For ISIN XS0458257796 I see the fields `ZSPREAD` and `ZSpreadAnalytics` which have different data. What is the difference between these fields?
@Lukas Jansen Thanks for you question - from the Data Item Browser App (type DIB in Eikon Search Bar) I can see that:
Z Spread (TR.ZSPREAD) is the difference in bp required to make the bond perform to par. (current Value from Data Item Browser is 57.6600)
Z Spread (TR.ZSpreadAnalytics) : Spreads in basis points: Z-Spread (bp). This spread is calculated from TR's own pricing capabilities. It is consistent with the values retrieved in the underlying Bond Analytics Apps on Eikon, such as BNDC (Bond Calculator), and is available for all unsecuritized debt instruments, incl. Govt Bonds, Financials, Corporates, Preferreds & Munis. (current Value from Data Item Browser is 48.41)
I can see from the data item browser that the price used in the TR.ZSpreadAnalytics is 110.985 and the valuation date was 19/Aug/2019.
The Z Spread quoted in the quote app is 59.99 - however I see that the bond price is 110.703 bid with no offer - i can't see when the bond last traded. (I would say this points to the TR.ZSPREAD field being the correct one to use)
I believe that these differences may have something to do with the prices used to do the calculations. We provide a class leading evaluated pricing service - particularly for hard to price / illiquid instruments - from the TR.ZSpreadAnalytics description above - it might be using a price from this evaluated service. I am not a bond analytics specialist so cannot comment further on this. As this is primarily a content question - could I ask that you raise a ticket with Eikon Support (Helios Menu ==> Help ==> Contact Us) (marking it as Data query) and the relevant content expert will get back to you with a definitive answer. You can also include the hyperlink to this post on that query form.
I hope this can help you.
Hi @jason.ramchandani, thanks for your prompt response and sorry for the late answer. Which quote app are you referring to? What I gather from your answer is that there is a third source, also on Eikon, which has yet a different value? This is due to different prices being used? As far as I can see, `ZSpreadAnalytics` uses mid price, I don't see any information as to what price is being used on the `ZSPREAD` field. I am looking for the z-spread calculated using the bid price. To be honest, my question remains unanswered, but you are right in that this is primarily content related and I will address it to Eikon support.
Thanks again for your help.