Periodic Yield on Inverse Floating Rate Notes(IFRNs)

Guys,

I would like to ask you guys about the periodic yields of IFRNs if you have any idea about it. First of all, all the rates I have used are hypothetical! I generated a hypothetical case where Collateral has face value of 2000 paying semiannually with annual coupons of 10% and maturity of 1 year. Based upon this, I got a hypothetical 6-month LIBOR rate of 8%(Annual) and found that in the first payment date FRN is going to get 6,2% while IFRN 3,8%. I also happened to find the price of IFRN to be $1037,72(Period 0) by subtracting the $1000(FRN Par) from the discounted(LIBOR-6m) CFs of the collateral . For the next period, the maturity, I again hypothetically got LIBOR as 3%(Annual) just to experiment with the pricing. This time I calculated that FRN is going to receive 3,7% and IFRN 6,3%. that said, the price I found for IFRN in period 1 was $1068.965 which is way higher than what it will receive at the maturity. When we have reached period 1, the coupons on FRN and IFRN had already been determined. So at maturity, IFRN will receive $1000(Par), plus $63(Interest). What I did not understand is that anyone who want to buy this bond at period 1 will get it for $1068.96 based upon the price we found above but will receive 1063 at maturity. This translates into a negative periodic yield of -0,558%. Is this right? Could this happen with IFRNs or is there a mistake with my approach?

I am sorry for the mess above but I would really appreciate if anyone can help me with this.

Thank you