Dataframe: SE:cds_basis_non_aggregated - cds_basis_non_aggregated#
CDS-Bond Basis (Non-Aggregated)#
Bond-level CDS-bond basis spread from CDS and corporate bond markets.
Columns#
Column |
Description |
|---|---|
isin/cusip |
Bond identifier |
date |
Date |
cds_basis_spread |
CDS basis spread (decimal) |
cds_basis_spread_bps |
CDS basis spread (bps) |
Data Sources#
Markit CDS data from WRDS
Corporate bond data from WRDS Bond Returns (
wrdsapps_bondret.bondret)
DataFrame Glimpse#
Rows: 204899
Columns: 10
$ isin <str> 'US988498AN16'
$ date <datetime[ns]> 2024-12-31 00:00:00
$ cds_basis_spread <f64> -0.003449651300673833
$ cds_basis_spread_bps <f64> -34.496513006738326
$ rfr <f64> -0.3449651300673833
$ c_rating <str> 'High Yield'
$ 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_non_aggregated |
|---|---|
Dataframe ID |
|
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_non_aggregated.parquet |
Linked Charts:
None
Pipeline Manifest#
Pipeline Name |
Segmented Arbitrage: Corporate CDS-Bond Basis (Project 12) |
|---|---|
Pipeline ID |
|
Lead Pipeline Developer |
Michelacci and Ferreira |
Contributors |
Michelacci and Ferreira |
Git Repo URL |
|
Pipeline Web Page |
|
Date of Last Code Update |
2026-03-15 14:17:12 |
OS Compatibility |
|
Linked Dataframes |