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Euribor 3-Month Annualization and ACT/360 Day Count

Article Quant Q&A · Author: JeanGuillaume
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Summary

The document explains that 3-month Euribor is generally quoted as an annualized rate for clarity and comparison with other interest rates. ACT/360 specifies the day-count convention used to calculate interest: the actual number of days in the accrual period is counted, while the year is treated as having 360 days.

Thus the quoted figure is not itself a daily rate or a direct three-month interest amount. To estimate interest for a period, apply the annualized rate to the nominal using the actual days in that period divided by 360. The answer is brief and points to an external reference for further detail; it does not discuss compounding conventions beyond the day-count explanation or give a worked calculation.

Key ideas

  • Three-month Euribor is normally expressed as an annualized rate.
  • ACT/360 counts the actual days in the accrual period and uses a 360-day year.
  • The convention helps convert an annualized quote into interest for a specific period.
  • The answer does not provide a worked example or detail other compounding conventions.

Tags

Fixed incomeStatistics
Full text
# Euribor 3M exact definition


# Euribor 3M exact definition












According to Bloomberg, Euribor 3 months (and more precisely Euribor 3m ACT/360) is the benchmark rate in the large euro money market. It is said that "Euribor is quoted on an actual/360 day-count convention". I am not sure to understand. Does it means that it is an annualised rate or that it is a daily rate or again that it is the rate that applied to the nominal will give me the real amount of interests for three months ?

Thank your for your help !

## Answer by Fr1 (score 1, accepted)

https://quant.stackexchange.com/a/41523

Euribor figures are usually presented annualized for the sake of clarity and comparability with other rates. The convention is used to clarify how you should compound: act/360 day-count convention, which means that each month is treated normally and the year is assumed to be 360 days. I suggest this link for details: https://www.emmi-benchmarks.eu/assets/files/Euribor%20FAQs%20Final.pdf

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.