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
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

Pipeline Manifest

Pipeline Name	Segmented Arbitrage: Corporate CDS-Bond Basis (Project 12)
Pipeline ID	SE
Lead Pipeline Developer	Michelacci and Ferreira
Contributors	Michelacci and Ferreira
Git Repo URL	JacopoMichelacci/p12_siriwardane_sunderam_wallen_2023
Pipeline Web Page	Pipeline Web Page
Date of Last Code Update	2026-03-15 14:17:12
OS Compatibility
Linked Dataframes	SE:cds_basis_aggregated SE:cds_basis_non_aggregated