Greek govt bonds

April 28, 2010

The price action on Greek government bonds over the last couple of days has been staggering. I’ve been watching the short end 2yr GGBs. Yesterday the yield went out from 14% in the morning, through 15% to 16% in the afternoon. This morning the yield hit 20% on the 2012 GGBs. At the time of writing it’s calmed down to 17%. This compares to yields of 0.8 to 2% for benchmark EGBs, depending on coupon.

For those not familiar with fixed income pricing, yields are inversely proportional to prices. Rising yields means falling prices. Prices are quotes as percentage of par. For benchmark German, French, Belgian or Dutch EGBs short end prices are ~99 to 105% of par. Bear in mind the coupons !  Those high GGB yields mean investors and speculators are only prepared to pay ~67% or 77% of par. Which reflects the market’s view of the default risk.

The flows are intriguing too, but I won’t comment here ;)

O’Kane on Asset Swaps

April 27, 2010

This is a good read for those interested in understanding the asset swap structure, and why asset swap margins are an integral part of bond quotes on Bloomberg and any single dealer channel.

Bloomberg Open Symbology

April 12, 2010

I’ve posted in the past about the irrationality of the naming scheme for Bloomberg ticker symbols. Well, Bloomberg have taken a step in the right direction and launched a site that allows developers to look up ticker symbols. If you’re looking for Rates products you’ll find US Treasuries under the Government top level heading. No EGBs or Gilts yet. And you’ll find IRSs under Currencies, which seems odd to me as a rates person.