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I have this bond assigment where I have to calculate the CF each quarter, given a constant EURIBOR3M rate of -0,539%. There is also a 1,6% margin per annum that I have to take into account. The repayment is going to happen 4 times each year. My question is: What is the quarterly yield/rate and the yearly yield/rate?. Do I have to consider EURIBOR 3M as an annualized rate?

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  • $\begingroup$ Not sure what the convention for your margin is but EURIBOR3M is an annualized, quarterly paid, interest rate on an Act/360 basis. The amount paid will be Principal * ((EURIBOR3M * (Actual Days in Period)/ 360)). $\endgroup$ – AlRacoon Mar 16 at 13:47
  • $\begingroup$ It gives more sense now AlRacoon. I was dividing the rates based on months, but I see that the day counter in Excel provides a more correct picture. Thank you for your time :) $\endgroup$ – user53189 Mar 16 at 14:09

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