
Emprunts d’État bonds issued before 1st January
on interest received. In contrast with retail
SECURITIES TRADED
1987 is exempt from tax. For bonds issued after
investors, the redemption premium due to
that date, the rate of taxation is 10%. Capital gains
indexation of the principal may be taxed partly
on the sale of securities are not liable to tax
before maturity, even though this premium is only
IN THE CASH MARKET
(1)
collected on divestment or redemption on maturity
French residents
For corporations liable to corporate income tax,
(known as “shadow” taxation).
interest, redemption premiums and capital gains on
• Long-term bonds (OATs and Emprunts d’État):
sales of securities are taxed at the standard
– The redemption premium is factored into pre-tax
corporate income tax rate (33.33%) incremented by
income on a yield-to-maturity basis when its
For retail investors, interest and redemption
an exceptional contribution of 10%, as well as a
estimated value (based on the weekly government
premiums (exempt from withholding tax) are liable
temporary contribution of 15%. The latter applies
securities rate - THE - at the purchase date)
to personal income tax. Two options are available:
only to corporations with turnover of over
exceeds purchase value by 10% and when the
– a flat-rate withholding tax of 25% from 1 January
FRF 50 million. It is reduced to 10% for financial
issue price is less than 90% of the estimated
1998 (including a 10% social security contribution,
years closed in 1999. Interest paid on OATs is taxed
redemption value. In practice, this criterion is easy
consisting of 7.5% from CSG tax, 0.5% from RDS
on the basis of accrued interest.
to meet for inflation-indexed bonds when
st
subscribed on or shortly after issue.
tax and 2% from social security tax);
– or a graduated income tax, incremented by 10%
• Inflation-indexed OATs (OATi s): tax treatment
social security contributions.
of inflation-indexed OATs is very similar to that of
– Every year, only a fraction of the inflation-
other fixed or floating rate OATs.
adjustment premium is taxed. The calculation of
this fraction is designed to smooth residual taxation
Redemption premiums attached to bonds issued
before 1 January 1992, or stripped, are exempt
Individuals are entitled to opt for payment of a
of the premium (taxable premium less taxes paid in
from income tax if the amount of the premium does
final and definitive one-off flat-rate tax. Only
earlier years) over the residual life of the bond.
not exceed 5% of the face value of the security.
interest actually received during the year is taxed.
st
Capital gains are taxed when the security is sold
Capital gains on the sale of securities are taxed at
or on maturity, when the security is redeemed
the rate of 26% (including 10% social security
with the inflation-adjustment premium.
contributions) for sales exceeding FRF 50,000 for
transactions made as from 1st January 1998. Losses
Taxes paid by institutional investors are governed
may be charged only to gains realised during the
by Article 238 paragraph E-II-3 of the General Tax
same year or the next five years.
Code, which concerns securities with uncertain
redemption premium.
(1) Rules applicable to gains realised since 1st January 1998.
20
• BTANs and BTFs :
Non-residents investors
For individuals, interest and redemption premiums
Interest on Emprunts d’État, OATs, BTANs and
(exempt from withholding tax) are liable to personal
BTFs is exempt from the one-off flat-rate
income tax. Two options are available:
withholding tax.
– a flat-rate withholding tax of 25% from 1st January
1998 (including a 10% social security contribution,
For non-residents located in a country bound to
consisting of 7.5% from CSG tax, 0.5% from
France by a tax treaty, proof of non-residential
RDS tax and 2% from social security tax);
status is provided by simple statement on the
– or a graduated income tax, incremented by 10%
person’s honour at each change of tax domicile.
social security contributions.
For other non-residents domiciled in a state not
For non-profit organizations, income is taxed at
bound to France by a tax treaty, proof of non-
10%, while capital gains are exempt from tax.
residential status must be provided for each
payment of interest.
Corporations liable for corporate income tax,
interest, redemption premiums and capital gains on
disposals of securities are included in the
company’s profits and taxed at the standard
corporate income tax rate (33.33%) incremented by
an exceptional contribution of 10%, as well as
a temporary contribution of 15%. The latter applies
only to corporations with turnover of over
FRF 50 million. It is reduced to 10% for financial
years closed in 1999. Income from BTFs and
BTANs is taxed on the basis of accrued interest.
2. TAXATION ON
THE FUTURES AND
OPTIONS MARKETS
(1)
Resident clients
Gains made by individuals are liable for a flat-rate
tax at 26% including 10% social security
contributions. Losses may only be set off against
gains made in the same year or the five
following years.
Gains made by corporations are liable for tax at the
standard corporate income tax rate of (33 1/3%)
incremented by an exceptional contribution of 10%,
as well as a temporary contribution of 15%. The
latter applies only to corporations with turnover of
over FRF 50 million. It is reduced to 10% for
financial years closed in 1999. Gains posted on the
MATIF by locals (NIPs), are subject to graduated
personal income tax (as either non-commercial
profits or business profits).
Non resident clients
Non-resident clients are not subject to any taxation
in France for transactions carried out on the MATIF,
providing these transactions do not involve an
institution liable for tax in France.
(1) Rules applicable to gains realised since 1st January 1998.
21
TAX CONVENTIONS
AND AGREEMENTS
Benin (ex-Dahomey)
Bolivia
Brazil
Bulgaria
Burkina Faso
(ex-Hte-Volta)
INCOME TAX CONVENTIONS
AND AGREEMENTS BETWEEN
FRANCE AND OTHER COUNTRIES
Abbreviations:
Cameroon
A:
additional clause
DE:
registration fees
DO:
donation fees
Canada
EDL: exchange of letters
IF:
wealth tax
IR:
personal income tax, including income from financial assets
Central African
Republic
China
Cyprus
Congo
South Korea
RCM: only income from financial assets
S:
inheritance tax
JO:
Official government gazette
Ivory Coast
Denmark
Egypt
UAE
Countries
South Africa
Algeria
Germany
Saudi Arabia
Argentina
Australia
Austria
Bangladesh
Bahrein
Belgium
22
Date of convention or agreement (and of
the additional clause where applicable)
November 8, 1993 (JO dated 23-Nov-95)
May 17, 1982 (JO dated 23-Feb-84)
July 21, 1959 (JO dated 8-Nov-61)
A dated June 9, 1969 (JO dated 22-Nov-70)
A dated September 28, 1989 (JO dated 7-Nov-90)
February 18, 1982 (JO dated 6-Jul-83)
EDL dated December 20, 1988 and February 22, 1989
A dated October 2, 1991
EDL dated June 16, 1993 and October 31, 1993
EDL dated January 3, 1994 and May 3, 1995
(JO dated 3-Sep-95)
April 4, 1979 (JO dated 10-Mar-81)
April 13, 1976 (JO dated 4-Dec-77)
A dated June 19, 1989 (JO dated 28-Sep-90)
March 26, 1983 (JO dated 14-Dec-94)
March 26, 1993 (JO dated 20-Dec-94)
March 9, 1987 (JO dated 30-Aug-88)
May 10, 1993 (JO dated 6-Aug-94)
March 10, 1964 (JO 15 dated Aug-65)
A dated February 15, 1971 (JO dated 6-Dec-73)
January 20, 1969 (JO dated 19-Aug-69)
Taxes
concerned
IR-IF
IR-S-DE
IR-IF
Ecuador
Spain
United States
Finland
IR-IF-S
Gabon
IR-IF
S-DO
IR
IR-IF-S
IR
Ghana
Greece
Hungary
Mauritius
India
Indonesia
Iran
Ireland
Iceland
Israel
Italy
S-DE
Jamaica
IR-IF
IR
February 27, 1975 (JO dated 10-Jan-78)
December 15, 1994 (JO dated 30-Nov-96)
September 10, 1971 (JO dated 28-Nov-72)
March 14, 1987 (JO dated 19-Apr-88)
August 11, 1965 (JO dated 1-Jun-67)
A dated June 3, 1971 (JO dated 17-May-75)
October 21, 1976 (JO dated 11-Sep-79)
A dated 31 March 1994 (JO dated 26-Jan-97)
May 2, 1975 (JO dated 10-Oct-76)
A dated January 16, 1987 (JO dated 13-Oct-88)
March 16, 1951 (JO dated 21-Jun-53)
A dated November 30, 1995 (JO dated 16-Nov-98)
December 13, 1969 (JO dated 24-May-71)
May 30, 1984 (JO dated 28-Feb-85)
December 18, 1981 (JO dated 30-Aug-83)
November 27, 1987 (JO dated 15-Sep-89)
June 19, 1979 (JO dated 6-Feb-81)
A dated April 9, 1991 (JO dated 3-Jun-92)
April 6, 1966 (JO dated 22-Jan-69)
A dated February 25, 1985 (JO dated 25-Feb-89)
A dated October 19, 1993 (JO dated 6-May-95)
February 8, 1957 (JO dated 10-Aug-58)
June 19, 1980 (JO dated 24-Jan-83)
July 19, 1989 (JO dated 19-Jul-90)
A dated December 6, 1993 (JO dated 21-Jun-95)
March 16, 1989 (JO dated 8-May-92)
October 10, 1995 (JO dated 11-July -97)
January 8, 1963 (JO dated 7-Jan-64)
August 31, 1994 (JO dated 22-Mar-96)
November 24, 1978 (JO dated 10-Jan-80)
September 11, 1970 (JO dated 22-Apr-72)
August 25, 1958 (JO dated 27-Aug-59)
April 21, 1966 (JO dated 24-Apr-69)
A dated January 23, 1973 (JO dated 13-Sep-73)
A dated October 2, 1986 (JO dated 1-Feb-90)
April 5, 1993 (JO of 14-May-97)
August 21, 1963 (JO dated 1 and 2-Feb-65)
April 28, 1980 (JO dated 6-Jan-82)
December 11, 1980 (JO dated 27-Oct-82)
September 29, 1992 (JO dated 6-Aug-94)
September 14, 1979 (JO dated 14-Apr-81)
November 7, 1973 (JO dated 30-Apr-75)
March 21, 1968 (JO dated 10-Sep-71)
August 29, 1990 (JO dated 23-Jun-92)
July 30, 1995 (JO dated 18-Sep-96)
October 5, 1989 (JO dated 8-May-92)
dated December 20, 1990 (JO dated 4-Apr-95)
August 9, 1995 (JO dated 9 October 1998)
IR-S-DE
IR
IR
IR
IR-S-DE
IR-S-DE
IR-IF
S
IR-S-DE
IR
IR-IF
IR-S-DE
IR
IR-S-DE
IR-IF
IR-IF
IR-IF-S
IR
S
IR-IF
S
IR-IF
S
IR-S-DE
IR
IR
IR-IF
IR-IF
IR
IR-IF
IR
IR
IR
IR-IF
IR-IF
S-DO
IR
Japan
Jordan
Kuwait
Lebanon
Luxembourg
Madagascar
Malaysia
Mali
Malta
Morocco
Mauritania
Mayotte
Mexico
Monaco
Mongolia
Niger
Nigeria
Norway
New Caledonia
New Zealand
Oman
Pakistan
Netherlands
Philippines
Poland
French Polynesia
Portugal
Qatar
Quebec (2)
March 3, 1995 (JO dated 16-May-96)
May 28, 1984 (JO dated 10-Apr-85)
February 7, 1982 (JO dated 15-Sep-83)
A dated September 27, 1989 (JO dated 26-Sep-91)
A dated January 27, 1994 (JO dated 10-Mar-95)
July 24, 1962 (JO dated 8-Jan-64)
April 1, 1958 (JO dated 9-Apr-60)
A dated September 8, 1970 (JO dated 8-Jan-72)
July 22, 1983 (JO dated 11-Dec-84)
April 24, 1975 (JO dated 24-Apr-77)
A dated January 31, 1991 (JO dated 22-Jun-92)
September 22, 1972 (JO dated 17-May-75)
July 25, 1977 (JO dated 16-Nov-79)
A dated July 8, 1994 (JO dated 25-Sep-97)
May 29, 1970 (JO dated 24-Dec-71)
A dated August 18, 1989 (JO dated 22-Dec-90)
November 15, 1967 (JO dated 27-Apr-69)
March 27 and June 8, 1970 (JO dated 23-Jun-71)
November 7, 1991 (JO dated 6-Mar-93)
May 19, 1963 (JO dated 27-Sep-63)
A dated June 25, 1969 (JO dated 25-Dec-69)
April 1, 1950 (JO dated 10-Jun-53)
April 18, 1996 (JO dated 1-Jan-99)
June 1, 1965 (JO dated 1-Dec-66)
A dated February 16, 1973 (JO dated 13-Mar-77)
February 27, 1990 (JO dated 19-Jul-91)
December 19, 1980 (JO dated 25-Oct-81)
A dated November 14, 1984 (JO dated 27-Oct-85)
A dated April 7, 1995 (JO dated 17-Oct-96)
March 31 and May 5, 1983 (JO dated 27-Jul-83)
November 30, 1979 (JO dated 16-May-81)
June 1, 1989 (JO dated 1-Aug-90)
June 15, 1994 (JO dated 18-Oct-96)
March 16, 1973 (JO dated 21-Apr-74)
January 9, 1976 (JO dated 4-Oct-78)
A dated June 26, 1995 (JO dated 26-Jun-98)
June 20, 1975 (JO dated 1-Dec-76)
March 28 and May 28, 1957(JO dated 15-Aug-57)
January 14, 1971 (JO dated 4-Jan-73)
AP and EDL June 3, 1994 (JO dated 2-Mar-95)
January 4, 1990 (JO dated 22-Dec-94)
September 1, 1987 (JO dated 29-Oct-88)
IR
IR
IR-IF-S
Romania
UK
IR-S
IR-IF
IR
IR
Saint-Pierre et
Miquelon
Senegal
IR-S-DE
IR-S-DE
IR-S-DE
IR-S-DE
IR
(1)
Singapore
Slovakia
Sri Lanka
Sweden
EDL
Switzerland
S
IR-IF
IR-S-DE
IR
IR-IF
IR-S-DE
IR
IR-S
IR
IR-IF
IR
IR-IF
RCM
IR
S-DO
IR
Czech Republic
Thailand
Togo
Trinidad and Tobago
Tunisia
Turkey
Ex-USSR
Venezuela
Vietnam
Ex-Yugoslavia
Zambia and Malawi
Zimbabwe
September 27, 1974 (JO dated 21-Oct-75)
May 22, 1968 (JO dated 24 and 25-Nov-69)
A dated February 10, 1971 and May 14, 1973
(JO dated 2-Aug-71 and 28-Feb-74)
A dated June 12, 1986 (JO dated 20-Jun-87)
A dated October 15, 1987 (JO dated 4-Feb-88)
June 21, 1963 (JO dated 1-Aug-64)
IR-IF
IR
May 30, 1988 (JO dated 14-Jan-89)
March 29, 1974 (JO dated 30-Nov-76 and
11-May-78)
A dated July 16, 1984 (JO dated 25-Feb-86)
A dated January 10, 1991 (JO dated 27-Feb-93)
September 9, 1974 (JO dated 3-Oct-75)
June 1, 1973 (JO dated 2-Oct-75)
September 17, 1981 (JO dated 30-Jan-83)
November 27, 1990 (JO dated 8-Apr-92)
dated March 14 and 18, 1991 (JO dated 8-Apr-92)
June 8, 1994 (JO dated 16-Mar-96)
September 9, 1966 (JO dated 9 and 10-Oct-67)
A dated December 3, 1969 (JO dated 2-Nov-70)
“Border” agreement dated April 11, 1983
(JO dated 25-Feb-87)
December 31, 1953 (JO dated 29-Mar-55)
A dated July 22, 1997 (JO dated 27-Aug-98)
June 1, 1973 (JO dated 2-Oct-75)
December 27, 1974 (JO dated 21-Nov-75)
November 24, 1971 (JO dated 6-Aug-75)
August 5, 1987 (JO dated 18-Apr-89)
May 28, 1973 (JO dated 13-Nov-75)
February 18, 1987 (JO dated 6-Jul-89)
October 4, 1985 (JO dated 28-May-87)
May 7, 1992 (JO dated 12-Jan-94)
February 10, 1993 (JO dated 20-Dec-94)
March 28, 1974 (JO dated 13-Sep-75)
December 14, 1950 (JO dated 21-Aug-51)
EDL November 5, 1963 (JO dated 15-Dec-63)
EDL December 31, 1963 (JO dated 26-Feb-64)
December 15, 1993 (JO dated 16-Mar-97)
IR-S-DE
S
IR-S-DE
IR
IR
IR
IR-IF
S-DO
IR-IF
IR
S
IR-IF
IR
IR-S-DE
IR
IR-S-DE
IR
IR
IR
IR
IR-IF
(1) Special tax treaty.
(2) Special tax agreement between France and the province of Quebec.
23
LIST OF ABBREVIATIONS
ACG: Adhérent Compensateur Général - General Clearing Member of the
MATIF
ACI: Adhérent Compensateur Individuel - Individual Clearing Member of
the MATIF
Prix pied de coupon: Price excluding accrued interest. This method of listing
makes possible the comparison between prices of different bonds on which
interest is paid annually at different dates.
BTAN: Bons du Trésor à taux fixe et intérêts annuels - Fixed-rate Treasury
notes, interest paid annually
Relit: Système de règlement/livraison de valeurs mobilières contre paiement Settlement system based on delivery versus payment
BTF: Bons du Trésor à taux fixe et intérêt précompté - Fixed-rate short-term
discount Treasury bills
RGV: Relit grande vitesse
Cedel: European clearing system based in Luxembourg
CMF : Conseil des Marchés Financiers - Financial markets regulation
committee
COB: Commission des Opérations de Bourse - The market supervision
authority, patterned on the US Securities and Exchange Commission
CRBF : Comité de la réglementation bancaire et financière - Banking and
Credit regulation Committee
Eonia: Euro Overnight Index Average
Euribor: Euro Interbank Offered Rate
Euroclear: European clearing house based in Brussels
FSR: Fonds de Soutien des Rentes - Government debt management fund
IVT : Intermédiaire en valeurs du Trésor - Intermediary in French government
securities
MATIF: Marché à Terme International de France - Paris financial futures
exchange
Matif SA: Specialised financial institution in charge of running the MATIF
NEC: Négociateur-courtier - Trader-Broker member of the MATIF
OAT: Obligations Assimilables du Trésor- Fungible Treasury bonds
OATi : Inflation-indexed OAT
OPCVM: Organisme de Placement en Valeurs Mobilières (Sicav ou Fonds
Communs de Placement) - Undertakings for Collective Investments in
Transferable Securities (UCITS). These are generally unit trusts or mutual
funds (Sicav) or investment trusts (FCPs)
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Pibor: Taux interbancaire offert à Paris (TIOP) - Paris Interbank Offered Rate
SBF: Société des Bourses Françaises - The market's executive body
Sicovam: Société Interprofessionnelle pour la Compensation des Valeurs
Mobilières - The central depositary and clearing authority
SVT: Spécialiste en Valeurs du Trésor - Primary dealer in government
securities
STRIP: Separate Trading of Registered Interest and Principal of Securities
TARGET : Trans European Automated Real-time Gross settlement Express
Transfer
TEC: Taux de l'Echéance Constante - Constant maturity rate
TMB: Arithmetic mean of the average monthly yields on 13-week BTFs
recorded during the year preceding payment of coupon. Published by the
Caisse des Dépôts et Consignations
TME: Arithmetic mean of the average monthly yields on fixed-rate
government bonds with maturities of more than 7 years recorded during the
year preceding payment of coupon. Published by the Caisse des Dépôts et
Consignations
TRA: Reference rate revised in line with variations in the TME. Published by the
Caisse des Dépôts et Consignations
TRB: Reference revised at each quarterly maturity according to the yield
on 13-week BTFs recorded during the auction preceding payment of coupon