MTS Time Series Data

Cross Sectional Data

The cross sectional file identifies the salient characteristics of each bond in the database. Variables are included in the cross-sectional file if the information contained in the variable does not change frequently. To handle updates of infrequently changing variables we include the effective date for each entry. Moreover, the same bond may trade on alternative venues, for example bonds that have acquired the Euro benchmark status may trade on both the domestic and the European market. Therefore it is possible for a single bond (i.e. the same bond code) to have several entries, one for each update in the value of one of the variables as indicated by a new reference date or because the bond traded in multiple markets as indicated by different market codes. Each entry includes the bond’s ISIN, a unique code for each bond in the MTS database, and a text abbreviation of the bond’s type. These two variables serve as a master link to all other files so that this cross sectional information can be linked up to the daily cash and repo time series and intra-day data.

For further detailed information on this dataset including parameters of each variable, please see the MTS Time Series Data Definition File.

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