From the course: Applied Fixed Income

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Secondary trading IBRD bond

Secondary trading IBRD bond

From the course: Applied Fixed Income

Secondary trading IBRD bond

- [Instructor] Speaking of secondary performance, in the past three months or so, since the deal priced, this bond has performed well in the secondary market. If we use the bid side of the market currently, we see that the price has gone up to par spot 811 from the original 99 spot 613. So the bond has gone up 1.2 cash points in the past three months. However, as you know by now, any gain in the bond could be due to the underlying yield change. So here we've used the YAS, the yield-analysis-by-spread function on Bloomberg to figure out exactly how this bond has performed in the secondary market. Using the bid price of par spot 811, it comes out to be a T spread, a spread over the same tenor benchmark US Treasury of now only 15 1/2 basis points, which means that this deal has tightened 21 basis points since pricing at a T spread of 36 1/2 basis points. Looking at the deal over swaps, the bond is now 13.4 basis points over the same five-year swap rate. You'll remember that the deal…

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