Below you’ll find the data schema/data dictionary for 7 Chord’s BONDROID data available on the Dewey platform.
| FIELD TYPE | FIELD | FIX TAG | DESCRIPTION | FORMAT | UNIT | FREQUENCY OF UPDATES |
|---|---|---|---|---|---|---|
| Issuer | ticker | Symbol | BondDroid® ticker symbol of the issuer. Where possible, it is kept consistent with the stock ticker of the issuer’s ultimate parent. | String | End of Day (T-1) | |
| Issuer | ultimate_parent_name | UltimateParentName | 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. | String | End of Day (T-1) | |
| Issuer | issuer_name | IssuerName | The full legal name of the obligor. | String | End of Day (T-1) | |
| Issuer | issuer_LEI | IssuerLEI | 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. See www.gleif.com for more info. | String | End of Day (T-1) | |
| Issuer | bonddroid_industry | BondDroidIndustry | Issuer industry. NAICS 2017 taxonomy applied to the US and Global Issuers. This field corresponds to the NAIC 2017 5-digit industry code. See NAICS has moved! | String | End of Day (T-1) | |
| Issuer | bonddroid_sector | BonddroidSector | Issuer sector. NAICS 2017 taxonomy applied to the US and Global Issuers. This field corresponds to the NAIC 2017 2-digit sector code. See NAICS has moved! | String | End of Day (T-1) | |
| Issuer | country_of_risk | CountryOfRisk | 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. The naming convention follows ISO 3166 international standard. | String | End of Day (T-1) | |
| Issuer | region | Region | World Bank Region based on the issuer’s country of risk. See www.data.worldbank.org | String | End of Day (T-1) | |
| Bond T&C | bond_description | BondDescription | Bond Description is a combination of a ticker, coupon and maturity. | String | T+Coupon+Maturity (MM/DD/YYYY) | End of Day (T-1) |
| Bond T&C | CUSIP | SecurityID | 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. CGS license is required. www.cusip.com | String | End of Day (T-1) | |
| Bond T&C | ISIN | AltSecurityID | A 12-character alphanumeric code that serves for uniform identification of a security through normalization of the assigned National Number, where one exists. CGS license is required. www.cusip.com | String | End of Day (T-1) | |
| Bond T&C | FIGI | Figi | A FIGI (Financial Instrument Global Identifier) is a globally recognized, non-changing open source identifier created by Bloomberg. www.openfigi.com | String | End of Day (T-1) | |
| Bond T&C | bonddroid_instrument_ID | BonddroidId | A 7-digit unique instrument identifier assigned by BondDroid. | String | End of Day (T-1) | |
| Bond T&C | coupon | CouponRate | The annual interest rate that the bondholder receives from the bond’s issue date until maturity. | Big Decimal (32,26) | Actual | End of Day (T-1) |
| Bond T&C | 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 | String | End of Day (T-1) | ||
| Bond T&C | maturity | MaturityDate | The date on which the principal amount of a bond is to be paid in full. | Integer | End of Day (T-1) | |
| Bond T&C | currency | Currency | The ISO currency in which the bond issue is denominated. | String | End of Day (T-1) | |
| Bond T&C | issue_date | IssueDate | The calendar date on which the instrument was first made available to the market. | Integer | End of Day (T-1) | |
| Bond T&C | t_benchmark | TreasuryBenchmark | The description of the US Treasury issue most frequently used to hedge interest rate exposure the bond. | String | T+Coupon+Maturity (MM/DD/YYYY) | End of Day (T-1) |
| Bond T&C | t_benchmark_CUSIP | BenchmarkSecurityID | 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. CGS license is required. | String | End of Day (T-1) | |
| Bond T&C | t_benchmark_ISIN | BenchmarkSecurityIsin | A 12-character alphanumeric code that serves for uniform identification of a security through normalization of the assigned National Number, where one exists. CGS license is required. | String | End of Day (T-1) | |
| Bond T&C | t_benchmark_FIGI | BenchmarkSecurityFigi | A FIGI (Financial Instrument Global Identifier) is a globally recognized, non-changing open source identifier created by Bloomberg. www.openfigi.com | String | End of Day (T-1) | |
| Bond T&C | market_segment | SecuritySubType | BondDroid® market segment. Possible Values include: DM Corporate DM Sovereign, EM Corporate, EM Sovereign, Supranational |
String | End of Day (T-1) | |
| Liquidity | avg_daily_trade_count_60 | AverageDailyTradeCount | The average number of times this bond traded in the past 60 business days. | Big Decimal (32,26) | End of Day (T-1) | |
| Liquidity | times_traded_60 | TimesTraded | The number of times this bond traded in the past 60 business days. | Big Decimal (32,26) | End of Day (T-1) | |
| Liquidity | time_since_last_trade | TimeSinceLastTrade | Number of hours since this bond traded. Possible values: 0-24, 24-48, 48-72, 72+. | String | End of Day (T-1) | |
| Prediction | seq_id | SequenceID | Identifies and provides chronological ordering for each OAS signal. In combination with the instrument_ID, it uniquely identifies a set of OAS signals. | String | Streaming | |
| Prediction | tick_id | TickID | 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. | String | Streaming | |
| Prediction | rates_timestamp | MDEntryDate & MDEntryTime* | 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. | Date | Date and Time (UTC). Excel API and UI show local time | Streaming |
| Prediction | signal_timestamp | MDEntryDate & MDEntryTime | The date and time when OAS prediction was generated. | Date | Date and Time (UTC). Excel API and UI show local time | Streaming |
| Prediction | bid_oas | OASSpread | Option Adjusted Spread level at the Bid side of the market. | Big Decimal (32,26) | Basis points | Streaming |
| Prediction | ask_oas | OASSpread | Option Adjusted Spread level at the Ask side of the market. | Big Decimal (32,26) | Basis points | Streaming |
| Prediction | bid_price | MDEntryPx | Price at the Bid side of the market. | Big Decimal (32,26) | Percentage of Par | Streaming |
| Prediction | ask_price | MDEntryPx | Price at the Ask side of the market. | Big Decimal (32,26) | Percentage of Par | Streaming |
| Prediction | bid_yield | YieldToMaturity | Yield at the Bid side of the market. | Big Decimal (32,26) | Actual | Streaming |
| Prediction | ask_yield | YieldToMaturity | Yield at the Ask side of the market. | Big Decimal (32,26) | Actual | Streaming |
| Prediction | bid_sot | SpreadOverTreasury | Spread-over-Treasury at the Bid side of the market. | Big Decimal (32,26) | Basis points | Streaming |
| Prediction | ask_sot | SpreadOverTreasury | Spread-over-Treasury at the Ask side of the market. | Big Decimal (32,26) | Basis points | Streaming |
| Transparency | trigger_timestamp | TriggerTimestamp | The date and time when BondDroid receives an input data point which triggers an OAS update. | Big Decimal (32,26) | Date and Time (UTC). Excel API and UI show local time | Streaming |
| Transparency | trigger_type | TriggerType | The type of event that triggered an OAS update, for example, a TRACE print. | String | Streaming | |
| Close | dos_oas_bid | DayOverSignal | The % change in Bid OAS since the previous business day’s close. | Big Decimal (32,26) | Actual | With Signal |
| Close | dos_oas_ask | DayOverSignal | The % change in Ask OAS since the previous business day’s close. | Big Decimal (32,26) | Actual | With Signal |
| Close | is_close | IsClose | End-of-Day flag represents tick updates immediately after 3:59 PM ET & 5:59 PM ET. | String | ||
| Close | sos_oas_bid | SignalOverSignal | The % change in Bid OAS since the last signal. | Big Decimal (32,26) | Actual | With Signal |
| Close | sos_oas_ask | SignalOverSignal | The % change in Ask OAS since the last signal. | Big Decimal (32,26) | Actual | With Signal |
| Risk | duration_mid | Duration | 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. | Big Decimal (32,26) | Signal & Periodic | |
| Risk | convexity_mid | Convexity | 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. | Big Decimal (32,26) | Signal & Periodic |