Historical Spread (BMK_SPD) download per unique ISIN

student4.student
student4.student
in Eikon Data APIs

I have a list of bond ISINs for which I require historical spread data. My current approach is to use ek.get_data to obtain 'Bond RIC' and then use rdp.get_historical_price_summaries for each single instrument.

My questions are:

1. Why are some Bond RICs not unique per ISIN? E.g. FR0010678185 and FR0010695171 have the same Bond RIC 'FR00140046Y4=JFTW'.

Is there another specific Bond identifier that is unique and better geared for my purposes? Or maybe even a way to get historical spreads directly using ISINs?

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Best Answer

  • dawid.szroeder
    dawid.szroeder
    Answer ✓

    Hi again

    First of all you can use ISIN directly in ek.xx or rdp.xxx functions, and the former will allow you to retrieve the data for multiple instruments (provide the instruments as a list):


    df,err = ek.get_data(instruments = ["XS0185540621"], fields = "TR.BenchmarkSpread",

    parameters = {'SDate':"20200101", "EDate":"20220101"})

    df


    Hope that helps

    Best

    Dawid

Answers

  • dawid.szroeder
    dawid.szroeder

    Hi!

    This is a very specific situation you are mentioning here, the bonds are actually unique, but fungible (meaning almost all T&C details are shared, but the differences are in Issue Price and/or Issue Date). ISIN is a good way to go to distinct the instruments.

    Best

    Dawid

  • student4.student
    student4.student

    Thanks Dawid, very helpful. Do you mind answering the other question I stated above:

    - Is there a better way to get historical spreads of bonds than using rdp.get_historical_price_summaries?

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