For instance, high yield corporate bonds tend to be quoted by price and investment grade tends to be quoted by yield.

Is there any source that describes such quoting conventions, or corporate bonds and also other fixed income securities?


2 Answers 2


There is no authoritative source. If you're dealing with vast quantities of diverse bond quotes, then it's very hard to interpet them correctly all the time, although you might get be right most of the time with less effort.

As general guidelines, yes, IG is usually yield, and HY is usually price. But some issuers (e.g. EM eurobonds) are usually price even if they're IG. IG callable bonds are often price (because yield-to-price of a callable get get ambiguous). Fallen angels (HY that used to be IG) continue to be quoted on yield for a while. Also a few people prefer to quote spread over treasury, rather than yield (and then you need to figure out which treasury benchmark they meant, which is not trivial).

The price is usually clean price for performing bonds but some bonds start being quoted dirty (on proceeds, including accrued coupon) when they're on the verge of defaulting. Defaulted bonds are always quoted on proceeds. Bloomberg has a flag (clean or dirty price) that's usually (not always) correct for today's quote, but doesn't tell you the history. Bond trade associations do announce when a bond should be quoted dirty, but not everyone follows their guidelines at the same time.

So if you're fortunate to have, for one bond, multiple time series of quotes from multiple sources, then:

  • the same time series from the same source might be sometimes yield, sometimes clean price, sometimes dirty price...

  • the quotes from different sources at the same time might be yield, spread over treasury bencmark (which?), clean prices, and dirty price.

To handle this, you should not assume that "being quoted on yield' or 'being quoted dirty' is part of a bond's static data, because it changes with time and may differ by quote source. Rather, the quote type should be part of every quote, some some non-trivial logic to populate the quote type.

However these situations are rare. You can save a lot effort and still be usually (not always) right by following simple rules about guessing whether a quote is a clean price or a yield.

  • $\begingroup$ Very insightful! Do you know whether I Would be able to obtain a fixed quote type from Bloomberg by querying a specific field? E.g. px_??? instead of px_last or such? $\endgroup$ Dec 11, 2020 at 17:36
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    $\begingroup$ Bloomberg is better than interdealer brokers' runs and green screens full of just raw unlabeled numbers. If you ask Bloomberg for PX_LAST, then you get a price. If you ask for YLD_CNV_LAST, then you get yield to convention. But what is this convention? It can occasionally be hard to tell. Is the price clean or dirty? Bloomberg has a field for that, but was a historical price clean or dirty - did it switch? Bloomberg can't tell you. $\endgroup$ Dec 11, 2020 at 17:51
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    $\begingroup$ Yes. That makes perfectly sense - thank you! $\endgroup$ Dec 11, 2020 at 17:51

To supplement @Dimitri's excellent answer, I recommend a little booklet called "Government Bond Outlines," published by JPMorgan's index team. This is easily obtainable from JPMorgan's research website. It lists, for each government bond market, the market characteristics, calculation convention, and trading basis (e.g., quotation, tick size, typical bid/offer spread).

The other one I'll note is The Handbook of Global Fixed Income Calculations, which is an incredible reference for calculating anything from accrued interest to yield. The strength is that this book deals with a lot of subtleties (e.g., settlement in the last coupon period, long/short first/last coupon periods, etc.)

Edit: Another reference that comes to mind is Bloomberg's "Valid Calculation Types." You do need a BBG terminal to access it, but it's probably the most comprehensive bond convention document available, covering anything from government bonds to MBS.

  • $\begingroup$ How do I access Bloomberg's "Valid Calculation Types" on the terminal? $\endgroup$ Jan 18 at 19:56

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