Diccionario de datos

Los campos del archivo de muestra de LatAm Bonds: una fila por bono y fecha de valuación, con clave isin y pricing_date, entregado como texto separado por barras verticales o CSV. Las secciones siguientes siguen los grupos de columnas del archivo, en el orden del archivo.

Identificadores y referencia

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Campo	Tipo	Admite vacío	Descripción
`isin`	text	always filled (key)	International Securities Identification Number of the bond; with pricing_date, the key of the file.
`pricing_date`	date	always filled (key)	The date the evaluated price is for (YYYY-MM-DD); with isin, the key of the file.
`cusip`	text	filled when on file, else blank	CUSIP or CINS of the bond (nine characters).
`secid`	integer	always filled	Exchange Data International security id of the bond line the row prices.
`issuer_name`	text	always filled	Legal name of the issuer.
`issuer_country`	code	always filled	Country of the issuer's business, read past a foreign financing subsidiary or guarantor. Unit: ISO 3166-1 alpha-2.
`issuer_type`	text	always filled	Sovereign, State-owned, Sub-sovereign, Supranational, Bank and financial, or Corporate.
`issuer_sector`	text	filled when on file, else blank	The issuer's sector in the SQX industry taxonomy.
`issuer_industry`	text	filled when on file, else blank	The issuer's industry in the SQX industry taxonomy.
`security_description`	text	always filled	Short description of the bond: coupon, form, maturity, currency and minimum denomination.
`currency`	code	always filled	Currency the bond is denominated in. Unit: ISO 4217.
`coupon_type`	code	always filled	FIXED, FLOATING, FIXED_TO_FLOATING, STEP, VARIABLE, or NONE (zero coupon).
`coupon_rate`	decimal	filled when the bond pays a coupon, else blank	Current annual coupon rate. Unit: percent per year.
`coupon_frequency`	code	filled when the bond pays a coupon, else blank	MONTHLY, QUARTERLY, SEMI_ANNUAL, ANNUAL, or AT_MATURITY.
`day_count`	text	filled when the bond pays a coupon and the value is on file, else blank	Day count convention interest accrues on.
`issue_date`	date	always filled	Date the bond was issued.
`dated_date`	date	filled when the bond pays a coupon, else blank	Date interest starts to accrue (interest commencement date).
`first_coupon_date`	date	filled when the bond pays a coupon and the value is on file, else blank	Date of the first coupon payment.
`maturity_date`	date	always filled	Date the principal is due.
`seniority`	text	filled when the issuer is not a sovereign, or EDI ranks the bond and the value is on file, else blank	Rank of the bond in the issuer's capital structure (Senior, Senior Non Preferred, Junior).
`subordinated`	flag	filled when on file, else blank	Y when the bond is subordinated to the issuer's senior debt, else N. Where Exchange Data International leaves the flag blank, it follows seniority: Junior and Mezzanine are subordinated.
`issue_size`	decimal	always filled	Amount issued, in units of the bond's currency (Exchange Data International's figure in millions, times a million). Unit: currency units.
`amount_outstanding`	decimal	always filled	Amount outstanding on amount_outstanding_date, in units of the bond's currency. Unit: currency units.
`amount_outstanding_date`	date	always filled	Date the amount outstanding was last reported.

Precio y rendimiento

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Campo	Tipo	Admite vacío	Descripción
`clean_price`	decimal	always filled	SQX evaluated price without accrued interest. Unit: percent of par.
`dirty_price`	decimal	always filled	SQX evaluated price with accrued interest (clean_price plus accrued_interest). Unit: percent of par.
`accrued_interest`	decimal	always filled	Interest accrued since the last coupon date, per 100 of face value. Unit: percent of par.
`rendimiento`	decimal	always filled	Yield of the evaluated price to yield_date, on the yield_type basis. Unit: percent.
`yield_type`	code	always filled	YTM (to maturity) or YTC (to a call date, when a call gives the lower yield).
`yield_date`	date	always filled	Horizon date of the yield: the maturity date, or the call date for YTC.
`current_yield`	decimal	filled when the bond pays a coupon, else blank	Annual coupon divided by the clean price, in percent. Unit: percent.

Diferenciales

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Campo	Tipo	Admite vacío	Descripción
`credit_spread_bp`	decimal	always filled	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	always filled	Where the credit spread comes from, as a code.
`g_spread_bp`	decimal	filled when the bond is in US dollars and the years to yield_date fall within the curve's tenors, else blank	Yield minus the US Treasury zero-coupon rate at the years to yield_date, linearly interpolated. Unit: basis points.
`i_spread_bp`	decimal	filled when the bond is in US dollars and the years to yield_date fall within the swap tenors, else blank	Yield minus the SOFR swap rate at the years to yield_date, linearly interpolated between swap tenors. Unit: basis points.

Riesgo de tasa de interés

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Campo	Tipo	Admite vacío	Descripción
`modified_duration`	decimal	always filled	Modified duration at the yield, to yield_date. Unit: years.
`macaulay_duration`	decimal	filled when the bond pays a coupon, else blank	Modified duration times (1 + yield / coupon payments per year). Unit: years.
`convexity`	decimal	always filled	Yield convexity at the yield, to yield_date. Unit: years squared.
`dv01`	decimal	always filled	Price change for a basis point change in yield, per 100 of face value (modified_duration x dirty_price x 0.0001). Unit: price per 100 face.

Crédito

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Campo	Tipo	Admite vacío	Descripción
`sqx_rating_band`	code	filled when the credit spread comes from a rating band, else blank	The rating band SQX prices the bond's credit on (AAA, AA, A, BBB, BB, B, CCC).
`sp_rating`	code	filled when on file, else blank	S&P Global long-term rating of the bond.
`moodys_rating`	code	filled when on file, else blank	Moody's long-term rating of the bond.

Estructura

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Campo	Tipo	Admite vacío	Descripción
`callable`	flag	always filled	Y when the issuer may redeem the bond early, else N.
`puttable`	flag	filled when on file, else blank	Y when the holder may sell the bond back early, else N.
`make_whole_call`	flag	filled when the bond is callable, else blank	Y when the issuer may call the bond at a make-whole (formula) price on or after the pricing date, else N.
`next_call_date`	date	filled when a fixed-price call is on file, else blank	First date on or after the pricing date the issuer may call the bond at a fixed price.
`next_call_price`	decimal	filled when a fixed-price call is on file, else blank	Price of the call on next_call_date. Unit: percent of par.
`years_to_next_call`	decimal	filled when a fixed-price call is on file, else blank	Years from the pricing date to next_call_date (actual days / 365.25). Unit: years.

Liquidez y negociación

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Campo	Tipo	Admite vacío	Descripción
`exchange_close`	decimal	filled when an exchange quotes the bond, else blank	Median of each venue's newest close for the bond in the 7 days up to the pricing date, in percent of par, after closes over 3% from the median are cut. Unit: percent of par.
`exchange_venues`	text	filled when an exchange quotes the bond, else blank	Market identifier codes (ISO 10383) of the venues in exchange_close, space separated.
`exchange_venue_count`	integer	filled when an exchange quotes the bond, else blank	Number of venues in exchange_close. Unit: venues.
`exchange_date`	date	filled when an exchange quotes the bond, else blank	Latest price date among the venues in exchange_close.
`sqx_minus_exchange`	decimal	filled when an exchange quotes the bond, else blank	clean_price minus exchange_close. Unit: percent of par.
`trace_last_price`	decimal	filled when TRACE reports a trade, else blank	Price of the bond's last trade reported to FINRA TRACE (US over-the-counter trades) in the 7 days up to the pricing date. Unit: percent of par.
`trace_date`	date	filled when TRACE reports a trade, else blank	Date of the bond's last trade reported to FINRA TRACE.

Apéndice: valores canónicos

Estos campos usan un vocabulario controlado. El código que dependa de cualquiera de ellos debe cubrir todos los valores listados aquí.

Diferenciales

Campo Valores

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"]

Campo	Valores
`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"]