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.