Retrieve historical data for expired corporate bond

Hello,

I get no data running the following line:

ek.get_data(instruments=["SASUKIB4298=IBDR"],
                                   fields=['TR.ASKPRICE.calcdate', 'TR.ASKPRICE'],
                                   parameters={'SDate':'2016-09-30','EDate':'2018-10-30'})

despite the data seems to be there when looking in the desktop app.

Furthermore, the same command works for other RICs (say, "LU122495388="), how can I solve the issue?

Thanks

Emanuele

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Accepted answers

zoya faberov

Hi Emanuele @ema.belli93,

Please find the information on this from content:

"In case a bond expires/matures, the composite or super RIC will be de-activated and removed immediately. However the contributed and exchange listed bond RICs will not be removed unless we get specific consent / instruction / notification from the contributor regarding removal of their RICs and de-list notification from exchange. So this is not actually a flaw on the the platform. If we can deliver the data, we certainly would have it available.

We normally do not keep historical data for Expired/Matured bonds on our database. However, there are some data that can still be pulled up by clicking the Chart tab on the bond overview page in Eikon, which are the prices that were contributed and were sourced internally. Please note though that not all data would be available and it is very limited.

You may still try to check the Overview page tabs (News, Description, Schedules, Charts, Notes, etc) of the matured bond to see all the remaining information available for a matured bond.

You may also refer to the META page of the RIC to pull up information on the bond if the RIC can still be accessed in Eikon. To get to the META page, just type in RIC <space> META in your main Eikon search box and choose "What is this RIC" in the drop-down or autosuggest function."

All comments

ema.belli93

Hi @zoya faberov,

thanks a lot. I am really looking forward to your answer. In my bond universe of euro-denominated corporate bonds (~15k RICs) only 7k of them have TR fields populated (for instance TR.ASKPRICE or TR.OPTIONADJUSTEDSPREAD). Most of the unpopulated ones are matured or called bonds: is it by chance? Are you changing the RIC denomination of some bonds when they are called or matured?

Thanks

zoya faberov

Hi Emanuele @ema.belli93,

This may be important for the content investigation, are you able to include the list of instruments (zip and attach)?

ema.belli93

Hello,

the "universe.csv" file contains all the rics of which I would like to find OAS, BID, ASK, Duration and other fields in the time interval from 2016-10 to 2020-10. The "oas_not_found" file contains RICs of the universe whose OAS was not found (<NA>). There might be instruments matured before October 2016 or issued after 2020-10, but I expect them to be a minority. For the other I am not sure what the issue is, but I would like to recover as many datapoints as possible.

Thanks

universe_and_non_found_rics.zip

zoya faberov

Hi Emanuele @ema.belli93,

Please find the information on this from content:

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