Yield to worst %

Yield to Worst (YTW) is the lowest annualized rate of return an investor can expect when purchasing a bond at its current market price, assuming it is held until the earliest redemption event that results in the lowest yield.

• YTW is calculated as the minimum among:
• Yield to Maturity (YTM),
• all possible Yields to Call (YTC), and
• Yield to Put (YTP, based on the nearest put date).

Importantly, events after the nearest put offer are not taken into account, since the bondholder has the right to exercise the put option and exit the position earlier.

The formula is:

Yield to worst = Minimum ( YTM , all YTC values , YTP for the nearest put date )

This means Yield to worst is the smallest value among:

• YTM – yield to maturity (annualized return if held until maturity).
• YTC – yield to call (return if the bond is called by the issuer on one of the call dates).
• YTP – yield to put (return if the bondholder exercises the nearest put option).

YTW provides investors with a conservative benchmark of potential return, as it assumes the least favorable scenario for the investor. By excluding events beyond the nearest put date, the calculation reflects the earliest point at which the investor can realistically exit the bond.