Top Liquid Bond Prices & Liquidity Indicators
Overview
Professional grade feed of intraday bid-ask prices, spreads, and liquidity indicators for the most liquid USD-denominated High Grade, High Yield, and EM Sovereign bonds, enriched with market consensus T-benchmarks and essential bond and issuer information.
7 Chord produces an intraday feed of bid-ask prices, spreads, and liquidity indicators for nearly 20,000 USD-denominated High Grade, High Yield, and EM Sovereign bonds. 7 Chord generates these predictions using BondDroid®, a proprietary AI system that predicts trade bid and ask levels. It uses a unique approach designed to deliver accuracy across different market regimes, issuer credit quality, and instrument life cycles. BondDroid® deploys over 400 pricing bots — each representing a unique trading persona.
If you're using the API to consume this product, the data is partitioned by the following attribute:
Rates Timestamp: The date and time 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 to clients. Ticks approximately every 20 seconds on the Excel API and every minute on FIX.
| Data Information | Value |
|---|---|
| Refresh Cadence | Daily |
| Historical Coverage | September 2020-Present |
| Geographical Coverage | Global |
Schema
| Name | Description |
|---|---|
| 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. 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 the ISO 17442. Legal Entity Identifier (LEI) connects to key reference information that enables clear and unique identification of legal entities. |
| BONDDROID_INDUSTRY | Issuer industry. NAICS 2017 taxonomy applied to the US and Global Issuers. This field corresponds to the NAIC 2017 5-digit industry code. |
| BONDDROID_SECTOR | Issuer sector. NAICS 2017 taxonomy applied to the US and Global Issuers. This field corresponds to the NAIC 2017 2-digit sector code. |
| COUNTRY_OF_RISK | BondDroid® issuer country of risk assigned based on a number of factors: 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. |
| REGION | World Bank Region based on the issuer's country of risk. |
| BOND_DESCRIPTION | Bond Description is a combination of a ticker, coupon and maturity. |
| FIGI | A FIGI (Financial Instrument Global Identifier) is a globally recognized, non-changing open source identifier created by Bloomberg. |
| BONDDROID_INSTRUMENT_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 that the bondholder receives from the bond issue date until the maturity date. Possible values: Fixed Coupon, Floating Coupon, Fixed Coupon Paid at Maturity, Zero Coupon, Hybrid Coupon, Floating Rate Stepper, Fixed Rate Stepper |
| MATURITY | The date on which the principal amount of a 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 the bond. |
| T_BENCHMARK_CUSIP | A 9-digit numeric or nine-character alphanumeric code that identifies a North American financial security for the purposes of facilitating clearing and settlement of trades. |
| T_BENCHMARK_ISIN | A 12-character alphanumeric code that serves for uniform identification of a security through normalization of the assigned National Number, where one exists. |
| T_BENCHMARK_FIGI | A FIGI (Financial Instrument Global Identifier) is a globally recognized, non-changing open source identifier created by Bloomberg. |
| MARKET_SEGMENT | BondDroid® market segment. Possible Values include: DM CorporateDM Sovereign, EM Corporate, EM Sovereign, Supranational |
| AVG_DAILY_TRADE_COUNT_60 | The average number of times this bond traded in 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 | Number of hours since this bond traded. Possible values: 0-24, 24-48, 48-72, 72+. |
| SEQ_ID | Identifies and provides chronological ordering for each OAS signal. In combination with the instrument_ID, it uniquely identifies a set of OAS signals. |
| TICK_ID | Tick ID = Sequence ID + 'T' + tick update counter. Tick ID identifies and provides chronological ordering for each tick update for the Price, Yield and SOT and links it with the underlying OAS signal. |
| RATES_TIMESTAMP | The date and time 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 to clients. |
| SIGNAL_TIMESTAMP | The date and time when OAS prediction was generated. |
| BID_OAS | Option Adjusted Spread level at the Bid side of the market. |
| ASK_OAS | Option Adjusted Spread level at the Ask side of the market. |
| BID_PRICE | Price at the Bid side of the market. |
| ASK_PRICE | Price at the Ask side of the market. |
| BID_YIELD | Yield at the Bid side of the market. |
| ASK_YIELD | Yield at the Ask side of the market. |
| BID_SOT | Spread-over-Treasury at the Bid side of the market. |
| ASK_SOT | Spread-over-Treasury at the Ask side of the market. |
| TRIGGER_TIMESTAMP | The date and time when BondDroid receives an input data point which triggers an OAS update. |
| TRIGGER_TYPE | The type of event that triggered an OAS update, for example, a TRACE print. |
| ERROR_MEDIAN_OAS_30 | ERROR_MEDIAN_OAS_30 |
| 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. |
| IS_CLOSE | End-of-Day flag represents tick updates immediately after 3:59 PM ET & 5:59 PM ET. |
| SOS_OAS_BID | The % change in Bid OAS since the last signal. |
| SOS_OAS_ASK | The % change in Ask OAS since the last signal. |
| DURATION_MID | Modified duration of a bond that measures its sensitivity to a 1 bp parallel shift of the US Treasury rate curve. Duration_mid is calculated by fully repricing the bond to match the most recent mid signal price, assuming a $1,000 face value. |
| CONVEXITY_MID | Modified convexity of a bond that measures its curvature in the relationship between bond prices and bond yields. Convexity_mid is calculated by fully repricing the bond to match the most recent bid signal price, assuming a $1,000 face value. |
Key Concepts
Historical and Present Datasets
You can access all data from September 2020 to October 2023 in the table marked historical and the data after October 2023 in the table marked present. The only distinction between the two products is the time frame available.
Updated about 1 month ago