TRACE Data Description

The Rice University - Jesse H. Jones Graduate School of Business Management

Barbara Ostdiek <ostdiek@rice.edu>, Chris Downing <cdowning@rice.edu>, Mark Cory, <mcory@rice.edu>,
L. Scott Baggett <baggett@rice.edu>, Shane E. Underwood <shaneu@rice.edu>,
Yuhang Xing <yxing@rice.edu>, J.A. Dobelman <dobelman@stat.rice.edu>

D R A F T

Rev. 3/10/06

1. Introduction

2. Data Acquisition

3. Raw TRACE Database

4. TRACE with Constant Maturity Treasury (CMT)

5. TRACE with CMT and CRSP Security/Market Data

6. Straight debt TRACE data with CMT and CRSP data

Appendices

References

1. Introduction

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2. Data Acquisition

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3. Raw TRACE Database

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4. TRACE with Constant Maturity Treasury (CMT)

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5. TRACE with CMT and CRSP Security/Market Data

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6. Straight debt TRACE data with CMT and CRSP data

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Appendices

  • NASD TRACE Program Description(s)

    • For a good overview of the TRACE program implementation, see Bessembinder, et. al (2005)

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  • Useful Data Procedures  Basic tasks and outline of work required to perform them.    (coming)

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  • TRU/JGSM Faculty "Compute" Workstation Data Description (download all .pdf)    Download .xls
    1. dds.variables.csv-source.pdf    TRACE source daily download data, csv format, variable definitions/sample values. There are actually two different variable sets; this set is the "new" set, from trades on or after 12/23/03. The set for 7/1/02-12/22/03 is slightly different, it has two fewer variables. The distinction is made in the source build-up SAS scripts.

    2. dds.variables.rawtrace.pdf    SAS dataset variable definitions for the raw_TRACE dataset.

    3. dds.variables.bloomberg.pdf    SAS dataset variable definitions for the Bloomberg descriptors dataset.

    4. dds.variables.trace0.pdf    SAS dataset variable definitions for the combined TRACE, Blomberg descriptor, and CMT/CRSP template variables. The CMT/CRSP data is NULL at this stage.

    5. dds.variables.trace.crspcmt.pdf    SAS dataset variable definitions for the TRACE with CMT and CRSP merge, with TRACE and Blomberg descriptors, populated with CMT and CRSP data.

    6. dds.variables.flatbond.crspcmt.pdf    SAS dataset variable definitions for the straight bond database, a subset of the combined TRACE and Blomberg descriptors, populated with CMT and CRSP data.

    7. dds.variables.flatbond.pdf    Crosswalk for the SAS variable output to the ASCII flatbond database for FORTRAN input, with exact field/format information.

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    References

    NOTE! There are currently no articles in the Journal of Fixed Income (1997-8/05) which reference the TRACE database, so GET WRITING!

    Glauber, Robert, "Regulatory Challenges in the Securities Industry" . Journal of Applied Finance, Vol. 14, Vol. 2, Fall/Winter 2004 http://ssrn.com/abstract=670381

    H Bessembinder, W Maxwell, K Venkataraman, "Market Transparency, Liquidity Externalities, and Institutional Trading Costs in Corporate Bonds" September 2005, Univeristy of Utah, David Eccles School of Business draft.  http://home.business.utah.edu/~finhb/Current%20Research/bondtransparency.pdf

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