The pricing of US Treasury floating rate notes

• 成果类型: Article
• 署名作者: Hartley, Jonathan S.; Jermann, Urban J.
• 署名单位: Stanford University; University of Pennsylvania; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2024.103833
• 发表日期: 2024
• 关键词: Floating rate notes; government debt; Fixed income arbitrage

摘要

Since January 2014, the U.S. Treasury has been issuing floating rate notes (FRNs). These notes pay quarterly interest based on an average of the constant maturity rates of newly issued three-month T -bills during the quarter. We show how to price such FRNs. We estimate that they have been paying excess interest between 3 and 42 basis points above the implied interest of other Treasury securities. We interpret this fact through the lens of a model where money -like assets differ in their degrees of moneyness. Additional empirical evidence supports this interpretation.