Floating-rate notes · Calculator 03 / 04

Floating Rate Note Coupon Calculator

Calculate an FRN coupon from a reference rate, quoted spread, floor, day-count basis and coupon period. No account, market feed or API required.

Inputs

Editable assumptions

Principal / face amountNotional principal

Reference rate (%)Manually enter the observed fixing

Quoted spread (basis points)100 bps = 1 percentage point

Accrual daysActual coupon period

Day-count convention

Coupon floor (%)Minimum annualized coupon rate

Results

Calculated locally

Coupon construction

Reference fixing + quoted spread → contractual floor → period coupon

The period cash amount is calculated from the applied annualized rate and selected day count.

Coupon payment—

Reference + spread—

Applied coupon rate—

Interest per accrual day—

Annualized coupon at applied rate—

The default zero floor is illustrative, not universal. Change it to match the security documentation. Rates and fixings are entered manually.

Methodology

Raw coupon rate = reference fixing + quoted spread (bps ÷ 100).

Applied rate = max(raw coupon rate, contractual floor).

Coupon payment = principal × applied rate × accrual days ÷ basis.

For a 3.75% reference fixing and a 125 bp spread, the raw annualized coupon rate is 5.00%. On 1 million principal for 90 days using ACT/360, the coupon is 12,500.

This is a single-period cash-flow model. It does not forecast future fixings, compound overnight rates, apply observation shifts or model caps, credit events or amortization.

How to interpret the result

Does this calculator work for compounded SOFR coupons?

Not exactly. It uses one reference rate for the whole period. Compounded-in-arrears coupons require daily rate observations and specific contractual conventions.

Reference

US Treasury – Floating rate notes and interest rates

Educational model. Inputs are illustrative; verify market conventions and contractual terms before use.