About Fixed to Floating Rate Notes

Fixed to floating rate notes (FRNs) are debt instruments that pay both fixed and floating rates of interest during their life cycle. A floating rate security uses variable rates to calculate interest payments based off an underlying index.

Setting up a fixed to floating rate security in the system requires that you perform the following tasks:

• Add the security master record for the index security. See the Manage Indices page for more information.
• Add daily interest rates for the underlying index. The rates are used to calculate the correct floating rates. See the Manage Variable Rates page for more information.
• Add the security master record for the fixed to floating rate security. See the Manage Long Term Debt Instruments page for more information.

You should consider rate reset criteria when you add floating rate securities to the system. A floating rate security does not automatically start using a new rate when it becomes available. The reset is based on the dates in the reset fields. The following fields are available on the security debt panels within the Issue Viewer tool when you set the Coupon Type field to Floating Rate:

• First Reset Date. This is the first date that the rate will reset from the dated date of the security.
• Reset Frequency Code. This field works with the First Reset Date field to define the frequency with which the rates are reset, beginning from the date in the First Reset Date field.