Bloomberg Intraday Government Bond Data: Benchmark and Revision Issues
Summary
The document describes difficulties obtaining historical intraday bid and ask data for government bonds through Bloomberg. Its examples use one-minute bar requests for five- and ten-year benchmarks across countries, and raise two problems: a benchmark-rate ticker may not match the current underlying bond, and previously downloaded values for a historical timestamp can later change.
The author uses Bloomberg’s benchmark history file to check when country benchmarks changed and to identify a Polish bond that should correspond to a generic five-year ticker, yet reports different prices. A Russian example shows a historical minute price changing between downloads. These examples highlight the need to distinguish generic benchmark series from individual bond securities and to check how intraday data are revised or reconstructed. The document poses these questions but supplies no verified explanation, resolution, or alternative data source; its value is in identifying data-quality and instrument-mapping issues that researchers should investigate before relying on the series.
Key ideas
- Generic government benchmark tickers may not match the prices of individual bonds associated with those benchmarks.
- Benchmark changes and security mapping can complicate historical comparisons across countries.
- Intraday observations may differ across downloads even for the same stated timestamp.
- The document raises data lineage and revision questions but does not establish their causes or recommend a replacement source.
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Full text
# Bloomberg, historical intraday government bond data # Bloomberg, historical intraday government bond data I would like to get 10Y and 5Y intraday historical government bond prices (best bid and ask) for different countries. I thought that I have found a solution on Bloomberg, but there are some issues. I am using the following formula (here Sweden, 10Y is used as an example): bid price =BDH(“GTSEK10Y Govt”;”Open”; “01-01-2005”;”04-05-2022”; “BarTp=B”; “BarSz=1”) ask price =BDH(“GTSEK10Y Govt”;”Open”; “01-01-2005”;”04-05-2022”; “BarTp=A”; “BarSz=1”) So, this gives me intraday data (for every minute) for a few months (regardless of the starting date that I use). Problem 1: If I do this today for different countries for 5Y, then I get the data all the way back to October 2021. But for Poland I only get data from April 2022 when using "CTPLN5Y Govt". This can happen if the country changed the 5Y benchmark bond. So, I download the Excel file from DOCS VILLIAN GO 41 where I can see when a country changed their 5Y bond. The sheet tells me that Poland did not change the bond recently, and that the current 5Y bond has the ticker AR022483 Corp. That is, "AR022483 Corp" and "CTPLN5Y Govt" should give me the same prices, but the prices are different. So, what is wrong here? Problem 2: I have an Excel sheet which downloads the data for different countries with the same BDH formulas that I have provided above. I have experienced a few times that the numbers for a fixed point in time can change simply if I update the file in the future. Here is an example. Last year on April 27 2021 I download the data for Russia, with the formula =BDH(“CTRUB 10Y Govt”;”Open”; “01-01-2005”;””; “BarTp=B”; “BarSz=1”) For the point in time "April 5 2021, 09:00" it said that the price is 104.301. Then I open the same Excel sheet one month later, on May 21 2021, without changing anything. Obviously it gives me some newer data, and deletes some of the older data. But if I look on the same point in time,"April 5 2021, 09:00" then it says that the price is 92.214. How is that possible that a historical price on a specific point in time can change from 104.301 to 92.214? I have asked Bloomberg, but either they did not understand the problem or did not want to understand the problem - they simply referred me to some places, and I have never figured out how this can happen. So, my problem is that because I do not understand how such problems can arise, I cannot trust the data that I get. Thus, 2 questions: - Do you have an idea why problems 1 and 2 above arise? Is there any logical explanation? - Do you know where else I could get such data, say 10 years back? I am mostly interested in Sweden (whose government bonds are traded on Nasdaq). Thank you!
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