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FLOATING-RATE NOTES (FRNS)

Statistics Directorate    
Definition:
FRNs are medium- to long-term debt obligations with variable interest rates that are adjusted periodically (typically every one, three, or six months). The interest rate is usually fixed at a specified spread over one of the following specified deposit rates:

- London interbank offered rate (LIBOR),
- London interbank bid rate (LIBID), or
- London interbank mean rate (LIMEAN) (average of LIBOR and LIBID).

Context:
Floating rate notes are negotiable and transferable securities with flexible interest rate, fixed rate, fixed interest periods, and issued in predetermined and uniform amounts. (External Debt: Definition, Statistical Coverage and Methodology, A Report by an International Working Group on External Debt Statistics of the World Bank, IMF, BIS, OECD, OECD, Paris, 1988, Glossary)

FRNs may also use short-term obligations of the U.S. government (Treasury bills) to establish their interest rate. Interest is payable at the end of each interest period.

Variants of FRN are:

- Drop-lock Bond
- Mismatch FRN
- Mini-max (or Collared) FRN
- Capped FRN
- Flip-Flop FRN
- Convertible rate FRN
- Variable rate note.

Source Publication:
Coordinated Portfolio Investment Survey Guide, Second Edition, International Monetary Fund, 2002, Washington DC. Appendix VI: Definition and Description of Instruments.

Hyperlink:
http://www.imf.org/external/pubs/ft/cpis/2002/pdf/cpis_index.pdf

Statistical Theme: Financial statistics

Created on Thursday, August 01, 2002

Last updated on Wednesday, March 05, 2003