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I'm trying to manually calculate the accrued interest of a U.S. Treasury floating rate note (FRN).

I believe the formula is:

(# of days / 360) x 1,000,000 x coupon

If this formula is correct, then in order to back into the value of $199.84 on the following screen print, we would need a rate of 1.19904%.

199.84 = (6/360) x 1,000,000 x 0.0119904

I don't see that 1.19904% rate anywhere on the screen print below. Is there some sort of interpolation taking place?

How is the accrued interest of $199.84 calculated? Thanks!

Bloomberg YAS screen

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  • $\begingroup$ USTR has example calculations for FRNs treasurydirect.gov/instit/statreg/auctreg/auctreg_frncalex.htm Not sure if they address your question. $\endgroup$ – noob2 Nov 3 '17 at 19:53
  • $\begingroup$ High level floating rate notes are priced by a rate determined at the beginning of the fixing period. Then you just need to know how many days you are into that period to price the accrued. $\endgroup$ – phubaba Nov 7 '17 at 3:30
  • $\begingroup$ Is it possible to use an Excel function [e.g. PRICE()] to solve for the price of an FRN? $\endgroup$ – equanimity Nov 8 '17 at 13:03

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