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

No programming experience? With the Finance Toolkit MCP server, AI assistants such as Claude and ChatGPT can calculate the Yield to Worst for you. Just ask in plain English.

Calculate the Yield to Worst in Python

The Yield to Worst is available in 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.

The Fixed Income module page introduces the module, and the sidebar lists all of its functions.

Calculate the Yield to Worst in Python

Parameters

Related Corporate Bonds