Data Availability on Matured Bonds

I am currently trying to obtain Price, Yield and Benchmark Spread on a list of corporate bonds that expired between 2000 and 2006. Only for very few bonds, at best 5% of my sample, can this time series data be extracted.

I use the following code:

df, err = ek.get_data(
instruments = isins, 
fields ="TR.BenchmarkSpread.Date", "TR.BenchmarkSpread", "TR.BIDYIELD.Date", "TR.BIDYIELD", "TR.BIDPRICE.Date", "TR.BIDPRICE"],
parameters = {'SDate':"20000101", "EDate":"20220101", "Frq":"CQ"}
)

The code yields non-NA results if I use ISINs of bonds that have yet to mature (albeit for approx. 20% of not yet matured bonds I also cannot obtain data but I suspect this is because they are not active).

Why do I almost only get NA results for the matured bonds? Do you disable the download of timeseries data for expired instruments?

Thanks for the help!

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Accepted answers

student4.student

SOLUTION/ANSWER to anyone having the same question:

Data on matured FI instruments is removed from the database and will also not be made accessible in the near future. Data on single instruments can still be accessed on the Eikon Terminal, but this is not available for bulk download (i.e. through the API). This is what I have been told by the Eikon HelpDesk.

All comments

raksina.samasiri

hi @student4.student ,

Could you please provide the list of ISINs of bonds used for further investigation?

student4.student

Hi @raksina.samasiri,

I tested 5000 ISINs. Below a short list of examples.

['US842400CZ40', 'XS0054920920', 'FR0000085169', 'XS0015082539',
 'CH0000200441', 'US694308CR63', 'SE0000533929', 'BRCESPDBS0T4',
 'KR3501047H19', 'KR3501027H13', 'KR3501017H15', 'KR3501037H11',
 'KR6006121H15', 'KR600612AH19', 'CA110601BM21', 'US202795DV92',
 'US744567CT37', 'US144141BZ04', 'US842400DN01', 'XS0084452068',
 'XS0055869175', 'XS0084508380', 'CH0007786046', 'CH0000201928',
 'JP352660AM24', 'JP322860AJ20', 'JP360540AJ28', 'JP324640AJ23',
'ES0239960422', 'JP385020AQ25', 'BRCESPDBS0U2', 'KR3501027J29',
'KR3501047H27', 'KR3501017H23', 'KR3501027H21', 'KR3501037H29',
 'KR3501017J21', 'BE0002115781', 'KR6005081H23', 'NO0001137053',
 'KR6006121H23', 'KR600612AH27', 'CA129595AU87', 'US485314AM08',
 'US709051AG14', 'US842400BH50', 'US452092BN87', 'US010392CU07',
 'US373334EF49', 'US737662AZ96', 'US462470AT26', 'US03774BAX10',
'XS0084908481', 'JP530003AR34', 'XS0102267167', 'JP524603AP33',
'JP334580AS31', 'NO0001179642', 'JP352660BJ36', 'JP322860AM33']

nick.zincone

Hi @student4.student,

Can you confirm that based on the list of ISINs you provided, you should expect to receive benchmark data?

For example, if I use the Search facility within the API, none of the ISINs you provided is a benchmark. For example, this is a partial list of what search reports:

student4.student

Hi @nick.zincone, I can confirm that all of the ISINs are not benchmarks, I used get_data and TR.FiIsBenchmark to confirm this. I also wanted to make the point that my results are independent of selected 'Frq' in the data request. I.e. I can also not obtain price, yield and benchmark spread data for matured bonds if I select a daily frequency of data points.

Please let me know why this data seems to not be available for download for matured bonds. Data seems to exist because for many of the bonds I can still look at the price chart in the Eikon terminal. (e.g. US462470AT26)

Thanks!

nick.zincone

Hi @student4.student

The moderators of these forums are not content experts, but we will attempt to help where we can. If your questions are related to content and its availability, it is generally best to go through the helpdesk.

It might be helpful if you were to provide a screenshot of where you are pulling up the data within Eikon so we can confirm. Based on your description thus far, I was unable to find the details using our APIs. That being said, it is best to confirm with a Content Specialist.

student4.student

SOLUTION/ANSWER to anyone having the same question:

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