# Dataframe: `SE:cds_basis_aggregated` - cds_basis_aggregated

## CDS-Bond Basis (Aggregated)

Measures the CDS-bond basis spread, aggregated by rating category.

### Columns

| Column | Description |
|--------|-------------|
| c_rating | Rating category (Investment Grade, High Yield) |
| date | Date |
| cds_basis_spread | Mean CDS basis spread (decimal) |
| cds_basis_spread_bps | Mean CDS basis spread (bps) |
| n_bonds | Number of bonds in group |

### Methodology

Based on Siriwardane, Sunderam, and Wallen's "Segmented Arbitrage":

CDS Basis Spread:
$$
Basis_{i, t, \tau} = CDS_{i, t, \tau} - z_{i, t, \tau}
$$

### Interpretation

- Positive basis: CDS spread is above bond-implied z-spread
- Negative basis: bond-implied z-spread is above CDS spread



## DataFrame Glimpse

```
Rows: 604
Columns: 10
$ c_rating                      <str> 'Investment Grade'
$ date                 <datetime[ns]> 2024-12-31 00:00:00
$ cds_basis_spread              <f64> -0.0007739064172118694
$ cds_basis_spread_bps          <f64> -7.739064172118694
$ rfr                           <f64> -0.07739064172118694
$ n_bonds                       <i64> 415
$ analysis_period               <str> 'full_period_2010_2024'
$ period_label                  <str> 'Full Period (2010-01-01 to 2024-12-31)'
$ period_start         <datetime[ms]> 2010-01-01 00:00:00
$ period_end           <datetime[ms]> 2024-12-31 00:00:00


```

## Dataframe Manifest

| Dataframe Name                 | cds_basis_aggregated                                                   |
|--------------------------------|--------------------------------------------------------------------------------------|
| Dataframe ID                   | [cds_basis_aggregated](../dataframes/SE/cds_basis_aggregated.md)                                       |
| Data Sources                   | WRDS Markit, WRDS Bond Returns, CRSP Treasury, Federal Reserve Yield Curve                                        |
| Data Providers                 | WRDS, CRSP, Federal Reserve                                      |
| Links to Providers             | https://wrds-www.wharton.upenn.edu, https://www.crsp.org, https://www.federalreserve.gov                             |
| Topic Tags                     | Cds, Bonds, Arbitrage, Basis, Fixed Income, Credit                                          |
| Type of Data Access            | WRDS,Public                                  |
| How is data pulled?            | Markit CDS from WRDS merged to WRDS bond returns, with z-spread pricing from Treasury curves                                                    |
| Data available up to (min)     | 2024-12-31 00:00:00                                                             |
| Data available up to (max)     | 2024-12-31 00:00:00                                                             |
| Dataframe Path                 | /Users/flavio/GitHub/p12_siriwardane_sunderam_wallen_2023/_data/cds_basis_aggregated.parquet                                                   |


**Linked Charts:**


- [SE:cds_bond_basis_replication](../../charts/SE.cds_bond_basis_replication.md)



## Pipeline Manifest

| Pipeline Name                   | Segmented Arbitrage: Corporate CDS-Bond Basis (Project 12)                       |
|---------------------------------|--------------------------------------------------------|
| Pipeline ID                     | [SE](../index.md)              |
| Lead Pipeline Developer         | Michelacci and Ferreira             |
| Contributors                    | Michelacci and Ferreira           |
| Git Repo URL                    | https://github.com/JacopoMichelacci/p12_siriwardane_sunderam_wallen_2023                        |
| Pipeline Web Page               | <a href="file:///Users/flavio/GitHub/p12_siriwardane_sunderam_wallen_2023/docs/index.html">Pipeline Web Page      |
| Date of Last Code Update        | 2026-03-15 14:17:12           |
| OS Compatibility                |  |
| Linked Dataframes               |  [SE:cds_basis_aggregated](../dataframes/SE/cds_basis_aggregated.md)<br>  [SE:cds_basis_non_aggregated](../dataframes/SE/cds_basis_non_aggregated.md)<br>  |