Valuation models

Preferred shares

Fixed or floating dividends on par, perpetual or to a maturity, valued to the worse of maturity and the issuer's call, with the credit spread solved from a price, current yield and CS01.

Inputs

Results

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Methodology

Conventions

  • Dividends on par, fixed or the curve's forward rate plus a spread, discounted on the curve plus a credit spread.
  • A perpetual is valued over 100 years; a callable one at the lower of the value to maturity and to the call.

References

  • Fabozzi, The Handbook of Fixed Income Securities

Formulas

Value
V = Σ Dᵢ P(tᵢ) e^(−s tᵢ) + R P(T) e^(−s T)
Worst
V = min(V_maturity, V_call)