Chart: CDS-Bond Basis Replication#
CDS-Bond basis spread by rating category
Chart#
Sources: WRDS Markit, WRDS Bond Returns, CRSP Treasury, Federal Reserve Yield Curve
CDS-Bond Basis Replication#
This chart shows the CDS-bond basis spread, aggregated by rating category.
Methodology#
Based on Siriwardane, Sunderam, and Wallen’s “Segmented Arbitrage” methodology.
Interpretation#
Positive values indicate CDS spread above bond-implied z-spread
Investment Grade vs High Yield comparison shows relative opportunities
Chart Specs#
Chart Name |
CDS-Bond Basis Replication |
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Chart ID |
cds_bond_basis_replication |
Topic Tags |
Cds, Bonds, Arbitrage, Basis, Replication |
Data Series Start Date |
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Data Frequency |
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Observation Period |
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Lag in Data Release |
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Data Release Timing |
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Seasonal Adjustment |
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Units |
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HTML Chart |
Dataframe Manifest#
Dataframe Name |
cds_basis_aggregated |
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Dataframe ID |
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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) |
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Data available up to (max) |
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Dataframe Path |
/Users/flavio/GitHub/p12_siriwardane_sunderam_wallen_2023/_data/cds_basis_aggregated.parquet |
Linked Charts:
Pipeline Manifest#
Pipeline Name |
Segmented Arbitrage: Corporate CDS-Bond Basis (Project 12) |
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Pipeline ID |
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Lead Pipeline Developer |
Michelacci and Ferreira |
Contributors |
Michelacci and Ferreira |
Git Repo URL |
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Pipeline Web Page |
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Date of Last Code Update |
2026-03-15 14:17:12 |
OS Compatibility |
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Linked Dataframes |