FRN definition

Jump to navigation

Jump to search

An FRN is treated as a vanilla bond with a coupon frequency of 4 (for quarterly coupons) or 12 (for monthly coupons). Each time the coupon is reset, a new record should be added to the security master file for the given security, using the effective date and the new coupon.

Floating rate notes

Jump to navigation

Jump to search

FRNs come in many different types, such as

• vanilla
• dual-indexed floater
• inverse
• prepay
• stepped
• step-up recovery
• variable rate