Spread for US Treasury FRN

Q

What is Spread Rate for US Treasury FRN?

✍: FYIcenter.com

A

Spread for US Treasury FRN is the fixed interest component of the FRN and set to match the highest discount margin at its original auction.

Spread stays unchanged until the maturity of the FRN.

Here are the steps to generate the spread:

1. Get the highest discount margin when a new FRN is auctioned. For example, the highest discount margin was 0.205% for the following Treasury FRN:

CUSIP: 91282CLT6
Term: 13-Week
Auction date: 2024-10-29
Issue date: 2024-10-31
Maturity date: 2026-10-31
Highest discount margin: 0.205%

2. Use the highest discount margin as the spread for the new FRN. So the spread for above example FRN is 0.205%.

CUSIP: 91282CLT6
Term: 13-Week
Auction date: 2024-10-29
Issue date: 2024-10-31
Maturity date: 2026-10-31
Spread: 0.205%

⇒ Interest Payment Schedule for US Treasury FRN

⇐ Daily Index Rate for US Treasury FRN

⇑ US Treasury FRN

⇑⇑ US Treasury Securities

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Spread for US Treasury FRN
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Online Resources on US Treasury FRN
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