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- Yankee
bonds
- Foreign bonds
denominated in US$ issued in the United States by foreign
banks and corporations. These bonds are usually registered with the S.E.C. For example, bonds issued by originators
with roots in Japan are called Samurai bonds.
Yankee CD - A CD
issued in the domestic
market, typically New York, by a branch of a foreign bank.
Yankee market - The foreign
market in the United States.
Yard - Slang for one billion currency units. Used
particularly in currency trading, e.g. for Japanese yen since on billion yen only equals
approximately US$10 million. It is clearer to say, "I'm a buyer of a yard of
yen," than to say, "I'm a buyer of a billion yen," which could be misheard
as, "I'm a buyer of a million yen."
Yield - The percentage rate of return
paid on a stock in the form of dividends, or the effective rate of interest paid on a bond or note.
Yield curb - Mainly applies to convertible securities.
Difference in current yield between the
convertible and the underlying common.
Yield curve - The graphical depiction of the relationship between
the yield on bonds
of the same credit quality but different maturities.
Related: Term structure of interest
rates. Harvey (1991) finds that the
inversions of the yield curve (short-term rates greater than long term rates) have
preceded the last five U.S. recessions. The yield curve can accurately forecast the
turning points of the business cycle.
Yield curve
option-pricing models - Models that can incorporate different volatility assumptions along the yield curve, such as the Black-Derman-Toy
model. Also called arbitrage-free
option-pricing models.
Yield curve strategies - Positioning a portfolio to capitalize on expected changes in the shape
of the Treasury yield curve.
Yield differential/pickup
- Mainly applies to convertible securities. Graph
showing the term structure of
interest rates by plotting the yield of
all bonds of the same quality with maturities ranging from the shortest
to the longest available.
Yield ratio - The quotient of two bond yields.
Yield spread strategies
- Strategies that involve positioning a portfolio
to capitalize on expected changes in yield
spreads between sectors of the bond market.
Yield to call - The percentage rate of a bond
or note, if you were to buy
and hold the security until the call date. This yield
is valid only if the security is called prior to maturity.
Generally bonds are callable over several years and
normally are called at a slight premium. The calculation
of yield to call is based on the coupon rate, length of time to the call and the market price.
Yield to maturity - The percentage rate
of return paid on a bond, note
or other fixed income security if you buy and hold it to its maturity
date. The calculation for YTM is based on the coupon
rate, length of time to maturity and market price. It assumes that coupon interest paid over the life of the bond will be reinvested at the same rate.
Yield to warrant call
- Mainly applies to convertible securities. Effective yield of usable or synthetic convertible
bonds determined against the first date at which the warrants
can be called.
Yield to warrant expiration - Mainly applies to convertible securities. Effective yield of usable converbile bonds determined by the expiration date of the applicable warrants.
Yield to worst - The bond yield computed by using the lower of either the yield to maturity or the yield to call on every possible call
date.
Glossary created by Campbell R. Harvey, Professor of Finance, Fuqua
School of Business at Duke University. |
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