2.3.3 infra_debt_comparable

Purpose
Perform a comparable computation for private infrastructure debts. This involves finding data points which have similar TICCS classifications and factor values, and averaging the metric values.

Parameters

• metric (string, required):
  The metric for which the comparable has to be evaluated.
  Supported metrics include: "CreditSpread", "Ytm".

• currency (string, optional):
  The currency of monetary factor inputs such as face value.
  Supported currencies are: "AUD", "CAD", "EUR", "GBP", "JPY", "LCU", "USD". Default value is "USD" if omitted.

• age_in_months (int, optional):
  The age of the company in months, and the value should be between 24 and 240. Note that the computation extends 6-month before and after the specified age. For instance, 24 would indicate inclusion of companies of age between 18-month and 30-month.
  If this parameter is set, end_date and window_in_years will be ignored.

• end_date (date, optional):
  The maximum date of the comparable dataset.

• window_in_years (float, optional):
  The window in years of the comparable dataset. The minimum date of the dataset is calculated as end_date - window_in_years.

• industrial_activities (list of strings, optional):
  List of industrial activity TICCS codes. See https://docs.sipametrics.com/docs/industrial-activities for the complete definitions.
  Acceptable values include: "IC10", "IC2010", "IC302010".

• business_risk (string, optional):
  Business risk TICCS code. See https://docs.sipametrics.com/docs/business-risk for the complete definitions.
  Supported values include: "BR1", "BR2", "BR3".

• corporate_structure (string, optional):
  Corporate structure TICCS code. See https://docs.sipametrics.com/docs/corporate-structure for the complete definitions.
  Supported values include: "CS1", "CS2".

• countries (list of strings, optional):
  List of country ISO codes. Values can be obtained by referring to https://docs.sipametrics.com/docs/2-3-9-sipametrics-countries.

• face_value (string, optional):
  Face value of assets, represented either as an absolute value in millions of the specified currency (e.g., “USD”, “EUR”) or as a quintile value.
  Acceptable numerical values: 5.6 (represents 5.6 million).
  Supported quintile values include: "Q1", "Q2", "Q3", "Q4", "Q5".

• time_to_maturity (string, optional):
  Years until maturity. Represented as either a numerical value (e.g., "10 years") or as a bucket.
  Acceptable numerical values: Any, e.g. 10 (represents 10 years).
  Acceptable bucket values include:

  • "T1": 0-5 (years)

  • "T2": 5-10 (years)

  • "T3": 10-15 (years)

  • "T4": 15-20 (years)

  • "T5": 20+ (years)

• factor_weight (float, optional):
  A numeric value between 0 and 1. At the extremes, 1 indicates that comparables are purely based on factors, while 0 indicates that comparables are purely based on TICCS. Values between 0 and 1 create a weighted average between the two.

• intersect_ticcs (boolean, optional):
  Intersect or union the TICCS filters when doing the calculation. Default is False.

Example 1: Quintile

response = await service.infra_debt_comparable(
    metric="CreditSpread",
    # age_in_months=None,
    end_date=datetime.date(2023, 10, 31),
    window_in_years=2,
    industrial_activities=["IC10"],
    business_risk="BR1",
    corporate_structure="CS1",
    countries=["AUS", "NZL"],
    face_value="Q1",
    time_to_maturity="12",
    # factor_weight=None,
    # intersect_ticcs=False,
)

#Sample Response
# {
#   "data": {
#     "results": {
#       "mean": 1.5276667025357784,
#       "q1": 0.964006358813059,
#       "median": 1.558579642105201,
#       "q3": 1.9984702571566242,
#       "datumCount": 591,
#       "companyCount": 52,
#       "min": 0.829100392369822,
#       "max": 2.743454885675988,
#       "p5": 0.8456473908469195,
#       "p95": 2.4901071778963746
#     }
#   }
# }

Example 2: Absolute value

response = await service.infra_debt_comparable(
    metric="creditSpread",
    # age_in_months=None,
    end_date=date(2023, 10, 31),
    window_in_years=2,
    industrial_activities=["IC10"],
    business_risk="BR1",
    corporate_structure="CS1",
    countries=["AUS", "NZL"],
    face_value=20,
    time_to_maturity=7,
    # factor_weight=None,
    # intersect_ticcs=False,  
)

#Sample Response
# {
#   "data": {
#     "results": {
#       "mean": 1.5276667025357784,
#       "q1": 0.964006358813059,
#       "median": 1.558579642105201,
#       "q3": 1.9984702571566242,
#       "datumCount": 591,
#       "companyCount": 52,
#       "min": 0.829100392369822,
#       "max": 2.743454885675988,
#       "p5": 0.8456473908469195,
#       "p95": 2.4901071778963746
#     }
#   }
# }