What is Daily Index Rate for US Treasury FRN?

Daily Index Rate for US Treasury FRN is the variable interest component of the FRN and set to match the highest accepted discount rate of the most recent 13-week Treasury Bill.

Daily index rate changes weekly, since 13-week treasury bills are auctioned weekly.

Here are the steps to generate daily index rates:

1. Get the highest accepted discount rate on the day, usually Monday, when a 13-Week Treasury Bill is auctioned. For example, the highest discount rate was 4.23% for the following 13-Week Treasury Bill:

CUSIP: 912797MV6
Term: 13-Week
Auction date: 2024-12-30
Issue date: 2025-01-02
Maturity date: 2025-04-03
Highest discount rate: 4.230%

2. Convert the highest discount rate to the simple interest rate using the following formula:

$i={\displaystyle \frac{360}{\mathrm{Days}}}\times ({\displaystyle \frac{1}{1-d\times {\displaystyle \frac{\mathrm{Days}}{360}}}}-1)$
$i=\text{Interest Rate}$
$d=\text{Discount Rate}$
$\mathrm{Days}=\text{Days in 13 weeks}$

If the highest discount rate: 4.230% as given in the above example, the converted interest rate will be 4.27572%:

$i={\displaystyle \frac{360}{91}}\times ({\displaystyle \frac{1}{1-0.0423\times {\displaystyle \frac{91}{360}}}}-1)$
$i=3.956043956044\times ({\displaystyle \frac{1}{1-0.0423\times 0.25277777777778}}-1)$
$i=3.956043956044\times ({\displaystyle \frac{1}{0.9893075}}-1)$
$i=3.956043956044\times 0.010808065237553$
$i=0.042757181159551$

3. Use the converted interest rate as the daily index rate starting from the next day after the auction day. So the daily index rate on Dec 31, 2024 was 4.27572%.

4. Continue to use the same daily index rate until and including the auction day of the next 13-Week Treasury Bill. So the same daily index rate was used for 7 days:

2025-01-06    4.27572%
2025-01-05    4.27572%
2025-01-04    4.27572%
2025-01-03    4.27572%
2025-01-02    4.27572%
2025-01-01    4.27572%
2024-12-31    4.27572%

5. Go to "FRN Daily Indexes" Website to confirm the above daily index rates:

⇒ Spread for US Treasury FRN

⇐ What Is US Treasury FRN

⇑ US Treasury FRN

⇑⇑ US Treasury Securities