Euro-OAT Future [FOAT, Eurex] - Financial definition
Concise definition of the term Euro-OAT Future [FOAT, Eurex]
Interest rate futures contract on a notional long-term French government bond (OAT) with a coupon of 6% and a remaining term comprised between 8.5 and 10.5 years.
Comprehensive definition of the term Euro-OAT Future [FOAT, Eurex]
The introduction of a futures contract on a long-term French government bond, effective April 16th, 2012, follows the logic of diversification of available hedge instruments on European government debt. It started with the creation of short, medium and long term contracts on notional Italian government bonds as a response to the increase of yield spreads between different countries of the euro area.
The Euro-OAT contract is actually not the first futures contract on this type of French government securities. In 1986, the French futures market MATIF, now part of Euronext, had launched what would become its benchmark futures, contract, the "Notionnel (NNN)", which was a futures contract on a notional OAT with a nominal of 500 000 French francs.
With the introduction of the Euro, this contract however wasn't able to compete with the German Bund future due to its inferior liquidity and a strong convergence of interest rate levels between France and Germany, which put the two contracts in direct competition with each other.
Contract specifications
| Market code | FOAT1 |
| Reuters code | FOAT1 |
| Bloomberg ticker | OAT1 |
| ISIN code | DE000A1MAPW3 |
| Currency | EUR |
| Market | Eurex |
| Trading hours | 8.00h - 19.00h CET ( - 12.30h on the last trading day) |
| Contrat value | 100 000 EUR |
| Minimum price change (tick) | 0.01 |
| Tick value | 10 EUR |
| Coupon | 6.000% |
| Contract months | The three closest months of the March, June, September and December cycle |
| Delivery date | The tenth calendar day of the respective quarterly month, if this day is an exchange day; otherwise, the exchange day immediately succeeding that day. |
| Last trading day | Two exchange days prior to the contract's delivery date, until 12.30h CET |
| Physical delivery | Bonds issued by the French government with an initial maturity of no longer than 17 years, a remaining maturity between 8.5 and 10.5 years at delivery date and a minimum outstanding amount of 5 billion euros. |
1 These codes are completed with two characters representing the given contract's delivery month: a letter to designate the month (H = March, M = June, U = September, Z = December), and one digit to designate the year (for example 3 for 2013). The September 2013 OAT future contrat would hence have the Reuters code FOATU3.
Les autres futures de taux négociés en euros pour les mêmes maturités sont également négociés sur Eurex: