Yield to Convention as a Market-Specific Bond Yield

Summary

Yield to Convention is a Bloomberg field for a bond’s quoted yield under the convention used for that security or market. The label is a catch-all rather than a single universal calculation, so its meaning depends on the relevant market practice.

For a bond quoted on a yield-to-worst basis, the field may represent the lowest yield an investor could receive among applicable redemption outcomes, such as yield to call. In another setting it may correspond to yield to maturity. The document offers no detailed calculation procedure or instrument-specific example, so users should identify the applicable convention before interpreting or comparing the field with a gross redemption yield or another yield measure.

Key ideas

• Yield to Convention refers to a yield reported according to the applicable market practice.
• The field does not identify one universal yield calculation.
• Under a yield-to-worst convention, it may reflect the lowest yield among redemption outcomes.
• The applicable convention must be checked before comparing quoted yields.

Tags

# What is Yield To Convention?


# What is Yield To Convention?












I know what gross redemption yield of a bond is. I am unaware of "Yield To Convention". It is a Bloomberg ticker code (multiple in fact) YLD_CNV_MID, YLD_CNV_ASK & YLD_CNV_BID

The term "Last Yield to Convention" can be seen in this screenshot below.

## Answer by Kch (score 1)

https://quant.stackexchange.com/a/46577

If the market convention is yield to worst, then it would be the lowest yield an investor could receive (e.g. yield to call). Could mean yield to maturity, but the point is that it's different based on the market practice for that specific asset. It's basically a catch-all field for quoted yields on Bloomberg

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