Issue when trading US futures bonds: what is the real yield?

Discussion in 'Financial Futures' started by laurentc, Oct 4, 2006.

  1. laurentc


    i there.

    I would like to try some trades on future bonds, and I am interested in trading the bond futures (much more liquid than the bond securities).

    Currently, the 2-years rates are above 10 years rates.

    Moreover, we can find on several websites the current yields (YTM, Yield To Maturity) of these bonds, for instance on yahoo:

    2years: about 4.59%
    5years: about 4.48%
    10years: about 4.56%
    30years: about 4.71%

    However, what is not clear is the real yield of the bond securities. That should be the same (cf Cheapest To Deliver bonds, and so on, which would not be different from the future price because of arbitrations), but I cannot understand how Yahoo can calculate the security bond yields and get these prices at LEFT:

    2Y : around 4.36%
    5Y : around 4.36%
    10Y : around 4.45%
    30Y : around 4.65%

    Does someone know what is the difference?
    I cannot manage to get their yields when using MS Excel...

    Does Yahoo broadcast some false Yields in the last array?

  2. Did you ask to the Yahoo tech support for an explanation/origins of their calculations or database on yields?
  3. laurentc


    I did not ask Yahoo tech support for an explanation of this difference.

    I eventually was able to find the same "yield" as Yahoo when I used the last "price" of the bond securities.

    However, there remains a difference between the Yield of the CTD bond securities and the Yield implied by the 2, 3, 5, 10 and 30-years Notes/Bonds Futures.