YIELD TO MATURITY CALCULATION: the calculation of the Yield to Maturity uses the formula of the Internal Rate of Return (IRR).
The Yield to Maturity is the discount rate that equals the sum of all the discounted cash flows with the purchase price.
The price used for the calculations is the end-of-day reference price.
For floating rate securities, the future cash flows not yet determined (coupon rates and any index-linked redemption price) are estimated daily, assuming that the last values of the indexing parameters involved are constant over time.
The yield to maturity are not calculated for bonds with less than 30 days remaining maturity.
GROSS YIELD TO MATURITY: to calculate the GROSS yield to maturity, all gross future cash flows of coupons and redemptions are discounted.
NET YIELD TO MATURITY: to calculate the NET yield to maturity, all net future cash flows of coupons and redemptions are discounted. Net yield to maturity do not take into account any capital gain tax or capital loss tax credit.
GROSS ACCRUED INTEREST: the amount of GROSS interest accrued by the current coupon at the settlement date.
NET ACCRUED INTEREST: the amount of NET interest accrued by the current coupon at the settlement date.
MODIFIED DURATION: it is a price sensitivity indicator that measures the risk of the bond.
The modified duration is the change of the tel quel bond price in case of 1% change of its Yield to Maturity.
For a mixed rate bond (for example from fixed rate to floating rate bond) the modified duration is calculated taking into account the period from the settlement date to the transformation date.For a floating rate bond, modified duration takes into account only the maturity duration of the coupon in progress at the settlement date.