1.0Liberty Street Economicshttps://libertystreeteconomics.newyorkfed.orgblog authorhttps://libertystreeteconomics.newyorkfed.org/author/blog-author/rich600338<blockquote class="wp-embedded-content" data-secret="D5Ez3z09Gi"><a href="https://libertystreeteconomics.newyorkfed.org/2018/03/dealer-trading-and-positioning-in-floating-rate-notes/">Dealer Trading and Positioning in Floating Rate Notes</a></blockquote><iframe sandbox="allow-scripts" security="restricted" src="https://libertystreeteconomics.newyorkfed.org/2018/03/dealer-trading-and-positioning-in-floating-rate-notes/embed/#?secret=D5Ez3z09Gi" width="600" height="338" title="“Dealer Trading and Positioning in Floating Rate Notes” — Liberty Street Economics" data-secret="D5Ez3z09Gi" frameborder="0" marginwidth="0" marginheight="0" scrolling="no" class="wp-embedded-content"></iframe><script> /*! This file is auto-generated */ !function(d,l){"use strict";l.querySelector&&d.addEventListener&&"undefined"!=typeof URL&&(d.wp=d.wp||{},d.wp.receiveEmbedMessage||(d.wp.receiveEmbedMessage=function(e){var t=e.data;if((t||t.secret||t.message||t.value)&&!/[^a-zA-Z0-9]/.test(t.secret)){for(var s,r,n,a=l.querySelectorAll('iframe[data-secret="'+t.secret+'"]'),o=l.querySelectorAll('blockquote[data-secret="'+t.secret+'"]'),c=new RegExp("^https?:$","i"),i=0;i<o.length;i++)o[i].style.display="none";for(i=0;i<a.length;i++)s=a[i],e.source===s.contentWindow&&(s.removeAttribute("style"),"height"===t.message?(1e3<(r=parseInt(t.value,10))?r=1e3:~~r<200&&(r=200),s.height=r):"link"===t.message&&(r=new URL(s.getAttribute("src")),n=new URL(t.value),c.test(n.protocol))&&n.host===r.host&&l.activeElement===s&&(d.top.location.href=t.value))}},d.addEventListener("message",d.wp.receiveEmbedMessage,!1),l.addEventListener("DOMContentLoaded",function(){for(var e,t,s=l.querySelectorAll("iframe.wp-embedded-content"),r=0;r<s.length;r++)(t=(e=s[r]).getAttribute("data-secret"))||(t=Math.random().toString(36).substring(2,12),e.src+="#?secret="+t,e.setAttribute("data-secret",t)),e.contentWindow.postMessage({message:"ready",secret:t},"*")},!1)))}(window,document); </script> https://libertystreeteconomics.newyorkfed.org/wp-content/uploads/sites/2/2018/03/6a01348793456c970c01b7c95ab43c970b-500wi.jpg500313In 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.