Bond Yields - where are they?

nuj

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GIGB10: Ireland 10 Year Summary - Bloomberg

This link gives 20 minute delayed 10-year Irish bond yields. The graph underneath the quote can be reset to 1 day; otherwise it doesn't incorporate today's data. For those who wish to check its progress against German 10-year yields, insert "GDBR10:IND" in the box on the graph.

(I happened to look at Brian Lucey's Twitter feed earlier today. He claimed that Irish bond yields had broken 8% today, and said he was getting his information from Reuters, in real time. Well, weak as the market was/is, and for all the difference it makes, they didn't touch, let alone break, 8%. Had Lucey bothered to talk to any market people he'd know that the Bloomberg numbers are far more accurate - Reuters take their prices from a system called Tradeweb, which has been losing business hand over fist to Bloomberg, and liquidity on that platform has fallen sharply. The yields quoted by Reuters are, on both bid and offer, far wider than the actual market).
 


Iarmuid

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GIGB10: Ireland 10 Year Summary - Bloomberg


(I happened to look at Brian Lucey's Twitter feed earlier today. He claimed that Irish bond yields had broken 8% today, and said he was getting his information from Reuters, in real time. Well, weak as the market was/is, and for all the difference it makes, they didn't touch, let alone break, 8%. Had Lucey bothered to talk to any market people he'd know that the Bloomberg numbers are far more accurate -
Irish Government Debt Slides on Deficit Woes; Greek Bonds Rally After Poll

By Keith Jenkins - Nov 8, 2010 8:25 AM MT

Irish bonds tumbled for a 10th consecutive day and the extra yield investors demand to hold the debt instead of benchmark German bunds reached a record on concern the nation is struggling to redress its budget deficit.

German 10-year bunds rose as stocks fell, driving investors to the euro region’s safest assets as European Union Economic and Monetary Affairs Commissioner Olli Rehn discusses spending cuts and tax increases with officials in Dublin. Greek bonds rallied after Prime Minister George Papandreou ruled out calling a snap election after a first-round victory in local polls. Portuguese bonds weakened, pushing the yield difference over bunds to a record high, before the nation sells debt this week...

...The yield on the Irish 10-year security climbed 21 basis points to 8.04 percent at 4:32 p.m. in London. The difference in yield, or spread, between the debt and bunds widened to a record 550 basis points, or 5.5 percentage points, Bloomberg generic data shows. The 5 percent bond maturing October 2020 slid 1.21, or 12.1 euros per 1,000-euro ($1,391) face amount, to 79.74. ...
Irish Government Debt Slides on Deficit Woes; Greek Bonds Rally After Poll - Bloomberg
 
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NUJ, we both seem to be on the same wavelength, I've another thread started minutes ago (didn't see yours, honest) asking about primary sources and Bloomberg.
 

nuj

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Irish Government Debt Slides on Deficit Woes; Greek Bonds Rally After Poll



Irish Government Debt Slides on Deficit Woes; Greek Bonds Rally After Poll - Bloomberg
Saw that story alright. Strange, but Bloomberg's own data, nor that of the Irsh Stock Exchange, don't back it up. The highest Irish yields got yesterday was about 7.96%. Attached links show both turnover Irish Stock Exchange and closing prices Irish Stock Exchange for irish bonds. The so-called benchmark 10 year bond is the 5% Treasury 2020, which closed near the low of the day at €80.23, a yield of 7.95%.

As I post, I'm just hearing that the Irish 10 year has dealt above 8% for the first time this time round, at a yield of 8.01% (price of 79.90).
 
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gerry87

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Ok, so reported prices seem to be varying. As I type, Bloomberg lists the yield at 7.938 for the Irish 10 year bond. It doesn't say which one though.

There are two 10 year bonds outstanding - one maturing in April 2020 and one Maturing in November 2020, both with slightly different yields at the moment. I could be wrong but I think the April one is the benchmark, but quotes for the November one seem to be flying around.

Check
from Reuters of two mentioned bonds. The top one in the picture is the November one and the bottom one is the April one. You can see the reuters yield in the yellow box on the left, Bid price in the left column, ask price in the right.

November:
Bid Price = 8.192
Ask Price = 7.676
Mid Price = (8.192 + 7.676)/2 =7.934 [Same as Boomberg]

April
Bid Price = 7.923
Ask Price = 7.886
Mid Price = (7.923 + 7.886)/2 = 7.909

From this my guess is that bloomberg is quoting mid-market for the November bond.

You can the graphs for today for both, this is the graph for the BID price, you can see the November bond has been above 8 all day and this was above 8 yesterday too. That's the over 8% quote that's going around. As far as I've seen the April bond hasn't jumped over 8% yet, bid or otherwise.

Hopefully that clears things up.
 

gerry87

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November one is 5% coupon and April one is 4.5% coupon. Looking around now I think nuj is right that the November 5% is the benchmark.
 

sport02

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I have yet to see Bloomberg T.V put our rates up on the screen, but for the second consecutive day in a row, CNBC T.V have 10 YR Irish bonds trading over 8%
 

gerry87

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Sorry for another post, I'm too newb to edit. Everywhere I said November, its October...
 

danger here

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Thanks for the post and explaination gerry87
 

adrem

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The data is (in summary form) available on the ISE website - link below. Note the volume - our bond market is very illiquid so a very small volume can significantly move the yield.

Irish Stock Exchange

The following is a link to all the irish bonds showing their turnover

Irish Stock Exchange

You can then use that to drill down to specific data on each bond
 

gerry87

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That's brilliant, thanks. This is all secondary market trading, right ? Whereas the coupon is the original yield when the NTMA sold the bonds on the Primary market ??
Not quite, the coupon is the % of the face value of the note that's paid at annually.

These bonds are issued in an auction, so the government says "We're issuing this €100m, 10 year bond with a 5% coupon." Meaning it pays €5m each year (may actually be €2.5m twice a year, not sure), for 10 years, and at the end of 10 years you receive the full €100m.

Now people bid how much they want to pay for this security, the price it's actually sold for determines the yield. Without exact figures, if the bond was sold for €20m then it would have a huge yield, if it was sold for €99m it would have a small yield.

People bid a price based on the yield they expect it to pay.

So taking today's yield, the government could issued a €100m, 10 year bond with 5% coupon, but when its sold in the market it gets less a very low price for it.

If you're interested, here's a great post explaining the process by Karl Whelan on Irisheconomy.ie
 

Dreaded_Estate

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Saw that story alright. Strange, but Bloomberg's own data, nor that of the Irsh Stock Exchange, don't back it up. The highest Irish yields got yesterday was about 7.96%. Attached links show both turnover Irish Stock Exchange and closing prices Irish Stock Exchange for irish bonds. The so-called benchmark 10 year bond is the 5% Treasury 2020, which closed near the low of the day at €80.23, a yield of 7.95%.

As I post, I'm just hearing that the Irish 10 year has dealt above 8% for the first time this time round, at a yield of 8.01% (price of 79.90).
Cheers for that nuj

What level do you think would be sustainable for us to get back into the market in the new year?
 

nuj

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Cheers for that nuj

What level do you think would be sustainable for us to get back into the market in the new year?
Ask me a hard one, why don't you!

Without being too precise, I think the state could actually afford to borrow initially at rates of around 6%+, provided this did not turn out to be the average cost of borrowing for the entire €25bn or so needed in 2011. With an upward sloping yield curve, and 10 year where it is, you're probably looking at a 3 to 5 year bond to have any chance of achieving that yield in the current climate. The very success of initial issuance could turn sentiment more positive, and enable further issuance at lower yields through the year. It'll be some tightrope though.
 

hmmm

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I think the state could actually afford to borrow initially at rates of around 6%+, provided this did not turn out to be the average cost of borrowing for the entire €25bn or so needed in 2011. With an upward sloping yield curve, and 10 year where it is, you're probably looking at a 3 to 5 year bond to have any chance of achieving that yield in the current climate.
Finally, finally, someone with a clue. You'll be drowned out shortly by the shinners and cranks telling you you know nothing about the bond markets.
 

Dreaded_Estate

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Ask me a hard one, why don't you!

Without being too precise, I think the state could actually afford to borrow initially at rates of around 6%+, provided this did not turn out to be the average cost of borrowing for the entire €25bn or so needed in 2011. With an upward sloping yield curve, and 10 year where it is, you're probably looking at a 3 to 5 year bond to have any chance of achieving that yield in the current climate. The very success of initial issuance could turn sentiment more positive, and enable further issuance at lower yields through the year. It'll be some tightrope though.

Hmm..

That could work but it isn't going to be easy. You are taking about only 3 years and less being under the 6% and the 4 year is heading towards 7%.

Not sure what news flow is going to improve that before we go back to the market. Most of the numbers are already out that and regardless of whether the budget passes in December. The market must know they will get a broadly similar budget before we return to them, regardless of who is in power.

What is going to turn up that is going to make the market change their mind on us?
 

nuj

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If I find out I'll tell you from my yacht off the Maldives. If I don't, see you on the ferry to Holyhead instead.
 

Dreaded_Estate

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Maybe they could try index linked to get a lower initial yield, risky but might bring in a new pool of investors as well.
 

nuj

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At the risk of getting Prof Lucey's solicitors all excited about a profitable Christmas, could I use this thread to help him justify his annual payment to Reuters for his (€10k+ costing) data feed?

Having spoken to some market participants - no more than the Sunday Trib they wish to remain anonymous - it appears that BL is relying on either a cheap version of the data feed, or else doesn't understand the depth of data he's paying for.

My sources tell me that, should he use the 0#IE00B4TV0D44=RR link on Reuters (for which he is possibly paying) he will get a far more accurate feed on yield levels. These yields may be higher or lower than those on the cheap feed, but at least they're accurate.

Personally, if I were paying my own money for a data-feed, and then staking my rep on it, I'd make sure I was extracting maximum accuracy from it.
Were I paying someone else's money, I probably would care less but, hey, that's just me.
 


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