corporate bonds and ratings overview and research issues.pdf

Corporate Bonds and Ratings: Overview and Research Issues Denys Glushkov Associate Director, WRDS WRDS Users Meeting The Wharton School, University of Pennsylvania October 2, 2007 Commercial Bonds-Related Data on WRDS  Bond Characteristics and Ratings  Mergent FISD  SP Ratings Xpress  Bond Transactions  TRACE and FISD (Time Sales Data and NAIC) Mergent Fixed-Income Securities Database (FISD)  A comprehensive database of publicly-offered U.S. bonds  Contains issue details on over 200,000 corporate, corporate MTN (medium term note), supranational, U.S. Agency, and U.S. Treasury debt securities and includes more than 550 data items.  Provides details on debt issues and the issuers in more than 100 countries as well as transactions by insurance companies  All of the information for FISD is sourced from prospectuses. For CUSIP and ratings data, Mergent obtains direct feeds  Used to research market trends, deal structures, issuer capital structures and other areas of fixed income debt research FISD File Structure  Entire FISD Database has 60 SAS datasets including 6 main datasets created by WRDS  FISD issue-related data are combined into Fisd_MergedIssue dataset. Total of 15 files are put together. Those contain  Structured security flags  Floating rate formulas, current rates and coupon schedules  U.S. Treasury auction information  Convertible debt information  Underwriters, trustees and fiscal agents  Unit deals and warrant information  Issues by US companies account for 91% of all covered issues FISD File Structure cont.  FISD Issuer-related data cover 77% US firms and 23% International. WRDS combines 3 files into FISD_MergedIssuer file which contains  Indust