3 posts on "Floating rate notes"
March 26, 2018
Dealer Trading and Positioning in Floating Rate Notes
In January 2014, the U.S. Treasury Department made its first sale of Floating Rate Notes (FRNs), securities whose coupon rates vary over time depending on the course of short-term rates. Now that a few years have passed, we have enough data to analyze dealer trading and positioning in FRNs. In this post, we assess the level of trading and positioning, concentration across issues, and auction cycle effects, comparing these properties to those of other types of Treasury securities.
April 21, 2014
Introduction to the Floating‑Rate Note Treasury Security
Ezechiel Copic, Luis Gonzalez, Caitlin Gorback, Blake Gwinn, and Ernst Schaumburg Introduction The U.S. Department of the Treasury (Treasury) auctioned its first floating-rate note (FRN) on January 29, 2014. With this auction, Treasury introduced the first new marketable debt instrument since Treasury inflation-protected securities (TIPS) in 1997. The new two-year FRN is a fixed-principal security with […]
April 9, 2012
Innovations in Treasury Debt Instruments
On January 31, 2012, the Treasury Borrowing Advisory Committee advised the Secretary of the Treasury that it unanimously supported the issuance of floating-rate notes by the U.S. Treasury.
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