I know what gross redemption yield of a bond is. I am unaware of "Yield To Convention". It is a Bloomberg ticker code (multiple in fact) YLD_CNV_MID, YLD_CNV_ASK & YLD_CNV_BID
The term "Last Yield to Convention" can be seen in this screenshot below.
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$\begingroup$ From an investors chat room; "I understand yield to convention as catch all for "lower of yield to maturity or, if there is an issuer option to call, yield to worst" Can anyone confirm? $\endgroup$– S MeadenJul 10, 2019 at 10:32
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$\begingroup$ In most cases yield to convention is the same as yield to worst, i.e. the worst of all yields for a callable bond (calculated to each call date) or YTM for a bullet bond. $\endgroup$– oronimbusJul 13, 2019 at 11:08
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If the market convention is yield to worst, then it would be the lowest yield an investor could receive (e.g. yield to call). Could mean yield to maturity, but the point is that it's different based on the market practice for that specific asset. It's basically a catch-all field for quoted yields on Bloomberg
