Bond Equivalent Yield Calculator


Calculations for the bond equivalent yield on Banker's Acceptances, Commercial Paper, Treasury Bills and secondary Federal Agency Discount Notes.

To calculate the bond equivalent yield when given the discount rate with less than 183 days to maturity, enter data into the blue fields below:

Discount Rate (in decimal):
Days to Maturity (from settlement):
Bond Equivalent Yield:

Please click reset before each calculation.


Calculations for the bond equivalent yield on domestic CD's, Euro CD's, Japansese CD's and Repurchase Agreements.

To calculate the bond equivalent yield when given the money market yield, enter data into the blue field below:

Money Market Yield (in decimal):
Bond Equivalent Yield:

Please click reset before each calculation.

The information on this page, although taken from sources believed to be reliable, does not constitute investment advice and is not guaranteed by Blue Chip Pick as to its accuracy or completeness, nor any trading result, and is intended for purposes of information and education only.

To Top
Federal Funds Pit
Federal Funds Pit
History of Federal Funds Rate changes
LIBOR - OIS (November 11, 2008)
LIBOR is down to 2.18% a 4-year low. It reached a high of 4.81% on 10/10/08 when equities found new 52 week lows. It was about 2.81% the day Lehman filed for bankruptcy on 9/15/08. LIBOR-OIS spread may be a worry. It has fallen to 168 basis points, which compares to 87 basis points on the last trading day before Lehman declared bankruptcy, but has averaged 11 basis points in the five years before the recent financial crisis. In the last five years before January we had just completed a 4 1/2 year bull market (03-07). Alan Greenspan stated recently that the LIBOR-OIS spread should serve as a measure for determining when markets have returned to normal. 168 basis points does not seem normal to me.
FED FUNDS FUTURES (November 8, 2008)
Based upon the 30-Day Federal Funds futures contract for the December 2008 expiration is yielding an implied rate of .47% and currently pricing in a 100% chance that the FOMC will decrease the target rate by 50 basis points to .50% on 12/16/2008. The gap change between Long Term Treasury yields and the Fed Fund Rate can indicate growth direction. The gap increasing between the two rates may indicate slower growth may be near.
FED FUNDS FUTURES (October 31, 2008)
Based upon the 30-Day Federal Funds futures contract for the December 2008 expiration is yielding an implied rate of .64% and currently pricing in a 100% chance that the FOMC will decrease the target rate by 25 basis points to .75%, and a 44% chance of a 50 bps cut to .50% on 12/19/2008. The gap change between Long Term Treasury yields and the Fed Fund Rate can indicate growth direction. The gap increasing between the two rates may indicate slower growth may be near.
 

Created by
DMC Insights, Inc.

  

Copyright © 1996, 1993, 1990 by Charlie Pesiridis. All rights reserved.
Reproduction and/or redistribution of material from any BlueChipPick.com pages without written permission is strictly prohibited.
Blue Chip Pick ® is a trademark owned by Charlie Pesiridis.