ABSTRACT
In this chapter, the authors dives into the US corporate bond market. Bond markets are far more diverse than stock markets, as most issuers have multiple bonds outstanding simultaneously with potentially very different indentures. The authors introduce how to use bond characteristics from FISD and trade reports from TRACE and provide code to download and clean TRACE in R. FISD data comes in two main variants, namely, centered on issuers or issues. In either case, the most useful identifiers are CUSIPs. The Financial Industry Regulatory Authority provides the Trade Reporting and Compliance Engine. In TRACE, dealers that trade corporate bonds must report such trades individually. The lack of trading activity illustrates the generally low level of liquidity in the corporate bond market, where it can be hard to trade specific bonds.
