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Coupon reset lag

The gap between the date the reference rate is observed and the period a floater pays for at that rate.

How to read the number

Because of the lag the floater's coupon reflects yesterday's rate rather than today's: the instrument chases the market instead of moving with it.

When the metric lies

In a sharp tightening cycle the coupon trails and the price slips below par, even though the paper is nominally floating. The belief that a floater always sits near par breaks exactly here.

Also known as: reset lag, observation lag

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