Bond Columns

The equivalent number of 10-year US Treasury bonds that would hedge one of the given bonds. It is the DVO1 of the given bond divided by the DV01 of the 10-year US Treasury bond.

The yield-to-worst. This is the lower of yield to maturity and yields to all calls. The yield is only shown if it is offered on the exchange.

Shows the actual text name of the bond for easier identification.

Duration is a reasonably good estimate of bond price movements upon small interest rate moves. However, it assumes that bond price moves linearly with interest rates, which is not true especially for larger rate moves. Convexity corrects duration for this non-linearity as follows:

= ½ x Convexity x (Rate Move in decimals ^ 2) * 100

In Example 1, if the convexity is 8, the correction to duration would be:

= ½ x 8 x (0.0050 ^ 2) * 100 = 0.01%

Hence, the bond price would be expected to increase by:

= 2.5% + 0.01% = 2.51%

or:

= 2.51% x 105 = 2.6355

The yield of the bond if it is purchased at the current offer.

Duration is a measure of bond price sensitivity to interest rate movements. It is defined as the percentage decrease (or increase) in the bond price in response to a 100 basis point upward (or downward) move in interest rates.

Example 1: When the interest rates in the market fall by 50 basis points, a bond trading at 105 with a duration of 5 would be expected to appreciate by roughly: 5 x 50 / 100 = 2.5%. Note that for ordinary bonds, the price moves opposite to the interest rate. If the rates had increased by 50 basis points, the bond price would have declined by 2.5%.

The yield-to-worst. This is the lower of yield to maturity and yields to all calls. The yield is only shown if it is offered on the exchange.

The bond payment frequency.