Data

Here we list some of the most useful public data sources we find on the web.  We have no relationship with any of these providers and take no responsibility for the accuracy or completeness of any of their data:

For my news briefings, I like the Morning Brew, the Daily Shot, and several podcasts like the Wall Street Journal and the Economist.

From my article “12 sources of free bond market data I use regularly“:

  1. WSJ US Treasury prices – this Wall Street Journal simply lists out all the outstanding US Treasury securities with last night’s bid/ask prices and ask yield-to-maturity rate. Historical snapshots are also available going back about a year or two.
  2. US Federal Reserve’s H15 Page – rather than individual bonds, this page has several long, historical series on rates, for example the constant maturity 10-year treasury. These need to be downloaded individually, but can go back as far as 1934.
  3. US Treasury’s Daily Yield Curve – this page also shows constant maturity yields, but in a more user-friendly table layout going back to 1990.
  4. Japan Government Bond Yield Curve History – very similar to the US Treasury’s yield curve history, Japan’s Ministry of Finance (MoF) publishes similar historical data on Japanese Government Bond (JGB) yields starting in 1974. As I probably say too often, JGB’s have for too long been underestimated by many westerners both for the size of the market and their spectacularly high risk-adjusted returns over the past 15 years.
  5. Singapore Government Securities (SGS) Prices and Yields – Singapore’s bond market is tiny compared with Japan’s, but is similar in having a low, steep yield curve and similarly high levels of indebtedness (Japan has the world’s highest public debt/GDP ratio at over 220%, Singapore has fallen to #13 behind many of the PIIGS at “only” 105%). This site is more noteworthy for having good historical data on individual SGS bonds – the best of the WSJ and the Fed/Treasury pages in a way.
  6. Asia Development Bank’s Asia Bonds Online – very high level but useful data on many of the USD and local currency bond markets in Asia
  7. EDGAR – many bond issuers around the world need to file prospectuses and other reports with the US’s SEC in order to sell their bonds “publicly” in what is still the world’s most global market. EDGAR is an excellent site rich with over 20 million filings, but can require a lot of digging and filtering, and even then the results are documents or financial statements, not raw data. I recently posted an example of what could be understood as a “bond price run” by the Republic of the Philippines filed on EDGAR.
  8. FINRA’s TRACE – bonds traded in the US are generally required to be reported to a system called TRACE, which essentially provides transparency on recently traded prices of a given bond similar to what one might expect from an exchange. Unfortunately, TRACE has still not been the most user-friendly system in my experience, and I usually end up accessing TRACE data through a broker rather than directly.
  9. MSRB’s EMMA – municipal bonds in the US have long been in a slightly different world to treasury, corporate and mortgage bonds, and not surprisingly they have a parallel system to TRACE called EMMA. Fortunately, EMMA has been more accessible and easy-to-use than TRACE in my experience.
  10. BofA Merrill Lynch Bond Indices at the St. Louis Fed – rather than trying to recalculate from individual bond prices, when I am asked “how did corporate bonds do vs government bonds in the past”, I find it easier to simply compare two total return indices, of which the bond index is usually the harder one to nail down. These BofA ones provide a quick brushstroke on how, say, USD BB’s generally performed in the past 20 years.
  11. The RBA and ASX for Australian bonds – I’ve been especially interested in following developments in Australia’s bond market, which in many ways has been the opposite of Japan on this side of the developed world, and not even that similar to the bond market in Canada or the US.
  12. Chinabond – there is an English-language version of one of the best sites covering mainland China’s bond market, but I still find plenty of information there in Chinese which hasn’t been translated. There is info on new issuance and secondary prices for Chinese government bonds, corporates, and munis, mostly on the inter-bank market, but unfortunately this is still the most opaque and difficult to trade huge bond market in the world right now. Not surprisingly, foreign investors continue to see the need for an allocation to China bonds, even though the data infrastructure still hasn’t caught up with global standards.

As mentioned, this is only a hand pick of 12 sources that came to mind. There are a few others I occasionally check, say for European, Canadian, or Indian bond data, especially when I want to challenge one of my credit analyst colleagues on what can be done without a Bloomberg terminal.