The price of floating rate notes depends on two factors: (1) the volatility of a reference rate and (2) the spread - which reflects the credit risk - over the reference rate. In this paper we investigate the appropriate spread with the model reflecting the both the volatility of the reference rate and the credit risk. Empirical results show that the spread of floating rate notes is set to higher than that of theoretical one at the issue date when the reference rate is based on the certificate of deposit.