Current yield

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In banking, the current yield (also secondary market yield ) is the weighted average yield of selected public bonds in circulation on the capital market and other fixed-income securities from domestic issuers with first credit ratings.

detection

The current yields are determined daily by the Deutsche Bundesbank ("current yields"). She shares the statistics in " Public debt ", bank bonds and corporate bonds one. The calculation of the current yield includes, without exception, bonds with an agreed term in accordance with bond conditions of over four years with a remaining term of at least three years, weighted with the amounts in circulation valued at market prices . Only bonds denominated in euros are taken into account. The basis is the Bundesbank reference prices or Xetra prices, which are published daily.

use

The current yield reflects the interest rate level on the capital market and is used as the reference interest rate . It is just as important for the bond market in Germany as the DAX is for the stock market . Since these are government bonds and similar public bonds ( municipal bonds ) with an impeccable credit rating , there is a risk-free interest rate that is used as a benchmark for the credit spread or Sharpe quotient and is used to determine the excess return .

Of particular importance was the current yield for the determination of the maximum discount rate , the interest rate for accounting , actuarial reserves by the regulation on accounting principles for the benefit reserves (DeckRV) of life insurers. According to Section 3 DeckRV, the relevant discount rate could not exceed 85% of the last monthly value of the current yield on government bonds with a remaining term corresponding to the insurance period. The DeckRV, which has been in force since July 2016, no longer provides for this referencing. In § 2 DeckRV, it sets the maximum interest rate for certain insurance contracts at 1.25%.

Historical development

In Germany, the current yield fell from its high of 11.2% in August 1981 to November 2014 to 0.6%. Between November 1964 and November 2014, the average return was 6.1%. Since June 2016, the aggregate of “public sector bonds” has shown a negative return for the first time , since July 2016 also mortgage Pfandbriefe , since August 2016 public Pfandbriefe have also been below the 0% mark.

Issue yield

In contrast to the current yield is the issue yield . It is calculated from new issues of bonds by comparing the nominal interest rate with the market price of the first day of stock exchange trading . While the issue yield is the reference interest rate on the primary market , the current yield on the secondary market is decisive.

Web links

Wiktionary: current yield  - explanations of meanings, word origins, synonyms, translations

Individual evidence

  1. ↑ Eckhard Sauren, Die Zinsfalle , 2015, p. 23 f.
  2. ↑ Deutsche Bundesbank: Capital market statistics from August 3, 2016 , daily current yields on fixed-income securities of domestic issuers by type of security.