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Search results for 'yield'

January 5, 2016

As yields fall the value of a non-callable bond is greater or less than a callable bond?

GREATER The value of a non-callable bond increases by more than the callable bond because the value of the call goes up. Callable Bond = Non-callable bond – call value

January 4, 2016

Market Dividend Yield (D/P) & Justified Do/Po

trailing D/P = 4 * most recent quarterly DIV / market price per share leading D/P = next 4 quarters forces DIVs / market price per share D0/Po = (r – g) / (1 + g)

July 19, 2012

Yield Curve Risk

Bonds with different maturity dates are more or less sensitive to changes in the market interest rate depending on the time until they mature. Bonds most at risk are long term with a low coupon.

July 19, 2012

Discount Yield & Price Formula for T-Bills

Discount Yield = [(Face Value – Price) / Face Value][360/Days] Days to maturity in a 360 day year is convention. BEY is more accurate. Can possibly be simplified further to: (1-P)(360/NSM) = Discount Yield

July 19, 2012

Yield Ratio

Yield Ratio = Yield on bond X / Yield on bond Y In the U.S. the yield on bond Y is frequently the on-the-run U.S. Treasury Bond.

July 19, 2012

Yield to Maturity definition

Is simply the IRR of all future cash flows from the bond.

July 19, 2012

Yield on Treasury Bills on a discount basis

d = (1 – P)(360 / Nsm) P = settlement price per $1 of maturity value Nsm = number of days between settlement date and the maturity date d = yield on a discount basis

July 19, 2012

Bond Equivalent Yield of an Annual Pay Bond

BEY = 2[(1 + annual pay yield)^.5 – 1]

July 19, 2012

After tax yield calculation

after-tax yield = pre-tax yield * (1 – marginal tax rate)

July 19, 2012

Current Yield of a bond (simplest formula)

current yield = annual dollar coupon interest / price annual dollar coupon interest is the interest times the par value (usually 100)

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