Bond Prices and Credit Curves

Overview

This page documents the Bond Prices and Credit Curves data product as a whole. The product comprises five datasets — three regional composite-price datasets (BondDroid Composite Bond Prices: Emerging Markets, North America, and EMEA and APAC) that partition a single instrument-level pricing panel, and two credit-curve datasets (BondDroid Corporate Credit Curves and BondDroid Sovereign Credit Curves) that partition a single issuer-level curve panel. Because the datasets share schemas and a common pipeline, they are documented together here rather than page-by-page.

The composite datasets carry daily 6 pm ET (New York close) snapshots of bid, ask, and (from 2026) mid option-adjusted spreads, prices, and yields for corporate, sovereign, and agency bonds from January 2012 to present. The curve datasets carry issuer-level spread, hazard-rate, and yield term structures on an eleven-point maturity grid (1M, 3M, 6M, 1Y, 2Y, 3Y, 5Y, 7Y, 10Y, 20Y, 30Y).

7 Chord, founded in 2017, develops fixed-income market data and analytics used by traders, investors, and researchers. BondDroid, the company's market data aggregation engine, anonymizes and distills market observations into composite bond prices, issuer credit curves, benchmark rates, and reference datasets spanning fixed-income markets. Through its partnership with Dewey, 7 Chord makes these datasets available to the academic research community.

Data Description

Composite bond prices (three regional datasets, shared schema)

One row per bond instrument per daily 6 pm ET snapshot — roughly 20,000 instruments per day currently. The three datasets partition the panel exactly, using the provider's own market-segment classification: Emerging Markets carries EM corporate, EM sovereign, and EM agency instruments plus supranationals; North America carries developed-market instruments whose issuer region is North America, including U.S. Treasury benchmarks; EMEA and APAC carries the remaining developed-market instruments (Europe and Central Asia, East Asia and Pacific, Middle East and North Africa, and others). Every instrument appears in exactly one of the three datasets.

Field	Description
bd_le_id	A 6-digit unique issuer identifier assigned by BondDroid. Introduced in the provider's 2026 file restructure; NULL for history before 2026.
ticker	BondDroid ticker symbol of the issuer. Where possible, it is kept consistent with the stock ticker of the issuer's ultimate parent.
ultimate_parent_name	The name of the ultimate controlling company within a corporate structure of the obligor. The ultimate parent is usually not owned by any other entity and owns an obligor directly or through other layers in the corporate structure.
issuer_name	The full legal name of the obligor.
issuer_lei	The open-source 20-character, alpha-numeric code based on ISO 17442. A Legal Entity Identifier (LEI) connects to key reference information that enables clear and unique identification of legal entities. See www.gleif.com.
bonddroid_industry	Issuer industry. NAICS 2017 taxonomy applied to US and global issuers; corresponds to the NAICS 2017 5-digit industry code.
bonddroid_sector	Issuer sector. NAICS 2017 taxonomy applied to US and global issuers; corresponds to the NAICS 2017 2-digit sector code.
country_of_risk	BondDroid issuer country of risk, assigned based on the issuer's country of domicile, the primary exchange on which its stock trades, the location from which the issuer derives the majority of its revenue, and its reporting currency. Naming follows the ISO 3166 international standard.
region	World Bank region based on the issuer's country of risk.
bond_description	Bond description combining ticker, coupon, and maturity.
figi	A FIGI (Financial Instrument Global Identifier), a globally recognized, non-changing open-source identifier created by Bloomberg. See www.openfigi.com.
bonddroid_id	A 7-digit unique instrument identifier assigned by BondDroid.
coupon	The annual interest rate that the bondholder receives from the bond's issue date until maturity.
coupon_type	The type of coupon the bondholder receives from issue date until maturity. Possible values: Fixed Coupon, Floating Coupon, Fixed Coupon Paid at Maturity, Zero Coupon, Hybrid Coupon, Floating Rate Stepper, Fixed Rate Stepper. Introduced in the provider's 2026 file restructure; NULL for history before 2026.
maturity	The date on which the principal amount of the bond is to be paid in full.
currency	The ISO currency in which the bond issue is denominated.
issue_date	The calendar date on which the instrument was first made available to the market.
t_benchmark	The description of the US Treasury issue most frequently used to hedge interest-rate exposure of the bond.
t_benchmark_figi	FIGI of the benchmark US Treasury issue (globally recognized open-source identifier created by Bloomberg).
market_segment	BondDroid market segment. Possible values include DM Corporate, DM Sovereign, EM Corporate, EM Sovereign, and Supranational.
avg_daily_trade_count_60	The average number of times this bond traded per day over the past 60 business days.
times_traded_60	The number of times this bond traded in the past 60 business days.
time_since_last_trade	The number of hours since this bond last traded. Possible values: 0-24, 24-48, 48-72, 72+.
seq_id	Identifies and provides a chronological ordering for each OAS signal. In combination with the instrument identifier, it uniquely identifies a set of OAS signals. Introduced in the provider's 2026 file restructure; NULL for history before 2026.
tick_id	Tick ID = Sequence ID + 'T' + tick update counter. In combination with the instrument identifier it provides a chronological ordering for each tick update of Price, Yield, and SOT, and links it with the underlying OAS signal.
rates_timestamp	The date and time (UTC) when Price, Yield, and Spread-over-Treasury are updated in line with the benchmark Treasury and all pricing values (OAS, Price, Yield, SOT) are made available.
signal_timestamp	The date and time (UTC) when the OAS prediction was generated.
bid_oas	Option-adjusted spread level at the bid side of the market, in basis points.
ask_oas	Option-adjusted spread level at the ask side of the market, in basis points.
mid_oas	Composite mid option-adjusted spread, in basis points. Introduced in the provider's 2026 file restructure; NULL for history before 2026.
bid_price	Price at the bid side of the market, as a percentage of par.
ask_price	Price at the ask side of the market, as a percentage of par.
mid_price	Composite mid price, as a percentage of par. Introduced in the provider's 2026 file restructure; NULL for history before 2026.
bid_yield	Yield to worst at the bid side of the market.
ask_yield	Yield to worst at the ask side of the market.
mid_yield	Composite mid yield. Introduced in the provider's 2026 file restructure; NULL for history before 2026.
bid_sot	Spread-over-Treasury at the bid side of the market, in basis points.
ask_sot	Spread-over-Treasury at the ask side of the market, in basis points.
is_close	String indicator denoting an end-of-day closing value (i.e., most recent value) for a specific market close time. Possible values include '11am close', '4pm close', '5pm close', and '6pm close'. Introduced in the provider's 2026 file restructure; NULL for history before 2026.
trigger_timestamp	The date and time (UTC) when BondDroid receives an input data point that triggers an OAS update.
trigger_type	The type of event that triggered an OAS update, for example a TRACE print.
trigger_event	The event that triggered an OAS update, for example a TRACE print of a particular bond.
top_expert_weight	The weight of the top-performing learner in the BondDroid ensemble.
top_expert_prediction	The OAS prediction of the BondDroid learner assigned the highest weight by the ensemble, in basis points.
top_expert_type	The machine-learning method of the learner with the highest weight in the ensemble.
top_expert_lookback	The number of data points on which the top-performing learner in the ensemble was trained.
top_expert_data_source	The most important data source on which the ensemble's top-performing learner was trained.
widest_expert_oas	Widest OAS prediction produced by any learner in the ensemble, in basis points.
tightest_expert_oas	Tightest OAS prediction produced by any learner in the ensemble, in basis points.
median_expert_oas	Median OAS prediction produced by the learners in the ensemble, in basis points.
number_of_experts	Number of learners in the ensemble.
dos_oas_bid	The % change in bid OAS since the previous business day's close.
dos_oas_ask	The % change in ask OAS since the previous business day's close.
sos_oas_bid	The % change in bid OAS since the last signal.
sos_oas_ask	The % change in ask OAS since the last signal.
dop_price_bid	The % change in bid price since the previous business day's close. Introduced in the provider's 2026 file restructure; NULL for history before 2026.
dop_price_ask	The % change in ask price since the previous business day's close. Introduced in the provider's 2026 file restructure; NULL for history before 2026.
pop_price_bid	The % change in bid price since the last tick. Introduced in the provider's 2026 file restructure; NULL for history before 2026.
pop_price_ask	The % change in ask price since the last tick. Introduced in the provider's 2026 file restructure; NULL for history before 2026.
duration_mid	The modified duration of the bond, measuring its sensitivity to a 1 bp parallel shift of the US Treasury rate curve; calculated by fully repricing the bond to match the most recent mid signal price, assuming a $1,000 face value. Introduced in the provider's 2026 file restructure; NULL for history before 2026.
convexity_mid	The modified convexity of the bond, measuring the curvature of the relationship between bond prices and yields; calculated by fully repricing the bond to match the most recent mid signal price, assuming a $1,000 face value. Introduced in the provider's 2026 file restructure; NULL for history before 2026.
quote_count_60	Number of quotes observed for the instrument over the trailing 60 days. Present through 2025 only; the field was retired in the provider's 2026 file restructure.
bonddroid_special_flag	Not documented by the provider; definition requested.

Credit curves (two datasets, shared schema)

One row per issuer curve per business day. The two datasets partition the panel on the issuer's sector: Sovereign Credit Curves carries Public Administration issuers (sovereigns, governments, and the U.S. Treasury curve); Corporate Credit Curves carries all other sectors.

Field	Description
curve_tick_timestamp	The date and time (ET) from which bond pricing signals and rates are used to calculate the credit curve. Introduced in the provider's 2025 file restructure; NULL for most earlier history.
curve_gen_timestamp	Timestamp at which BondDroid generated the fitted curve.
curve_upload_timestamp	Timestamp at which the fitted curve was uploaded for delivery.
curve_id	Uniquely identifies (in combination with the BondDroid legal-entity identifier) and provides a chronological ordering for each issuer credit curve. Introduced in the provider's 2025 file restructure; NULL for most earlier history.
bd_le_id	A 6-digit unique issuer identifier assigned by BondDroid.
ticker	BondDroid ticker symbol of the issuer. Where possible, it is kept consistent with the stock ticker of the issuer's ultimate parent.
ultimate_parent_name	The name of the ultimate controlling company within a corporate structure of the obligor. The ultimate parent is usually not owned by any other entity and owns an obligor directly or through other layers in the corporate structure.
issuer_name	The full legal name of the obligor.
issuer_lei	The open-source 20-character, alpha-numeric code based on ISO 17442. A Legal Entity Identifier (LEI) connects to key reference information that enables clear and unique identification of legal entities. See www.gleif.com.
bonddroid_industry	Issuer industry. NAICS 2017 taxonomy applied to US and global issuers; corresponds to the NAICS 2017 5-digit industry code.
bonddroid_sector	Issuer sector. NAICS 2017 taxonomy applied to US and global issuers; corresponds to the NAICS 2017 2-digit sector code.
country_of_risk	BondDroid issuer country of risk, assigned based on the issuer's country of domicile, the primary exchange on which its stock trades, the location from which the issuer derives the majority of its revenue, and its reporting currency. Naming follows the ISO 3166 international standard.
region	World Bank region based on the issuer's country of risk.
currency	The ISO currency in which the bond issue is denominated.
spread_1m	The implied spread over Treasuries at the 1-month point, representing the issuer's market-perceived credit risk; implied using the option-adjusted spread values of all the issuer's bonds across varying maturities. In basis points.
spread_3m	The implied spread over Treasuries at the 3-month point, representing the issuer's market-perceived credit risk; implied using the option-adjusted spread values of all the issuer's bonds across varying maturities. In basis points.
spread_6m	The implied spread over Treasuries at the 6-month point, representing the issuer's market-perceived credit risk; implied using the option-adjusted spread values of all the issuer's bonds across varying maturities. In basis points.
spread_1y	The implied spread over Treasuries at the 1-year point, representing the issuer's market-perceived credit risk; implied using the option-adjusted spread values of all the issuer's bonds across varying maturities. In basis points.
spread_2y	The implied spread over Treasuries at the 2-year point, representing the issuer's market-perceived credit risk; implied using the option-adjusted spread values of all the issuer's bonds across varying maturities. In basis points.
spread_3y	The implied spread over Treasuries at the 3-year point, representing the issuer's market-perceived credit risk; implied using the option-adjusted spread values of all the issuer's bonds across varying maturities. In basis points.
spread_5y	The implied spread over Treasuries at the 5-year point, representing the issuer's market-perceived credit risk; implied using the option-adjusted spread values of all the issuer's bonds across varying maturities. In basis points.
spread_7y	The implied spread over Treasuries at the 7-year point, representing the issuer's market-perceived credit risk; implied using the option-adjusted spread values of all the issuer's bonds across varying maturities. In basis points.
spread_10y	The implied spread over Treasuries at the 10-year point, representing the issuer's market-perceived credit risk; implied using the option-adjusted spread values of all the issuer's bonds across varying maturities. In basis points.
spread_20y	The implied spread over Treasuries at the 20-year point, representing the issuer's market-perceived credit risk; implied using the option-adjusted spread values of all the issuer's bonds across varying maturities. In basis points.
spread_30y	The implied spread over Treasuries at the 30-year point, representing the issuer's market-perceived credit risk; implied using the option-adjusted spread values of all the issuer's bonds across varying maturities. In basis points.
hazard_rate_1m	The probability of issuer default by the end of the 1-month interval, conditional on no prior default event. Percent likelihood.
hazard_rate_3m	The probability of issuer default by the end of the 3-month interval, conditional on no prior default event. Percent likelihood.
hazard_rate_6m	The probability of issuer default by the end of the 6-month interval, conditional on no prior default event. Percent likelihood.
hazard_rate_1y	The probability of issuer default by the end of the 1-year interval, conditional on no prior default event. Percent likelihood.
hazard_rate_2y	The probability of issuer default by the end of the 2-year interval, conditional on no prior default event. Percent likelihood.
hazard_rate_3y	The probability of issuer default by the end of the 3-year interval, conditional on no prior default event. Percent likelihood.
hazard_rate_5y	The probability of issuer default by the end of the 5-year interval, conditional on no prior default event. Percent likelihood.
hazard_rate_7y	The probability of issuer default by the end of the 7-year interval, conditional on no prior default event. Percent likelihood.
hazard_rate_10y	The probability of issuer default by the end of the 10-year interval, conditional on no prior default event. Percent likelihood.
hazard_rate_20y	The probability of issuer default by the end of the 20-year interval, conditional on no prior default event. Percent likelihood.
hazard_rate_30y	The probability of issuer default by the end of the 30-year interval, conditional on no prior default event. Percent likelihood.
yield_1m	The annual percentage return an investor can expect for investing in the on-the-run bond at the 1-month point on the maturity curve (currently populated only for US Government bond curves).
yield_3m	The annual percentage return an investor can expect for investing in the on-the-run bond at the 3-month point on the maturity curve (currently populated only for US Government bond curves).
yield_6m	The annual percentage return an investor can expect for investing in the on-the-run bond at the 6-month point on the maturity curve (currently populated only for US Government bond curves).
yield_1y	The annual percentage return an investor can expect for investing in the on-the-run bond at the 1-year point on the maturity curve (currently populated only for US Government bond curves).
yield_2y	The annual percentage return an investor can expect for investing in the on-the-run bond at the 2-year point on the maturity curve (currently populated only for US Government bond curves).
yield_3y	The annual percentage return an investor can expect for investing in the on-the-run bond at the 3-year point on the maturity curve (currently populated only for US Government bond curves).
yield_5y	The annual percentage return an investor can expect for investing in the on-the-run bond at the 5-year point on the maturity curve (currently populated only for US Government bond curves).
yield_7y	The annual percentage return an investor can expect for investing in the on-the-run bond at the 7-year point on the maturity curve (currently populated only for US Government bond curves).
yield_10y	The annual percentage return an investor can expect for investing in the on-the-run bond at the 10-year point on the maturity curve (currently populated only for US Government bond curves).
yield_20y	The annual percentage return an investor can expect for investing in the on-the-run bond at the 20-year point on the maturity curve (currently populated only for US Government bond curves).
yield_30y	The annual percentage return an investor can expect for investing in the on-the-run bond at the 30-year point on the maturity curve (currently populated only for US Government bond curves).
slope_3m_1m	Curve slope between the 1-month and 3-month tenors (difference in fitted spreads).
slope_6m_3m	Curve slope between the 3-month and 6-month tenors (difference in fitted spreads).
slope_1y_6m	Curve slope between the 6-month and 1-year tenors (difference in fitted spreads).
slope_2y_1y	Curve slope between the 1-year and 2-year tenors (difference in fitted spreads).
slope_3y_2y	Curve slope between the 2-year and 3-year tenors (difference in fitted spreads).
slope_5y_3y	Curve slope between the 3-year and 5-year tenors (difference in fitted spreads).
slope_7y_5y	Curve slope between the 5-year and 7-year tenors (difference in fitted spreads).
slope_10y_7y	Curve slope between the 7-year and 10-year tenors (difference in fitted spreads).
slope_20y_10y	Curve slope between the 10-year and 20-year tenors (difference in fitted spreads).
slope_30y_20y	Curve slope between the 20-year and 30-year tenors (difference in fitted spreads).
instruments_used	The instruments used to fit the curve.
instr_used_complete	Not documented by the provider; definition requested.
extreme_spread_oas_variation	Not documented by the provider; definition requested.
perfect_curve	Not documented by the provider; definition requested.
flat_curve	Not documented by the provider; definition requested.
hazard_rate_one	Not documented by the provider; definition requested.
hazard_rate_zero	Not documented by the provider; definition requested.
num_inst_used	Number of instruments used to fit the curve.
num_extrap_points	Number of tenor points extrapolated rather than fitted from observed instruments.
modified_extreme_oas_var_check	Not documented by the provider; definition requested.

Coverage

Dataset	Span	Notes
Composite Bond Prices (all three)	2012-01-03 to present	Daily 6 pm ET snapshots; approximately 18 trading days in mid-2022 are absent from the source archive
Corporate Credit Curves	2021-01-04 to 2025-06-30	Static historical archive — the provider's corporate curve delivery ends June 30, 2025
Sovereign Credit Curves	2021-01-04 to present	Roughly 119 sovereign and government issuers through June 2025; the U.S. Treasury curve continues daily thereafter

Fields introduced in the provider's 2026 file restructure (legal-entity identifier, coupon type, mid-side quotes, price-change fields, is_close, duration, and convexity) are NULL for composite history before 2026, and two legacy fields (quote_count_60, bonddroid_special_flag) end after 2025. Curve identifiers (curve_tick_timestamp, curve_id) introduced in the provider's 2025 restructure are NULL for most earlier curve history. All five datasets refresh weekly on Dewey.

Methodology

BondDroid, 7 Chord's market data aggregation engine, anonymizes and distills bond market observations — trade prints, quotes, and related market signals — into composite bid, ask, and mid prices using an ensemble of machine-learning experts; each snapshot row carries the ensemble's diagnostics, including the top expert's weight, method, and training window, the dispersion of expert predictions, and the event that triggered the update. Issuer credit curves are fitted daily from these composite prices, solving for a term structure of option-adjusted spreads and survival (hazard) rates per legal entity, with curve-quality diagnostics on every row. Issuers are classified using NAICS 2017 industry and sector taxonomies, ISO 3166 countries of risk, and World Bank regions.

Additional Notes

This documentation is maintained at the data product level: the five member datasets are versioned and refreshed together, and schema or coverage changes to any of them are recorded against this page. Benchmark CUSIP and ISIN identifiers are excluded from the delivery (a CUSIP Global Services license is required for those identifier systems); FIGI identifiers are included. A small number of curve fit-diagnostic fields are marked "definition requested" pending provider documentation. The companion Fixed Income and Money Markets product from the same provider carries the benchmark rate series (federal funds, SOFR, commercial paper, LIBOR) referenced by these instruments.