Data dictionary

The fields of the LatAm Bonds sample file: one row per bond per pricing date, keyed on isin and pricing_date, delivered as pipe-separated text or CSV. Each section below is one group of columns of that file, in file order.

Identifiers and reference

This file on its own page · Field list (.csv)

Field	Type	Nullable	Description
`isin`	text	never blank (key)	International Securities Identification Number of the bond; with pricing_date, the key of the file.
`pricing_date`	date	never blank (key)	The date the evaluated price is for (YYYY-MM-DD); with isin, the key of the file.
`cusip`	text	blank when not on file	CUSIP or CINS of the bond (nine characters).
`secid`	integer	never blank	Exchange Data International security id of the bond line the row prices.
`issuer_name`	text	never blank	Legal name of the issuer.
`issuer_country`	code	never blank	Country of the issuer's business, read past a foreign financing subsidiary or guarantor. Unit: ISO 3166-1 alpha-2.
`issuer_type`	text	never blank	Sovereign, State-owned, Sub-sovereign, Supranational, Bank and financial, or Corporate.
`issuer_sector`	text	blank when not on file	The issuer's sector in the SQX industry taxonomy.
`issuer_industry`	text	blank when not on file	The issuer's industry in the SQX industry taxonomy.
`security_description`	text	never blank	Short description of the bond: coupon, form, maturity, currency and minimum denomination.
`currency`	code	never blank	Currency the bond is denominated in. Unit: ISO 4217.
`coupon_type`	code	never blank	FIXED, FLOATING, FIXED_TO_FLOATING, STEP, VARIABLE, or NONE (zero coupon).
`coupon_rate`	decimal	blank unless the bond pays a coupon	Current annual coupon rate. Unit: percent per year.
`coupon_frequency`	code	blank unless the bond pays a coupon	MONTHLY, QUARTERLY, SEMI_ANNUAL, ANNUAL, or AT_MATURITY.
`day_count`	text	blank unless the bond pays a coupon, or when not on file	Day count convention interest accrues on.
`issue_date`	date	never blank	Date the bond was issued.
`dated_date`	date	blank unless the bond pays a coupon	Date interest starts to accrue (interest commencement date).
`first_coupon_date`	date	blank unless the bond pays a coupon, or when not on file	Date of the first coupon payment.
`maturity_date`	date	never blank	Date the principal is due.
`seniority`	text	blank when not on file	Rank of the bond in the issuer's capital structure (Senior, Senior Non Preferred, Junior).
`subordinated`	flag	blank when not on file	Y when the bond is subordinated to the issuer's senior debt, else N. Where Exchange Data International states no flag, it follows seniority: Junior and Mezzanine are subordinated.
`issue_size`	decimal	never blank	Amount issued, in units of the bond's currency (millions as Exchange Data International states it, times one million). Unit: currency units.
`amount_outstanding`	decimal	never blank	Amount outstanding on amount_outstanding_date, in units of the bond's currency. Unit: currency units.
`amount_outstanding_date`	date	never blank	Date the amount outstanding was last stated.

Price and yield

This file on its own page · Field list (.csv)

Field	Type	Nullable	Description
`clean_price`	decimal	never blank	SQX evaluated price without accrued interest. Unit: percent of par.
`dirty_price`	decimal	never blank	SQX evaluated price with accrued interest (clean_price plus accrued_interest). Unit: percent of par.
`accrued_interest`	decimal	never blank	Interest accrued since the last coupon date, per 100 of face value. Unit: percent of par.
`yield`	decimal	never blank	Yield of the evaluated price to yield_date, as yield_type states. Unit: percent.
`yield_type`	code	never blank	YTM (to maturity) or YTC (to a call date, when a call gives the lower yield).
`yield_date`	date	never blank	The date the yield is worked to: the maturity date, or the call date for YTC.
`current_yield`	decimal	blank unless the bond pays a coupon	Annual coupon divided by the clean price, in percent. Unit: percent.

Spreads

This file on its own page · Field list (.csv)

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.

Interest rate risk

This file on its own page · Field list (.csv)

Field	Type	Nullable	Description
`modified_duration`	decimal	never blank	Modified duration at the yield, to yield_date. Unit: years.
`macaulay_duration`	decimal	blank unless the bond pays a coupon	Modified duration times (1 + yield / coupon payments per year). Unit: years.
`convexity`	decimal	never blank	Yield convexity at the yield, to yield_date. Unit: years squared.
`dv01`	decimal	never blank	Price change for a one basis point change in yield, per 100 of face value (modified_duration x dirty_price x 0.0001). Unit: price per 100 face.

Credit

This file on its own page · Field list (.csv)

Field	Type	Nullable	Description
`sqx_rating_band`	code	blank unless the credit spread comes from a rating band	The rating band SQX prices the bond's credit on (AAA, AA, A, BBB, BB, B, CCC).
`sp_rating`	code	blank when not on file	S&P Global long-term rating of the bond.
`moodys_rating`	code	blank when not on file	Moody's long-term rating of the bond.

Structure

This file on its own page · Field list (.csv)

Field	Type	Nullable	Description
`callable`	flag	never blank	Y when the issuer may redeem the bond early, else N.
`puttable`	flag	blank when not on file	Y when the holder may sell the bond back early, else N.
`make_whole_call`	flag	blank unless the bond is callable	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	blank unless a call at a stated price is on file	First date on or after the pricing date the issuer may call the bond at a stated price.
`next_call_price`	decimal	blank unless a call at a stated price is on file	Price of the call on next_call_date. Unit: percent of par.
`years_to_next_call`	decimal	blank unless a call at a stated price is on file	Years from the pricing date to next_call_date (actual days / 365.25). Unit: years.

Liquidity and trading

This file on its own page · Field list (.csv)

Field	Type	Nullable	Description
`exchange_close`	decimal	blank unless an exchange quotes the bond	Median of the exchange closes for the bond in percent of par, after closes over 3% from the median are cut. Unit: percent of par.
`exchange_venues`	text	blank unless an exchange quotes the bond	Market identifier codes (ISO 10383) of the venues in exchange_close, space separated.
`exchange_venue_count`	integer	blank unless an exchange quotes the bond	Number of venues in exchange_close. Unit: venues.
`exchange_date`	date	blank unless an exchange quotes the bond	Latest price date among the venues in exchange_close.
`sqx_minus_exchange`	decimal	blank unless an exchange quotes the bond	clean_price minus exchange_close. Unit: percent of par.
`trace_last_price`	decimal	blank unless TRACE reports a trade	Price of the bond's last trade reported to FINRA TRACE (US over-the-counter trades). Unit: percent of par.
`trace_date`	date	blank unless TRACE reports a trade	Date of the bond's last trade reported to FINRA TRACE.

Appendix: canonical values

These fields carry a controlled vocabulary. A consumer branching on one should cover every value listed here.

Spreads

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"]