Interest Rates, related instruments and databases

(*Note*: for some information links an user connection to Thomson Financial is required, e.g. to Datastream extranet)
Datastream says the following on interest rates and exchange rates:

Interest rates: 20,000+ time series updated daily, with history starting in the 1980s. 

Covered are money market instruments like treasury bills and bonds, LIBOR and other interbanks, certificates of deposits, repo rates and central bank policy rates (various currencies)

Exchange rates: 5,000+ daily rates, 20 years, 168 currencies. Against US dollar and vice versa and e.g. euro.
Datastream Extranet provides a page on this topic. (accessible to Datastream users) > link

Among them an overview (link) of Risk Free rates.
Also see this blog item: link

And a list of Interest Rates in Excel, with an overview of national, international, eurozone, LIBORS, ICAP and government and corporate bond yields: link

WRDS
The WRDS portal gives access the the FAMA French & Liquidity Factors.
Risk Free rates can be found in daily with output code RF.
From WRDS website: 
Q:  Accessing a Daily "Risk Rate Free" Series that can be Used in CAPM Models
A: The easiest way is via our Fama-French Factors page located at:Fama French Factors Daily. The 'Risk Free Rate' is labelled "RF (One Month Treasury Bill Rate)". 

FAMA daily factors

Steps1, setting time window:  (clickable calendar), mind it's daily data
Step 2, selecting the factors (RF)
Step 3, output format > tip: always do TAB delimited

As for T-Bill Bonds in WRDS
Three month Tbill:
Not in Wharton, but in OptionMetrics (not subscribed) has the Stock Option data and PHLX (Philadelphia Stock Exchange) contains Currency Option data (subscribed).
Check CBOE website (for interest rates) < not in Wharton
CBOE (Chicago Board Options Exchange) in Wharton: (subscribed) > Volatility Index (VIX) < click


3 month money market and short term US t-bill:
CRSP daily treasury (treasury daily) - calendar file  and short term rate (government) (not subscribed)
Also Federal Reserve Bank St. Louis (FRED) for interest rates. (registering is free)
Looking on the Wbsite (search field interest rate > link 3 month treasury bill market rate >

This website provides a nice overview of databases with interest rates and risk fee (link)
Another feature of this website is that it offers historic data, going back many years.
Among them: GFD, Global Financial Database.
Registering for an academic account appears to be free.

To try it out I searched for Netherlands, commodities, prices. This is a short overview of results.

At this point remarks show up you haven't got access.
I am not sure if the provided e-mail results in bills.
But I guess that this resource may be interesting for historisc economic research.

Risk free rates, T-Bills, Benchmark bonds

* result of student questions to- and requests from our service *

This week a student came up with question if she could find t-bills (treasury bills) in Datastream, or at least risk free  investment instruments. The only thing that I could think of, at the time, were benchmark bonds (interest rates section) But Benchmark bonds got a 10year life span, and most risk free rates (invetsments) are based on short term investments.
This set me investigating.
In this post I will pay attention to all of the risk free instruments.

Risk free interest rates

The risk free rate for a given period is taken to be the return on government bonds over the period. This is because a government cannot run out of its own currency, as it is able to create more as necessary.Any other investment should produce greater returns than the risk free rate. The extra return (the risk premium) reflects the extra risk” 

When things are considered risk free, you can almost bet on it they're government backed. 
The investment bears no credit risk and has a limited re-investment risk. Although turn out may be lower than risky investments, the money back guarantee makes them popular.

But for currencies where no liquid treasury bill market exists, interbank rates such as LIBOR or EURIBOR rates can be used.
Currencies with liquid repo-markets where the general collateral is a long-term government bond (10y benchmark), those are alternative for 'risk-free'. The number of currencies is limited.

In practice:  (annualised) yield on 3-month treasury bills 

DATASTREAM:  
Interest Rates
Step by step looking for (90-days) treasury bills
Open menu in Datastream AFO (Excel)

Select Interest Rates

 Looking voor t-bills 66 hits

Important note:  looking for t-bills results in another set of hits than looking for treasury bills: 166 hits

Using the Criteria Search option:

(top bar)


Searching for t-bills: 59 hits; searching for treasury bills: 163 hits

So, there is a discrepancy between how you look for.

Benchmark Bonds: 143 hits

Using criteria search: also 143 hits

Creating lists over the risk free rates:

Datastream code LTRXXBMK where XX is the country code. For example, LTRUKBMK is the UK list, with TRUK3MT the 3 month rate, TRUK5YT the 5 year rate etc.

Datastream country codes (ISO Alpha is two characters and Num is two digits)
So, the result (Static search) for Netherlands would be: LTRNLBMK:

These are the country Risk Free rates - Mnemonics

Later more on Libor and Euribor

Bond types, WRDS and Datastream

Bonds are means of companies of borrowing money. Basically it's an IOU  at with agreed percentage interest (not all times)

This post will focus basic and briefly on bond types, issuers and databases at Vrije Universiteit that provide bond data.

Issuer (borrower)
Agencies
These bonds do not include those issued by the U.S. Treasury or municipalities. They include such agencies as Fannie Mae, Freddie Mac, Sallie Mae and the Federal Home Loan Banks.
Corporate (companies)
A corporate bond is a bond issue by a corporation. It is a bond that a corporation issues to raise money effectively in order to expand its business
Sovereign (governments)
A government bond is a bond issued by a national government, generally with a promise to pay periodic interest payments and to repay the face value on the maturity date.
Financial Institution ((investment)banks, insurance companies)
In financial economics, a financial institution is an institution that provides financial services for its clients or members.
Supranational
An international organization, or union, whereby member states transcend national boundaries 

Bond types 
With warrant
In finance, a warrant is a security that entitles the holder to buy the underlying stock of the issuing company at a fixed exercise price until the expiry date, and that can be profitable. Warrants are often connected to bonds or preferred stock to draw extra investors, allowing the issuer to pay lower interest rates or dividends
Convertible
A convertible bond or convertible note is a type of bond that investor can convert into a specific number of shares in the issuing company or into cash of equal value. It is a possesses debt- and equity characteristics.  
See also:  this Wikipedia   < - link
Floating rate
Floating rate notes (bonds) are bonds that have a variable coupon, following money market rates, like LIBOR or federal funds rate, plus a quoted spread (a.k.a. quoted margin). The spread is a rate that remains constant. Most often short term. In the U.S., government sponsored enterprises are important issuers. In Europe the main issuers are banks.
Straight
A bond that pays interest at regular intervals, and at maturity pays back the principal sum that was originally invested (interest and money back). Straight bonds are debt instruments because they are essentially loaning money (creating debt) to an entity, IOU.
Zero coupon 
Zero-coupon bonds (discount bond) is a bond bought at a price lower than its face value, with the face value paid back at the time of maturity. It does not make periodic interest payments, or have so-called "coupons", hence the term zero-coupon bond.

(Sources: Wikipedia and Investopedia) 


Comparison
Taken from Q&A in WRDS: 
Do TRACE and FISD contain all bonds covered in Datastream? 
How do Datastream, TRACE and FISD compare relative to each other in terms of bond coverage?
Note: FISD (Mergent) < no subscription at VU

1. TRACE is based on intraday trading reports from bond brokers.
Also read this  < - link
TRACE does not contain all bonds available in Datastream because of the time coverage and the country scope and the focus of TRACE is on bond trades information, not on bond characteristics.

2. Datastream
Regarding Datastream, this product is currently not offered through the WRDS system. It covers many countries and includes information on dead bonds, has individual bonds issued back in 1990s, and you also may find some thirty-year benchmark bonds issued back in 1970s or 60s. For third-party bond indices, history varies, but for Datastream Global Government Bond indices, the history goes back to late 1980s.
Also see this page < - link


Wharton database TRACE < - see also this blog page

Datastream
Beginning: (simple search)
Start up Excel > Click TAB Datastream > choose from the menu on the left either Static Search (for work sets) or Time series (financial data) > Press link : Choose a single category and select 
Bonds & convertibles

The next screen looks something like this:

You can further narrow with the filter menu on the left hand side:

Filters used: Market: international > type: bond > Issuer type: corporate >borrower: heineken: end result 
22 bonds
Select all > click link USE (which lights up when you select any bond) 
Back in the menu, now it's time to search for the datatypes (orange button > providing the data)
This example: static search, hence static datatypes
Note: make certain when looking for bonds data, to use the bonds data types (mouse over at top Data Category)

 













It's always recommended to reset your screen to remove any possible filters. (button at top right)
There are 223 static datatypes. You can further narrow with e.g. pressing link  key datatypes in the menu on the left. Those are the key static datatypes.

Note clickable field static.
Select all in field above the selection squares, and press use selected.
Back in the menu.
Now it's time to decide whether to transpose and/ to embed (don't since we are searching static data)

Possible Output:
Any datatype that isn't subscribed does not provide data 
(message: ERROR, invalid code or expression,  you don't have access)
NA means not available (read  . . . "yet" or "anymore")

Output example Static.

 







Same bonds in a Time Series with key datatypes

A very clear blog item on issuer types and where various kinds of bonds can be found in Datastream can be found here. < - click link
 

Bonds trading Compustat

Wharton covers database TRACE

. 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. Real-time price dissemination service  .

Note: this particular database can provide massive output files (Terrabytes) as it covers data per click.

Example: Trace Bond Trades, company: Microsoft Corp, period: May 1st - June 30th 2013
Downloaded items:

One month of data of a single bond. 
Output: (size: 282 KB, 4465 observations 8 variables; tab delimited TXT, preset in columns)

!! 
This is something to keep in mind, as data from a work set of companiers over an extended period can provide enormous output data.
!!

For opening your output file TXT, see this blog (click)