Spreads

One file of the LatAm Bonds by SQX data dictionary. Field list (.csv)

Spreads

Field	Type	Nullable	Description
`credit_spread_bp`	decimal	never blank	Credit spread SQX prices the bond at: a zero-volatility spread over the government zero curve of the bond's currency. Unit: basis points.
`spread_basis`	code	never blank	Where the credit spread comes from, as a code.
`g_spread_bp`	decimal	blank unless the bond is in US dollars and the years to yield_date fall within the curve's tenors	Yield minus the US Treasury zero-coupon rate at the years to yield_date, linearly interpolated. Unit: basis points.
`i_spread_bp`	decimal	blank unless the bond is in US dollars and the years to yield_date fall within the swap tenors	Yield minus the SOFR swap rate at the years to yield_date, linearly interpolated between swap tenors. Unit: basis points.

Appendix: canonical values

Field Values

spread_basis ['sovereign_zero: a central government bond in its own currency, priced on its own curve at zero spread', "sovereign_foreign: a government bond in a foreign currency, at the issue-time spread of its country's foreign-currency sovereign issues", "sovereign_print: the spread the sovereign bond's own exchange prints imply", "sovereign_print_curve: the country's sovereign print curve at the bond's maturity", "quasi_sovereign: the issue-time spread of its country's government-related issuers", "issuer_print: the spread the issuer's own exchange prints imply", "issuer_print_curve: the country's non-sovereign print curve at the bond's maturity", "rated: the spread of the bond's rating band", "implied: the spread of the bond's market-implied rating band", "model: the spread of the issuer's SQX credit model band", "issuer_sibling: the spread of the rating band of the issuer's other bonds", "covered: the issue-time spread of its country's covered bonds", "trace_print: the spread the bond's own TRACE prints imply", "unrated_default: the default band's spread for an unrated bond"]

Field	Values
`spread_basis`	['sovereign_zero: a central government bond in its own currency, priced on its own curve at zero spread', "sovereign_foreign: a government bond in a foreign currency, at the issue-time spread of its country's foreign-currency sovereign issues", "sovereign_print: the spread the sovereign bond's own exchange prints imply", "sovereign_print_curve: the country's sovereign print curve at the bond's maturity", "quasi_sovereign: the issue-time spread of its country's government-related issuers", "issuer_print: the spread the issuer's own exchange prints imply", "issuer_print_curve: the country's non-sovereign print curve at the bond's maturity", "rated: the spread of the bond's rating band", "implied: the spread of the bond's market-implied rating band", "model: the spread of the issuer's SQX credit model band", "issuer_sibling: the spread of the rating band of the issuer's other bonds", "covered: the issue-time spread of its country's covered bonds", "trace_print: the spread the bond's own TRACE prints imply", "unrated_default: the default band's spread for an unrated bond"]