Snapshot

General

By Sector

Credit Risk

Index Breakdown and Methodology

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Argentina Corporate Z-Spread Index Monitor

This dataset includes JP Morgan daily EMBI spreads for Latin America. The information is also reported as an average of 30 consecutive days

Emerging Markets Bond Index (EMBI)

J.P. Morgan Chase & Co. (JPM) is a multinational investment bank and financial services company headquartered in the United States. It is one of the largest banks in the world, offering a wide range of financial products and services to individuals, businesses, and governments, including investment banking, asset management, wealth management, and retail banking. JPM operates in over 100 countries and has a strong presence in key financial markets globally, including the United States, Europe, and Asia.

J.P. Morgan Chase & Co. (JPM)

Guido Schiavi

Daily credit-spread indices for Argentine **hard-dollar corporate bonds** (USD-denominated, fixed-rate *obligaciones negociables*), measured as the
  **z-spread** over the US Treasury zero curve, in basis points. Four indices partition the market: **General = Energía + Bancos + Otros**. One row per
  business day per sector since Jan-2024 (Bancos since Jan-2025).

  **Spread headlines** — `z_mvtrue_bps` (market-value weighted, the market reference), `z_med_bps` (median; robust, and the headline for 2024 deep history),
  `z_iss_bps` (equal-per-issuer). `z_chain_idx` (base 100) isolates pure spread *moves*, free of constituent changes.

  **Analytics** — total-return index (`tr_idx`), modified and spread duration (`dur_mod_yrs`, `sdur_yrs`), DTS (`dts_pct`), spread volatility in bps/day
  (`vol_chain_bps`), average dirty price, remaining life, bond/issuer counts, and risk-quality signals (`distress_pct`, `top_bond_pct`/`top_issuer_pct`,
  `carried_pct`, `quality_flag`).

  **Method** — monthly-rebalanced basket; one quotation line per bond (MEP priority); market-value caps of 40% per bond and 50% per issuer; 5/95
  winsorization. Published history is frozen: dates older than ~2 months are final and never silently revised. Recomputed daily.

Argentina Corporate Credit Spreads Indexes

This repository includes the price, volume, cashflows and metadata of Argentinian Fixed instruments assets

Alphacast Argentina Fixed Income Data

**Argentina Corporate Credit Spreads — Index Constituents**

Daily constituents (holdings) of the Argentine corporate USD z-spread indices: one row per bond per day, for every bond that enters the index calculation, with the index weight, the quotation line used and the day's metrics. Companion to the index dataset (Argentina Corporate Credit Spreads).

**Key columns**

- **`symbol`** — ticker of the quotation line actually used that day. Falls back to the ISIN (`alphacast_id`) for the ~1% of bonds without a match in the ticker master.
- **`linea`** — line used: `D` (MEP dollars) / `O` (pesos) / `C` (cable).
- **`weight_general_pct` / `weight_sector_pct`** — the bond's weight (%) in the General index and in its sector index. Market-value weighted with the index caps (40% per bond, 50% per issuer); each sums to 100% per index per day. Blank when the bond has no fresh price/market value that day (it still belongs to the index for the median and equal-issuer series).
- **`contrib_general_bps`** — the bond's contribution to the General market-value spread (`z_mvtrue`); the daily sum equals `z_mvtrue`. It uses the index's **winsorized** (5/95-clipped) spread, so for extreme-spread (distressed) names `contrib` is **not** `weight × z_bps` — the spread is capped at the 95th percentile, exactly as in the published headline. This is why a distressed bond's contribution looks smaller than its raw spread would imply.
- **`z_bps`** — the bond's raw z-spread, before winsorization.
- **`chg_z_1d_bps`** — daily change in the bond's z-spread (computed only between consecutive trading days for that bond).
- **`is_new`** — 1 if the bond entered at the current month's rebalance (was not a constituent the previous calendar month).
- **`irr_pct`, `ttm_yrs`, `dur_mod`, `sdur`, `price`, `mv`, `carried`** — the bond's day metrics: yield, remaining life (years), modified duration, spread duration, dirty price, market value, and whether the day's value is carried/stale (no fresh quote).

Weights and contributions reproduce the published index exactly. Recomputed daily.

Argentina Corporate Z-Spread Index Monitor

Sources

Emerging Markets Bond Index (EMBI)J.P. Morgan Chase & Co. (JPM)

Argentina Corporate Credit Spreads IndexesAlphacast Argentina Fixed Income Data

Argentina Corporate Credit Spreads Indexes ConstituentsAlphacast Argentina Fixed Income Data