Bond Yield to Worst & Call Calculator
Enter the price, coupon, maturity, and call schedule for a callable bond. The calculator solves yield to maturity and every modeled call date, then reports the lowest yield.
Yield to worst3.96%
- Worst-case redemption
- Call in 3 years at 102% of face ($1,020.00)
- Yield to maturity
- 5.04%
- Yield to first call
- 3.96%
- Current yield
- 5.58%
- Worst-case redemption gain or loss
- -$55.00
Call-schedule yield table
| Scenario | Years remaining | Redemption price | Solved annual yield |
|---|---|---|---|
| First call | 3 years | $1,020.00 | 3.96% |
| Call anniversary 2 | 4 years | $1,010.00 | 4.18% |
| Call anniversary 3 | 5 years | $1,000.00 | 4.32% |
| Call anniversary 4 | 6 years | $1,000.00 | 4.56% |
| Call anniversary 5 | 7 years | $1,000.00 | 4.73% |
| Call anniversary 6 | 8 years | $1,000.00 | 4.86% |
| Call anniversary 7 | 9 years | $1,000.00 | 4.96% |
| Maturity | 10 years | $1,000.00 | 5.04% |
Assumes settlement on a coupon date, level coupon payments, and redemption exactly on a coupon payment date.
How to use this calculator
- Enter the face value and current clean price on the same dollar basis.
- Enter the stated coupon rate and coupon frequency from the bond terms.
- Enter the years to maturity and the first call date, making sure each date lands on a coupon payment date.
- Enter the first call price, annual call-price step-down, and minimum call price.
- Compare the yield to worst with the maturity yield, first-call yield, current yield, and full call-schedule table.
How yield to worst is calculated
Yield to worst is the lowest solved annual yield among the bond's maturity cash flow and each earlier modeled call date. For a callable bond, the maturity date is not always the limiting case. A premium bond can have a lower return if the issuer redeems it early at a call price that does not fully offset the premium paid.
The calculator treats the entered price as a clean price on the same dollar basis as the face value. Let F be face value, P be market price, c be the annual coupon rate as a decimal, m be coupon payments per year, and C = F * c / m be each coupon payment. For a redemption in N coupon periods at amount R, the yield y solves:
P = sum(C / (1 + y / m)^k) + R / (1 + y / m)^N
The sum runs from k = 1 through N. The tool solves that equation by bisection over yields above negative 100% per coupon period. It does this once for maturity, where R = F, and once for each annual call anniversary before maturity.
How the call schedule is modeled
The first call price is entered as a percent of face value. Each later annual call anniversary reduces that call price by the entered number of percentage points, but never below the minimum call price. If the first call date is on or after maturity, there is no earlier call scenario and the tool reports yield to maturity as the only redemption yield.
Call dates must line up with coupon periods. For example, a semiannual bond can be modeled at 3.5 years because that is seven coupon periods, but an annual-pay bond cannot be modeled at 3.5 years. This keeps the cash-flow equation consistent with the simplified settlement assumption.
What moves the result most
The price premium or discount, the first call price, and the time to first call usually drive yield to worst. A high coupon may make current yield look attractive, while a premium price and near call date can pull yield to call much lower. Declining call prices matter because the issuer may be able to redeem later at a lower premium, so every anniversary needs to be checked rather than comparing only maturity with the first call.
What this calculator leaves out
The model assumes settlement on a coupon date and does not add accrued interest. It does not apply day-count conventions, odd first or last coupon periods, taxes, commissions, credit losses, reinvestment assumptions, or make-whole and extraordinary redemption terms. Broker and official statement figures can differ because they use exact dates and the bond's full legal call provisions.
Worked example
Suppose a bond has a $1,000 face value, trades at $1,075, pays a 6% annual coupon semiannually, matures in 10 years, and can first be called in 3 years at 102% of face value. If the call price steps down by 1 percentage point per year to a 100% floor, the first-call redemption amount is $1,020.
The calculator solves a 3.96% yield to first call and a 5.04% yield to maturity. Later annual call dates solve to about 4.18%, 4.32%, 4.56%, 4.73%, 4.86%, and 4.96%. The lowest result is the first call, so the yield to worst is 3.96%, and the redemption gain or loss before coupons is -$55.
Common questions
What is yield to worst on a callable bond?
Yield to worst is the lowest yield produced by the allowed redemption scenarios, usually maturity and any issuer call dates. It is a cash-flow comparison, not a prediction that the issuer will choose the worst result for the investor.
How is yield to worst different from yield to maturity?
Yield to maturity assumes the bond is held until the stated maturity date. Yield to worst also checks earlier call dates and uses the lowest solved yield, which can be lower when a premium bond is callable.
Why can yield to call be lower than current yield?
Current yield only divides annual coupon dollars by the current price. Yield to call also includes the gain or loss between the purchase price and call price, so a premium bond called early may lose enough principal to reduce the annual return.
Does yield to worst mean the issuer will actually call the bond?
No. It shows the lowest contractual yield among the scenarios entered. Whether the issuer calls depends on rates, refinancing economics, bond covenants, and the issuer's circumstances.
Should I enter a clean price or a dirty price?
Enter the quoted clean price converted to the same dollar basis as the face value. This calculator assumes settlement on a coupon date and does not add accrued interest, so using a dirty price will generally understate the solved yield.
Can a bond have a negative yield to worst?
Yes. If the price is high enough relative to the remaining coupons and redemption amount, the discount rate that equates price with cash flows can be negative. The solver allows negative yields as long as the rate stays above negative 100% per coupon period.