Tim Opler
at Ohio State. The Board of Governors should be acknowledged in any research which uses
this data. Variables include:
- GROSS-Face Amount of Issue
- YIELD-Yield to Maturity of Issue
- COUPON-Coupon on the issue
- CALLDATE-First Call Date of the issue
- RFDATE-First Refunding Date of the issue
- SFDATE-Date Sinking Fund Payments Begin
- YEAR-Year of issue
- MONTH-Month of Issue
- DAY-Day of Issue (not available for medium-term notes)
- MATYR-Maturity year
- MATMON-Maturity Month
- MATDAY-Maturity Date
- EURO-Euro issue indicator (1=Euro)
- SPRATE-Standard & Poors Issue Rating
- MRATE-Moody's Issue Rating
- TYPE1-First issue type field
- TYPE2-Second issue type field
- TYPE3-Third issue type field
- DURATION-Macaulay duration of issue (computed in Excel)
Some of the codes in the TYPE fields are cryptic. The best way to figure out the
codes is to track down the original debt issue to see what it means. More common
codes include:
- DEBT-Straight debt issue
- NOTES-Short-term debt issue
- CONV-Convertible issue
- MTU/MTN/MEDTERM-Medium-term units/notes
- UNITS-Warrant bonds
- OID-Discount bonds
- STEP-Adjustable interest rate bond (like an ARM Mortgage)
- LYONS-Liquid Yield Option Note (Merrill Lynch Product)
- GTD-Guaranteed bond
- POISONPUT-Poison put bond
- EQUIPTR-Equipment Trust Bond (collateralized by equipment)
- MERGER-Debt issued in a merger
- SWAP-Debt which was swapped out at issue
- VARIABLE-Variable rate note
- FIRSTMTG-Mortgage bond
- LEASEBKD-Lease backed bond. As in finance the equipment and lease it
- FOREIGN-Foreign currency debt.
- PVT-Private Placement
- ESOP-Used to fund an ESOP
- EVENTRISK-Contains event risk covenants
- FR-Floating rate issue
Some example observations:
ISSUER CUSIP GROSS YIELD COUPON CALLDATE RFDATE SFDATE YEAR MONTH DAY MATYR MATMON MATDAY EURO SPRATE MRATE TYPE1 TYPE2 TYPE3 DURATION
AFG INDUSTRIES 001054 100.00 6.13 6.50 1988 1988 86 7 22 2006 0 0 0 BB+ BA1 CONV 11.5619
AGS COMPUTER 001240 40.00 7.10 7.50 86 4 18 2011 0 0 0 B B2 CONV 12.04436
AES CORP 00130H 50.00 6.21 6.21 92 3 12 2002 3 15 0 B+ B1 CONV 7.295743
EXXON CAPITAL CORP 302290 82.70 9.57 10.50 1989 88 11 23 1989 0 0 1 AAA AAA EURO NOTES 0.925146
EXXON CAPITAL CORP 302290 101.20 13.94 15.25 1990 89 1 11 1990 0 0 1 AAA AAA EURO NOTES SWAP 1.755097
EXXON CAPITAL CORP 302290 250.00 9.41 10.00 1991 89 2 28 1991 0 0 1 AAA AAA EURO NOTES 1.659534
Distribution of Sample by Year for Issues which Can be Linked to Compustat
Mean Mean Term to
Number Term to Maturity Maturity (without
Year of issues (all issues) MTNs/Euronotes)
1983 386 15 18
1984 378 15 17
1985 693 17 19
1986 551 14 17
1987 458 11 15
1988 464 11 16
1989 600 10 16
1990 846 10 17
1991 1,068 11 14
1992 754 12 15
1993 63 12 15
Issue type by bond rating.
Issue Type Unrated CCC B BB BBB A AA AAA Ave Term
Foreign notes/bonds 1 0 0 0 0 6 11 4 3
Euronotes/bonds 8 0 2 5 15 117 177 68 9
Medium-term Notes 17 0 1 24 423 886 258 39 4
Straight Debt 49 18 362 153 531 890 386 98 15
Warrant Bonds 9 2 23 4 2 4 8 3 11
Equipment Bonds 0 0 7 2 30 127 98 34 11
Mortgage Bonds 0 0 5 8 194 280 180 1 21
LYONS 0 0 9 7 11 4 1 0 18
Convertibles 72 18 185 90 57 47 6 2 19
Source of Tables: Jose Guedes and Tim Opler, The Maturity of New Corporate Debt Issues,
Working Paper, Ohio State University, 1995.