Sources and Alternatives for the Lehman Corporate Bond Database
Summary
This discussion explains the history and availability of the Lehman Brothers Fixed Income Database, a source of bond-level data used in corporate bond research. It describes archived Federal Reserve Board data covering individual bonds in Lehman indexes from 1973 to 1998, while noting that the original subscription service ended and historical access may be difficult to obtain.
It identifies Merrill Lynch corporate bond price data as a potential complementary source, with an overlapping period that may allow researchers to connect observations across datasets. LSEG’s Mergent Fixed Income Securities Database is also mentioned as an alternative with issue and issuer details and evaluated prices. The responses additionally suggest that Lehman’s index and data business passed through Barclays to Bloomberg. These are leads rather than verified current access instructions; researchers seeking replication should confirm availability, licensing, coverage, and comparability directly with data providers or archives.
Key ideas
- The Lehman database contains historical bond-level observations for bonds in Lehman indexes.
- The Federal Reserve Board archived the data, but access and distribution have been limited.
- Merrill Lynch data overlap with the Lehman series and may help extend or splice price histories.
- Mergent FISD is a possible alternative, though its fields and coverage may not match the original dataset.
- Researchers should verify present-day availability and licensing before relying on any suggested source.
Tags
Full text
# The "Lehman Corporate Bond Database distributed by Warga (1998)" cited in papers # The "Lehman Corporate Bond Database distributed by Warga (1998)" cited in papers Reading papers, e.g. "Reduced Form Valuation of Callable Corporate Bonds: Theory and Evidence" 2006 Jarrow et al. there is often reference to the above citation on which the authors perform their calculations. Does anyone know where to get this data anymore to replicate papers similar to this? ## Answer by Dimitri Vulis (score 5) https://quant.stackexchange.com/a/83681 - What was the Lehman Brothers Fixed Income Database (LBFI): According to https://pages.stern.nyu.edu/~dbackus/BCZ/credit_spreads/GZ_README.pdf > data on the corporate bond market purchased by the Federal Reserve Board. The first data set contains information on all individual corporate bonds that comprised the Lehman Brothers Bond Indexes from January 1973 to March 1998. These data were available on a subscription basis to universities and research departments of the Federal Reserve System (unfortunately, Lehman Brothers stopped making the data available after that). The Federal Reserve Board had a subscription to these data over the entire time period and has archived the micro-level data for research purposes. Inquiries about costs and historical data availability should be directed to Dr. Arthur Warga (713-743-4779) at warga@uh.edu; however, according to the latest available information, Dr. Warga is now the Dean of the Business School at the University of Houston and is no longer distributing these data. It was cited in Gwangheon Hong, Arthur Warga. (2000). An Empirical Study of Bond Market Transactions. Financial Analysts Journal, 56(2), 32-46. https://doi.org/10.2469/faj.v56.n2.2342 Googling, I found this page offering it for download with a Columbia login: https://www.columbia.edu/acis/eds/holdings/1021/www1-data.pl@C1021.html - Alternatives, from the above Backus readme > The second source of bond-level data comes from Merrill-Lynch. The research divisions at the Federal Reserve Board have a subscription to a daily feed of secondary market prices of individual corporate bonds in the Merrill Lynch U.S. Corporate Master index and its High-Yield Master II index. These data are available starting in January 2, 1997. Because the time spans of the Lehman and Merrill Lynch data sets overlap for 16 months, one can splice the prices of individual securities across the two data sources. According to the latest available information, inquiries about costs and data availability should be directed at Mr. Arjun Kondamani . This is Arj: https://www.linkedin.com/in/arjkondamani/ Another alternative may be the LSEG Mergent Fixed Income Securities Database (FISD). According to https://www.lseg.com/content/dam/ftse-russell/en_us/documents/other/mergent-online-brochure.pdf > Fixed Income Data A wide range of fixed income data, including both issue and issuer-level terms and conditions, with end of day evaluated prices for US taxable bonds, municipal bonds and retail notes. ## Answer by pyCthon (score 2) https://quant.stackexchange.com/a/83683 Lehman's index and data business became part of Barclays after Lehman's collapse in 2008 and then was sold to Bloomberg in 2015/2016. Your best bet is to contact Bloomberg
Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.