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15-year Floating-rate JGBs (CMT)

Features of 15-year Floating-rate JGBs (CMT)
  • 1. Products
  • ・Coupon rate = reference rate –α(constant)
  • ・Coupon rates vary along with the change of reference rates.
  • ・Coupon rates have floor protection (the lowest coupon rate is 0%), and are paid semi-annually.
  • ・Reference rate is the compound yield of the average accepted bid of the 10-year JGB auction which was held 6 months before the coupon payment month. The rate is round off the yield to 2 decimal places.
  • ・The smallest amount of a security that may be purchased is ¥100,000.
  • 2. Auction methods (From July 2005)
  • ・The conventional price-competitive auction (multiple-price auction) based on the coupon rate(reference rate –α)
  • ・The α is set in the morning of the auction day and stays constant till maturity.
  •    *Dutch-style yield auction was used until May 2005.
Date of Coupon Payment and Coupon Rate of 15-year Floating-rate JGBs (CMT)(Issue Numbers: 8-48 [Excel])