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is it correct to say that floating rate notes (FRNs) have no roll-down for a time horizon as it is interest risk free?

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  • $\begingroup$ what is your definition of roll-down? What does your question mean? $\endgroup$ Commented Jan 6, 2024 at 16:50
  • $\begingroup$ it is the typical roll down definition. I guess FRN does have carry roll down, but it is very small as it is like a fixed rate bond with very short maturity/duration? $\endgroup$ Commented Jan 17, 2024 at 13:25
  • $\begingroup$ @Attack68 my definition of roll down is the price change of the bond due to the fact that it gets shorter and therefore has a lower yield given an upward sloping yield curve. is there any other definition? $\endgroup$ Commented Jan 18, 2024 at 6:35

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This is correct for pure floaters; that is, bond that have no margin. If there is margin, it likely rolls down as the bond approaches maturity

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  • $\begingroup$ Also, if the coupons are set in advance, rather than in arreas, then after the upcoming coupon is fixed, it too is subject to rolldown during the coupon period,. $\endgroup$ Commented Jan 5, 2024 at 22:59

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