WRDS Corporate Bond Database - onetomapanalytics/Meta_Data GitHub Wiki

WRDS Corporate Bond Database

General description

  1. Database primary purpose - To allow researchers to easily and effectively use a comprehensive source of corporate bond information. It is composed by three major components: (1) cleaned corporate bond transaction data (“cleaned” bond transaction data for both Trace Enhanced and Trace Standard data), (2) individual corporate bond return (report returns calculated using both “clean” and “dirty” bond prices, as well as various other transaction-based characteristics, such as volume, yield, and spread), and (3) bond CRSP linking table (linkage between bond data to equity data provided by CRSP)
  2. Overall data type - Economics
  3. Dataset type - Longitudinal
  4. Data source - Registry
  5. Data level - Hospital level
  6. Geographic location of the data collection sites - 500+ institutions in 38 countries
  7. Sponsor, manager, or home institution - Wharton Research Data Services
  8. Date range - 2002 - 2017
  9. Dates - The dates the issue was originally offered, the issue's principal is due for repayment, the last interest payment date, when the next coupon is due, and date on which the issue was reinstated
  10. Hospital identifiers - CUSIP ID, Bloomberg Identifier
  11. Longitudinal tracking - Track providers (see Hospital identifiers above)
  12. Financial variables - Offering amount, price as a percentage of par at which the issue was originally sold to investors, current applicable annual interest rate, total dollar volume, numerical Fitch rating, rating category
  13. Clinical areas of interest - all
  14. Number of records - TRACE Enhanced Raw Data as of September 2016: 145,720,692
  15. Variables that are uniquely present in this dataset - A unique cleaned database for US Corporate Bond research. It incorporates two feeds: FINRA’s TRACE (Trade Reporting and Compliance Engine) data for bond transactions, and Mergent FISD data for the bond issue and issuer characteristics
  16. Database caveats and limitations - As the records are self‐reported by bond dealers, errors are anticipated in the data. When filers realize that a mistake was made in the filing, TRACE allows them to file a new trade report to correct the mistake. These correction reports can be filed the same day as the original report, or they can be filed days later. The three most common types of errors in trade reports are: (1) Cancellation (voids a previous same‐day trade report and does not replace it with updated information), (2) correction (voids a previous same‐day trade report and replaces it with updated information, (3) reversal (voids a previous trade report, filed earlier than the reversal filing date, and replaces it with updated information)

Data dictionary

To access WRDS Corporate Bond Database, click here

Variable categories

  1. Flags (e.g., convertible, preferred, indicating that the issuer is in default of the terms of this issue or whether the issue was reinstated and consequently is no longer in default)
  2. Ratings (e.g., class, category, numerical, Fitch rating, Moody rating)
  3. Bond Types (e.g., convertible, debenture, medium-term note, MTN zero)
  4. Amount (e.g., offering and principal amount, total par-value, and dollar volume)

Linkage to other datasets

  • Linkages can be established for any dataset that might have CUSIP ID or Bloomberg Identifier

  • The WRDS Bond Database includes a data package that enables a linkage between the corporate bond data and the equity data issued by the same company.

  • One can create links between the following databases on the WRDS platform: CRSP to Compustat, IBES to CRSP, OptionMetrics to CRSP, Daily TAQ to CRSP, BoardEx to CRSP/Compustat