We compare two versions of the US Treasury floating rate note (FRN) price measured in Treasury auctions and in the swap market. Utilizing a proprietary dataset from J.P. Morgan, we find that the actual US Treasury FRNs are traded in premium in comparison with their synthetic equivalents in the swap market, and the premium amounts to four basis points on average. Moreover, they are priced up by four more basis points when the aggregate fixed income market is in turmoil, confirming that US Treasury FRNs are indeed safe assets, and thus require a price premium ex ante.

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揭开美国国债浮动利率票据之谜：掉期市场的视角

我们比较了在国债拍卖和掉期市场中衡量的两个版本的美国国债浮动利率票据 (FRN) 价格。利用 JP Morgan 的专有数据集，我们发现实际的美国国债 FRN 与其在掉期市场上的合成等价物相比溢价交易，溢价平均为 4 个基点。此外，当整体固定收益市场处于动荡状态时，它们的价格又上涨了四个基点，这证实了美国国债 FRN 确实是安全资产，因此需要事前价格溢价。