data file layouts
CRSP Treasuries Files
Treasuries files (TFZyyyymm folder when installed) are available in SAS, Excel2007, and ASCII formats. Files are reorganized in logical daily and monthly categories. Data items that apply to both daily and monthly series are provided in files that apply to either.
Files share the same names and contain the same data for all formats - Excel 2007, ASCII .dat files, and SAS datasets with the exception of one file. Excel 2007 does not have tfz_daily.xlsx . This file, exceeds the 1million+ row limit in Excel 2007, so cannot be included. SAS and ASCII versions of the same file are included. In data layout tables, items preceded with (KY) are done so for use with SAS and Excel.
A full list of TREASNOXs and their mappings can be found here or in the Reference chapter of the documentation.
The following are the codes in the formats section of the data layout tables:
| Code | Description |
|---|---|
| lf | Fixed point notation |
| e | Exponent (scientific notation) |
| d | Signed Decimal (Integer) |
| c | Single character |
| s | String |
The following is a list of files in the Treasury Database. Click on the name to see its contents and further information.
| CRSP TREASURIES FILES | |
|---|---|
| File | Description |
| TFZ_ISS.* - Issue Descriptions |
Treasury issue data file. Contains identifying and description information for individual treasury issues that are contained in the both the daily and monthly issues files. |
| TFZ_MAST.* - Master Record |
Reference for daily and monthly issues, contains first and last dates of daily and monthly series |
| TFZ_DLY.* - Daily Time Series Items |
Daily time series data for individual treasury issues |
| TFZ_MTH.* - Monthly Time Series Items |
Monthly time series data for individual treasury issues |
| TFZ_DLY_CD.* - Daily Rates |
Contains rate data found in the legacy files, bxcalind.*. Each CD, commercial paper, and federal funds rate is assigned a unique TREASNOX. Daily rates are assigned to each. |
| TFZ_MTH_CD.* - Monthly Rates |
Monthly version of the daily cd files |
| TFZ_PAY.* - Paid Interest |
Event Series Includes paid interest data for individual treasury issues. |
| SUPPLEMENTAL FILES | |
| File | Description |
| TFZ_IDX.* - Supplement Series Properties |
Descriptive data for all TREASNOX series |
| TFZ_MTH_BP.* -
Monthly Bond Portfolio Series |
Fama Maturity Portfolios – Monthly Only |
| TFZ_MTH_FB.* - Monthly Fama Bliss Discount Series | Fama-Bliss Discount Bonds – Monthly Only |
| TFZ_DLY_FT.* - Daily Fixed Term Indexes |
Daily Fixed-Term Series |
| TFZ_MTH_FT.* - Monthly Fixed Term Indexes |
Monthly Fixed-Term Series |
| CRSP Risk-Free Rates Files | |
| TFZ_MTH_RF.* - Monthly Riskfree Series (1-Month and 3-Month) |
Monthly risk-free series beginning in 1925 |
| TFZ_DLY_RF2.* - Daily Riskfree Series (4-, 13-, and 26-week) |
New daily risk-free series. Data series begins June 15, 1961. |
| TFZ_MTH_RF2.* - Monthly Riskfree Series (4-, 13-, and 26-week) |
New monthly risk-free series. Data begin June 30, 1961. |
| Term Structure Files | |
| TFZ_MTH_TS.* - Monthly Term Structure Series |
Monthly term structure files. Individual files in the monthly legacy format are consolidated into this single file in the new flat files. |
| TRZ_DLY_TS2.* - Daily 26-Week Term Structure |
Daily Treasury Bill 26-Week Term Structure Files |
| TRZ_MTH_TS2.* - Monthly 26-Week Term Structure |
Monthly Treasury Bill 26-Week Term Structure Files |