Research Guides: Finance: Commercial Loans, Bonds & Interest Rates

Federal Reserve Resources

FRED - St. Louis Federal Reserve
Best source for US Government securities data.
FRASER - St. Louis Federal Reserve
Federal Reserve Archival System for Economic Research (FRASER).
Source for historic rates on government securities
NY Fed Primary Dealer Statistics
Primary dealers report weekly on their trading activities, as well as on cash, and financing market positions in Treasury and other securities including federal agency and government sponsored enterprise securities, mortgage-backed securities, corporate securities, repurchase agreements, and reverse repurchase agreements.

Commercial Loans

Capital IQ This link opens in a new window
Has loan-level individual commercial loan transaction data. However, it's difficult to build a dataset of corporate loans using Capital IQ
Restricted to academic research by Princeton University faculty and students. Available on the workstations located near Firestone A-13-J.
Wharton Research Data Service (Princeton only) This link opens in a new window
Dealscan in WRDS. Dealscan has information on the global commercial loan market. These transactions finance M&A activity, working capital needs and other general corporate purposes for loan participants world-wide. Sources include regulatory filings, bank submissions and journalist contributions. Records can be linked to Compustat using the Roberts Dealscan-Compustat Linking Database. For more on this technique, see Chava, Sudheer, and Michael R. Roberts, 2008, How Does Financing Impact Investment? The Role of Debt Covenants, Journal of Finance 63, 2085-2121.
Requires user to validate through password (request may take up to 48 hours and is for academic purposes at Princeton University only; undergraduates request a research assistant account and list your adviser as your faculty member).

Bond Data - Domestic and International

Bloomberg (Princeton only) This link opens in a new window
contains up to date as well as historical (though generally not before 1989) international data on indices and bonds (corporate, governmental, and municipal).Bloomberg has many individual corporate and governmental bonds and bond indices.

Downloads are limited

Location based service - A Level Firestone
Firestone Library, Firestone Library, A Floor (RIS Suite). Restricted to academic research by Princeton University faculty and students.
Capital IQ Credit Ratings This link opens in a new window
Also know as Standard & Poor’s Ratings Services Credit Ratings on Xpressfeed via Wharton Research Data Services (WRDS)). 9,000 global issuers including corporates, financial institutions and insurance companies; 600 sovereign, international public finance and government entities; 11,000 structured finance transactions including asset-backed, commercial mortgage-backed and residential mortgage-backed securities and collateralized debt obligations. Historical data for global issuers and structured finance data is available back to 1922; public finance data is available back to 2007. Available through WRDS. Requires user to validate through password.
CRSP (Center for Research in Securities Prices). This link opens in a new window
includes United States governmental bonds (daily and monthly frequency) back to 1925. Available through WRDS. Updated quarterly.
Restricted to academic research by Princeton University faculty and students.
CSMAR China Bond Market Research Database This link opens in a new window
Includes Chinese treasury, enterprise, corporate, convertible, and REPO bonds.
Fixed Investment Securities Database This link opens in a new window
Produced by Mergent, Inc. Provides issue detail on over 140,000 Corporate, Corporate MTN (Medium Term Note), Supranational, U.S. Agency and U.S. Treasury debt securities since 1995. Specific issue information available: Full call, put and sinking fund schedules, plus call frequency codes, Structured security flags and detailed information, Updated Fitch, Moody's and S&P credit ratings, U.S. Treasury auction information, Convertible debt information, Underwriters, trustees and fiscal agents, Unit deals and warrant information. Specific issuer information available: Industry code, S.I.C. code and N.A.I.C.S. code, Stock ticker and exchange listings, Issuer name and parent relationships, bankruptcy detail. Available through WRDS.
Global Financial Data This link opens in a new window
Includes long-term data on corporate bond indices. Methodology and sources are documented
Restricted to academic research by Princeton University faculty and students.
Global Public Finance (SDC) This link opens in a new window
Available on the workstations located near Firestone A-13-J. Municipal Bonds and sub-sovereign public finance offerings. Varies
Firestone Library - A Floor (RIS Suite). Restricted to academic research by Princeton University faculty and students.
Global Insight This link opens in a new window
covers governmental bonds and many international bond indexes
GovPX This link opens in a new window
Treasury benchmark intraday prices for all active and off the run treasury issues - Includes intra day pricing
Restricted to academic research by Princeton University faculty and students.

Mergent Municipal Bond Data
The database includes municipal bonds from the 1950’s, 1960’s, 1970’s, etc – there are even some 100 year bonds from the 1800s in the database. However, the largest collection of bonds is from the 1990’s forward.

Mergent Archives This link opens in a new window
Mergent Bond Record provides Moody's bond data on municipals, corporate bonds, government bonds, international bonds, convertibles, and various short term instruments. Includes charts for rating revisions, maturities, and redemptions

Monthly Statement of the Public Debt
Data back to 1869

MSRB - Municipal Securities Transaction Data This link opens in a new window
Collects and makes publicly available through its Electronic Municipal Market Access (EMMA). The trades represent transactions by investors and dealers in the over-the-counter market for municipal securities issued by municipal entities, including states, counties, cities and special tax districts. Available through WRDS. Requires users to validate through password (undergraduates request a research assistant account and list your adviser as your faculty member). 2005+
Refinitiv Workspace This link opens in a new window
Contains up to date as well as historical international data on bonds, and interest rates (minimum frequency tends to be daily). Divides its bonds into 2 sections: bonds coming directly from a country and those covered by other organizations such as JP Morgan, Lehman Brothers, Merrill Lynch, and Societe Generale. Brady bonds and credit default swaps are included. Select corporate as well as governmental bonds (included under interest rates) are included. Datastream is now Refinitiv

Location based service - Available in Firestone
Standard & Poor's Credit Ratings Express This link opens in a new window
Provided a history of short and long term commercial credit and corporate bond ratings at both the issuer/entity and issue/instrument levels. This set also includes Credit Watch and Credit Outlook information. The issuer ratings data started in 1923 and covered more than 20,000 public and private firms through 2012. In addition, information for more than 200,000 distinct credit instruments started in 1969 and ended in 2012. Available through WRDS. Requires user to validate through password (undergraduates request a research assistant account and list your adviser as your faculty member).
S&P Global NetAdvantage This link opens in a new window
Industry surveys, reports for stocks, bonds, and mutual funds, business biographies, financial forecasts.

TRACE
(OTC Corporate Bond and Agency Debt Bond Transaction Data)** (Trade Reporting and Compliance Engine) NASD's over-the-counter (OTC) corporate bond market real-time price dissemination service. Introduced in July of 2002, TRACE consolidates transaction data for all eligible corporate bonds - investment grade, high yield and convertible debt. As a result, individual investors and market professionals can access information on 100 percent of OTC activity representing over 99 percent of total U.S. corporate bond market activity in over 30,000 securities. The information collected and disseminated for all publicly traded corporate bonds by TRACE includes the time of execution, price, yield, and volume. Available through WRDS. Use the Bond CRSP Link to link corporate bonds to stocks.

Librarian

Barbara Coffey

Email Me

Contact:

Firestone A-12-J-1

609-258-3531

Subjects: Finance, Financial Engineering, Operations Research