The official site of Italy's central bank

CCT and CCTEU coupons

The gross six-month interest rate for CCTs, indexed to the six-month BOT rate, and the six-monthly and annual interest rates for CCTEUs, indexed to six-month Euribor, are published in this section. The mechanism for calculating the CCT coupons is established by the issue decree and provides that the rate should be calculated by adding a spread (currently 15 base points) to the weighted average rate for six-month BOTs, rounded to the nearest 5 cents for securities issued up to October 2005 and the nearest cent for securities issued since November 2005.

The BOT rate is the interest rate at the auction held at the end of the month prior to the one in which the coupons become payable (see attachment below) and is therefore updated after auctioning of the coupons. The mechanism for calculating the CCTEU coupons is established by the issue decree and provides that the six-monthly rate should be calculated by adding a spread (specific to this security and currently set at 80 base points) to the gross annual interest rate equal to the six-monthly Euribor and counting the actual number of days in the commercial year falling in the reference half-year, rounded to the third decimal. The reference Euribor is the rate published at 11.00 two days prior to the date on which the coupons become valid. The annual coupon rate, which is used to compute the accrued interest to be paid by participants in CCTEU auctions taking place after the coupon has become payable, is published at the same time as the six-monthly coupon rate.