Yield to Worst
This data represents the semi-annual yield to worst of the ICE BofA Indices, When the last calendar day of the month takes place on the weekend, weekend observations will occur as a result of month ending accrued interest adjustments.
Yield to worst is the lowest potential yield that a bond can generate without the issuer defaulting. The standard US convention for this series is to use semi-annual coupon payments, whereas the standard in the foreign markets is to use coupon payments with frequencies of annual, semi-annual, quarterly, and monthly.
See definitions:
- Ratings: https://fred.stlouisfed.org/series/BAMLC0A4CBBBSYTW
- Maturity: https://fred.stlouisfed.org/series/BAMLC1A0C13YSYTW
Yield to Worst in Python
get_ice_bofa_yield_to_worst is part of the Fixed Income module of the open-source Finance Toolkit. Install it with:
pip install financetoolkit -U
Then call get_ice_bofa_yield_to_worst as shown below.
from financetoolkit import FixedIncome
fixedincome = FixedIncome(
start_date='2024-01-01',
end_date='2024-01-15',
)
fixedincome.get_ice_bofa_yield_to_worst(maturity=False)
Which returns:
| Date | AAA | AA | A | BBB | BB | B | CCC |
|---|---|---|---|---|---|---|---|
| 2024-01-01 | 0.0456 | 0.0472 | 0.0503 | 0.0542 | 0.0645 | 0.0786 | 0.1316 |
| 2024-01-02 | 0.046 | 0.0475 | 0.0506 | 0.0546 | 0.0652 | 0.0796 | 0.1329 |
| 2024-01-03 | 0.0461 | 0.0475 | 0.0507 | 0.0547 | 0.0662 | 0.081 | 0.1353 |
| 2024-01-04 | 0.0468 | 0.0483 | 0.0515 | 0.0554 | 0.0665 | 0.0814 | 0.136 |
| 2024-01-05 | 0.0471 | 0.0486 | 0.0518 | 0.0557 | 0.0667 | 0.0816 | 0.1362 |
| 2024-01-08 | 0.0466 | 0.0482 | 0.0514 | 0.0553 | 0.066 | 0.0806 | 0.1359 |
| 2024-01-09 | 0.0465 | 0.0481 | 0.0513 | 0.0551 | 0.0656 | 0.0803 | 0.1353 |
| 2024-01-10 | 0.0465 | 0.0481 | 0.0512 | 0.0551 | 0.065 | 0.0795 | 0.1345 |
| 2024-01-11 | 0.0458 | 0.0473 | 0.0504 | 0.0543 | 0.0648 | 0.0793 | 0.134 |
| 2024-01-12 | 0.0453 | 0.0468 | 0.0499 | 0.0537 | 0.0642 | 0.0786 | 0.1335 |
| 2024-01-15 | 0.0452 | 0.0468 | 0.0498 | 0.0537 | 0.064 | 0.0784 | 0.1325 |
Parameters
get_ice_bofa_yield_to_worst accepts the following parameters:
- maturity (bool, optional): Whether to return the maturity yield to worst or the rating yield to worst.
- rounding (int | None, optional): The number of decimals to round the results to. Defaults to None.
- standardize (bool, optional): Whether to standardize (Z-Score) the result. Defaults to False.