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WRDS Bond Returns

Overview

WRDS Bond Returns provides monthly corporate bond return data, constructed by WRDS from TRACE transaction data. This dataset makes it straightforward to use bond returns in academic research without having to compute them from raw TRACE trades yourself.

What you can find here:

  • Monthly bond returns: total return, price return, accrued interest return
  • Bond characteristics: coupon, maturity, rating, offering amount
  • Bond pricing: end-of-month prices, yields
  • Coverage: US corporate bonds

WRDS Access

  • WRDS web interface: WRDS Bond Returns
  • Python API library: wrdsapps_bondret
  • Update frequency: Monthly
  • Data dictionary: Link

Example: Querying Bond Returns

import wrds
conn = wrds.Connection()

# List available tables
conn.list_tables(library='wrdsapps_bondret')

# Get monthly bond returns
returns = conn.raw_sql("""
    SELECT cusip, date, bond_ret, t_volume, price_eom, rating
    FROM wrdsapps_bondret.wrds_bond_returns
    WHERE date >= '2023-01-01'
    LIMIT 100
""", date_cols=['date'])

For more examples, see the Python API notebook.