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Index Linked Gilt price & yield information source

Gilts, bonds, and interest-bearing shares
drb01
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Index Linked Gilt price & yield information source

#475675

Postby drb01 » January 24th, 2022, 9:39 am

Does anyone know a good source for close of business Index-Linked Gilt prices?

- www.fixedincomeinvestor.co.uk has closed.
- The Debt Management Office say to use www.tradeweb.com, but the prices are only published next day at noon, and they are a pain to get into my spreadsheet!
- the only other place I know is the LSE, but they don't calculate yields (which is tricky for linkers).

Anyone know another source or prices, and hopefully yields?

GeoffF100
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Re: Index Linked Gilt price & yield information source

#475828

Postby GeoffF100 » January 24th, 2022, 6:52 pm

I use tradeweb. It is sad that fixedincomeinvestor has gone. Its redemption yields for IL gilts and bonds had been highly suspect for some time though.

dealtn
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Re: Index Linked Gilt price & yield information source

#475870

Postby dealtn » January 24th, 2022, 9:47 pm

drb01 wrote:Does anyone know a good source for close of business Index-Linked Gilt prices?

- http://www.fixedincomeinvestor.co.uk has closed.
- The Debt Management Office say to use http://www.tradeweb.com, but the prices are only published next day at noon, and they are a pain to get into my spreadsheet!
- the only other place I know is the LSE, but they don't calculate yields (which is tricky for linkers).

Anyone know another source or prices, and hopefully yields?


Try becoming a client of a GEMM. Most won't be interested in retail clients (it's really not their client base and they aren't set up by the regulator to deal with such). There are (or at least were when I was involved in the market) a couple of retail GEMMs, but unless you are a significant investor/trader, or high net worth individual that might be a dead end too.

Alternatively get a Bloomberg terminal, and pay the appropriate data access subscription. Or become a Tradeweb client, and pay the subscription allowing access to that data.

What's the specific requirement you have that waiting until noon the next day doesn't work for you?

drb01
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Re: Index Linked Gilt price & yield information source

#475920

Postby drb01 » January 25th, 2022, 9:26 am

All good ideas, but also expensive. I have a large spreadsheet that downloads a load of price data overnight from places such as FT, Morningstar. It also does annuity type calculations, hence I need linker yields. I could download tradeweb data at noon the next day, but then it all becomes a two stage process to get COB data which is a pain.
I find the lack of Gilt price data very strange - it's a 2 trillion market!. I guess retail just doesn't get involved in it.

dealtn
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Re: Index Linked Gilt price & yield information source

#475977

Postby dealtn » January 25th, 2022, 12:02 pm

drb01 wrote:All good ideas, but also expensive. I have a large spreadsheet that downloads a load of price data overnight from places such as FT, Morningstar. It also does annuity type calculations, hence I need linker yields. I could download tradeweb data at noon the next day, but then it all becomes a two stage process to get COB data which is a pain.
I find the lack of Gilt price data very strange - it's a 2 trillion market!. I guess retail just doesn't get involved in it.


Yes, there is very little direct Retail interest in Gilts (and especially linkers).

Like most areas though there is plenty of interest in access to things such as data, but no keenness to pay the correct price for it.

Personally I found it an odd move by the DMO to end their daily publishing of official data. It cost them almost nothing to do (the work was done by GEMMs, and published happily enough by those such as Reuters and Bloomberg). It also helped promote the market, which is part of the DMO's remit from the BOE as agent of the Treasury. Hard to see the winners in this new arrangement versus the more obvious losers.

How accurate do you need to be in your annuity type calculations that a daily 2 stage process is "a pain"? A one stage process, using day old data, whilst lacking in accuracy, gains in efficiency.

drb01
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Re: Index Linked Gilt price & yield information source

#475996

Postby drb01 » January 25th, 2022, 1:03 pm

Well I guess it doesn't matter that much, it's just that my spreadsheet has worked very well downloading COB data every day for 16 years, and it's just frustrating that now it can't get data from a £2Tn market! I realise bonds are somewhat opaque (I used to work in the bond markets). Also it takes a fair amount of Excel/VBA rewriting to automate access to tradeweb. Hence I am looking for a simpler solution. I actually have a real yield calculator which I can get out, but that has other problems.


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