Data on Bond Issues

The NASD operates the TRACE (Trade Reporting and Compliance Engine) system, which reports over the counter secondary market trades of fixed income securities. Go to the NASD home page at www.nasd.com/index.htm and click on the link for "TRACE Information." Next, click the link for the TRACE Fact Book and link to the most recently available. Find the detailed data tables and locate the table with information on issues, excluding convertible bonds (typically Table 1). For each of the last three years, calculate the following:

1. The percentage of bonds that were publicly traded and the percentage that were privately traded
2. The percentage of bonds that were investment grade and the percentage that were high-yield
3. The percentage of bonds that had fixed coupon rates and the percentage that had floating rates.
4. Do any patterns emerge over time?
5. Repeat the calculations using the information for convertible bond issues (typically in Table 2).

Corporate Bond Yields

1. Go to www.nasdbondinfo.com/asp/home.asp and generate a list of zero-coupon bonds that are due to mature within three to five years. Restrict the list to bonds rated AAA that have been traded within the last 30 days. Sort the list in order of maturity. (If no bonds appear on the list, widen the trading range to the last 60 days.) Find the bond that has the latest maturity date. Set up a spreadsheet with the relevant data and use Excel's XIRR function to confirm the reported yield. (It is easiest to isolate the dates and the prices in contiguous cells before entering the XIRR function.)
2. Now relax the rating constraint by requesting bonds rated from AAA to C. At the same time, find bonds that have coupon rates between 10% and 12%. Choose the callable bond that has the latest maturity date. (Click on the "Descriptive Data" link for more details about the bond issue.) Use the information about the bond to calculate the amount of the coupon payment and the accrued interest for the purchase date listed. Set up a schedule of dates and cash flows, then use the XIRR function to calculate the bond's yield to maturity. Repeat the procedure to find the bond's yield to call, assuming the earliest listed call date and price.