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Finding and using financial data at Princeton University

Government and Municipal Bonds

For United States government bonds and treasury bills, the easiest way to obtain interest rates is through the Federal Reserve.

Global Financial Data contains long-term data on bonds and interest rates. Methodology & sources are documented.

Global Insight * contains interest rates & government bond yields.

Fixed Investment Securities Database** 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. Does not include municipals.

Mergent Municipal Bonds Database. Provides information on United States domestic municipal bonds beginning in 1996. Covers municipal issues from all 50 states including bonds issued by states, counties, and cities as well as other municipal entities such as hospitals, community colleges, schools, water districts, and other similar entities. Provides information about the bond issue and the individual bonds within each bond issue, including the underwriter, bond yield, offering price, offering date, maturity, and other bond characteristics (e.g., taxable, security, use of proceeds, sale type, refunding). It also includes information on credit ratings at issuance and throughout the life of the bond from S&P, Moody’s, and Fitch. Provides information at the bond issue level (issue_id) and at the bond level using the maturity_id. Each bond has a maturity_id and issue_id that allows for matching across tables within the Mergent dataset. The full 9-digit CUSIP for each bond is also provided. Provides some coverage for geographic areas outside of the 50 states (e.g., Puerto Rico and the Virgin Islands), covers some bonds issued prior to 1996, and includes some debt instruments other than public bonds (e.g., collateralized notes, certificates of obligation, construction loan notes). However, the extent of coverage for these additional geographic areas, offering dates, and debt instruments is unknown, suggesting that researchers exercise caution before using these data.  Data is through February 19, 2021.

Capital IQ Credit Ratings**(Standard & Poor’s Ratings Services Credit Ratings on Xpressfeed via Wharton
Research Data Services (WRDS)).  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.

GovPX** provides treasury benchmark intraday prices for all active and off-the-run Treasury issues. Available from 1991 to the present with access to key data elements such as high, low, open, work-ups, volume, and more. Available through WRDS.

MSRB - Municipal Securities Transaction Data.**  As the primary regulator of the municipal security market, the MSRB 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. 2005+.

EMMA: Electronic Market Municipal Accessmakes available copies of official statements, preliminary official statements and advance refunding documents submitted to the Municipal Securities Rulemaking Board (MSRB) by broker-dealers and banks that underwrite new issues of municipal securities. Also makes available copies of continuing disclosure documents submitted to the MSRB by municipal issuers and other obligors on municipal securities. In general, such documents are created by such municipal issuers with the assistance of a number of other parties. Look ups are one by one.

Federal Reserve Bank of New York. 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. This information is reported from 1998 to the present.
 

Datastream* has governmental bonds (included under interest rates). Brady bonds and credit default swaps are included. Available on the workstations located near Firestone A-13-J. Part of Refinitiv Workspace.

CRSP** includes United States governmental bonds (daily and monthly frequency) back to 1925. Available through WRDS. For the most recent data, use the Monthly Update data that appears after the Annual and Quarterly Updates.

Bloomberg* contains up to date as well as historical (though generally not before 1989) international data on indices, bonds (corporate, governmental, and municipal), mortgages, and money market instruments. Frequency varies but is typically daily for financial information and in some cases intradaily. Intradaily data is typically kept from 30 to 90 days only.  Bloomberg has many individual corporate and governmental bonds and bond indices. Available on the workstations located near Firestone A-13-J.

Global Insight* covers governmental bonds and many international bond indexes.

Global Public Finance * consists of several databases: (1) U.S. New Issues: All negotiated, competitively bid and privately placed U.S. municipal new issues. In addition, a forward calendar of new issues coming to market is available. 1966+ (2) Non U.S. New Issues: Sub sovereign public finance new issues offered worldwide, excluding the U.S. and Canada. 1963+ (3) Muni Profiles. All municipal entities, inclusive of the top 5000 issuers ranked by principal amount(4) Refunding Candidates. All outstanding maturities with a coupon of 5% or higher. Non-callable issues and issues previously refunded, escrowed to maturity, in default, or with a par value of less than $1 million are excluded.Maturities are deleted weekly as they fail to meet the criteria for inclusion. New issues are addressed quarterly. (1957+) Available on SDC Platinum. Available on the workstations located near Firestone A-13-J.

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. HG4905.M765 (Publication began in 1936.   Library has 1977+ in print and a few earlier editions online.). For 1984-June 2000, see Film S00785. Available online 2006+ in Mergent Archives. Also see Moody's Bond Survey/Moody's Investment Survey. The Library has select holdings from 1932-1993.

Mergent Webreports: collection of Moody's/Mergent Manuals. 1909+. (Municipals (1918+), Bank & Finance, Industrial, International, Public Utility, Transportation, Over the Counter Industrial, Over the Counter Unlisted).

Annual Bond Record contains a summary of corporate and municipal bond rating activity plus preferred stocks. (DR) HG4651.M66. Available online 2004+ in Mergent Archives.

Monthly Statement of the Public Debt  1953+

China Bond Market Research Database (CSMAR):  Includes Chinese treasury, enterprise, corporate, convertible, and REPO bonds.

Government and Municipal Bonds - Web Sites

Government and Municipal Bonds - Notes

*Must be used for academic purposes only, that is, to support the teaching and research of Princeton University.
 
** WRDS requires user to validate through password. Must be used for academic purposes only, that is, to support the teaching and research of Princeton University.

Also consult the FAQs.
 Bobray Bordelon and Bobbi Coffey