Why Callable Perpetuals Often Use the First Call Date for Yield

Summary

The document raises a fixed income question about callable perpetual bonds. It observes that Bloomberg’s calculated yield uses the first call date as the workout date, and that for a fixed price this date appears to produce the lowest yield among the compared call dates. It asks for an explanation and intuition behind the convention.

No answer or valuation method is provided, so the document does not establish why the first call date is selected or whether the observation generalizes. The topic concerns how yield-to-call dates affect reported yields for callable bonds, but readers would need additional analysis to distinguish a market convention from a result of the bond’s cash flows and pricing assumptions.

Key ideas

• The document asks why callable perpetual bond yields are calculated to the first call date.
• It reports that the first call date gave the smallest yield for a fixed price in the examples compared.
• It provides no explanation or evidence beyond the author’s observation.

Tags

# perpetual call time


# perpetual call time












I was checking a few callable perpetuals on Bloomberg and using their Yield calculated it is always shows Workout date to be the first call date for those bonds. I wonder why this is the case and if there an intuition behind it. I compared a few call dates and indeed for a fixed price the first call date seem to have the smallest yield but is there an explanation?

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