Asset-Backed Securities (ABS) Data Glossary
An Asset-Backed Security (ABS) offers returns based on the repayment of debt owed by a pool of consumers. ABS data is collected through TRACE (Trade Reporting And Compliance Engine) and compiled with data from multiple sources, including but not limited to Refinitiv, S&P, Moody’s, and Black Knight Technologies.
| Data field | Definition | Why we share this data |
|---|---|---|
| Coupon Rate | A coupon rate is the annual interest rate paid by the issuer to you when you hold a bond that you have purchased. These interest payments are generally made semiannually, although some bonds may pay interest more or less frequently. The coupon multiplied by the par value is the dollar amount the issuer pays annually. For instance, the issuer of a bond with a par value of $1,000 and a coupon rate of 4.5 percent ($45) would make two semiannual coupon payments of $22.50 each to each bondholder. Generally, the higher the coupon rate, the higher your return on investment but the greater the risk you incur. Coupon payments are paid until the maturity date, at which time the par value for each bond will be paid back by the issuer along with the final interest payment. If the coupon rate is zero percent, the bond is likely a zero coupon bond: Instead of the issuer paying interest payments, you buy the bond at a discount from the par value and are paid the par amount when the bond matures. 9.455% |
So that investors can understand the potential bond returns. Learn more about Investing in Bonds. |
| Coupon Type | Coupon types can be fixed or floating rate typically paid annually or semiannually during the lifetime of the bond. In fixed-rate bonds, the coupon rate does not change during the life of the bond, whereas, in the case of floating rate bonds, the coupon rate is reset at certain times or periodically (for example, semi-annually) and the next coupon can be higher or lower than the previous one. |
So that investors can understand the way payments are calculated for a bond. |
| CUSIP | A unique identifier used for US and Canadian registered stocks, US government and municipal bonds, exchange traded funds, and mutual funds assigned by the CUSIP committee. It is a nine-digit alphanumeric code. The issuer is identified in the first six characters, the next two positions identify the specific asset and the last digit is a check digit. Brokerage firms must have a daily license in place with Standard & Poor's CUSIP Bureau to acquire a full list of reportable bonds by CUSIP number. |
It is a unique identifier for securities. |
| Deal ID | Unique identifier for a deal. | |
| Interest Type | Describes the coupon payments of the tranche. This characteristic may be thought of as a modifier for variable and indexed coupons. | |
| Issuer Name | The name of the entity that issued the bond. | |
| Issue Description | Description of the issue. | |
| Latest Sale Price |
The Price figure is the all-in price for a trade, inclusive of a mark-up or markdown and is updated from 8:00 a.m. to 5:15 p.m. Eastern Time. If there is a commission on the trade, it will be entered in a separate field on the trade report, but will be disseminated as the combined price. Price data is disseminated on executed bond trades, not bond quotes. The TRACE system has no execution capability, nor can it accept quotations. |
To learn more about bond prices, see Bond Basics To learn about how to buy and sell bonds, see Buying and Selling Bonds. |
| Latest Sale Yield |
Yield is a general term that relates to the return on the capital you invest in a bond and is expressed as a percentage. There are different ways to calculate yield. We share the lower of Yield to Call (retirement of the bond at a date prior to maturity) or Yield to Maturity. This type of yield is called Yield to Worst (YTW) and is generally used to provide the most conservite potential return a bond can give you. For certain variable-rate securities and defaulted bonds trading flat of accrued interest, no yield will be displayed. For certain bonds with unknown variables, yield is not required. For example, yield is not required for floating rate notes (FRNs), step-up or step-down bonds for which the steps are not known, Pay-in-Kind (PIK) bonds, perpetual bonds, or index-linked bonds. |
To learn more about yield and return, see Understanding Bond Yield and Return |
| Latest Trade Date |
Date of the most recent trade |
So customers know the bond trade activity. |
| Maturity Date |
A bond’s maturity date is the date the issuer is committed to paying you the par value of the bond, unless the bond is callable and is redeemed on an earlier date. At the maturity date, the issuer redeems each bond at the par amount. |
So that investors know when the issuer committed to paying the value of the bond. |
| Price Change Number | Number value for the change in price between the last and latest reported price. | |
| Price Change Percent | Percent value for the change in price between the last and latest reported price. | |
| Product Subtype |
Identifies the type of fixed income security, which may be:
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| Subproduct Type | Description of the issue. | |
| Symbol | Security symbol assigned by FINRA for trade reporting purposes. The FINRA proprietary symbol is offered free of charge. |
So that investors and markets have a free unique identifier for fixed income securities. |
| Tranche ID | Tranches are segments created from a pool of securities—usually debt instruments such as bonds or mortgages—that are divvied up by risk, time to maturity, or other characteristics in order to be marketable to different investors. For example, a collateralized mortgage obligation (CMO) offering a partitioned mortgage-backed securities portfolio might have mortgage tranches with one-year, two-year, five-year and 20-year maturities, all with varying yields. | |
| I44A | Used to indicate if the bond is a effected pursuant to SEC Rule 144A, which rules private placements offered in the United States. |