CRSP US Treasury Database
The CRSP US Treasury and Inflation Series contain returns and index levels on the US Government Bond Fixed Term Index Series, and the Risk Free Rates File. The US Treasury Database begins
in 1925 for month-end data and in 1961 for daily data. Over 1.6 million end-of-day price observations for
3,350 US Treasury bills, notes, and bonds and over 101,500 prices for 5,300 month-end issues are
included in the databases.
key features include:
- Identifying Information and Quote Data:
- CRSPID® (CRSP's unique identifier)
- Bid and Ask
- Maturity Date
- Coupon Rate
- Taxability of Interest
- Yield Data
- End-of-Day Data:
- Accrued Interest
- End of Month Data:
- Annualized Yield to Maturity
- Interest Payable
- Yield to Maturity (compounded semi-annually)
- Debt Data:
- Debt Outstanding
- Total Debt
- Publicly Held Debt
- Fixed-Term Indexes: Highlight the performance of single treasury issues at fixed maturity horizons.
- Nine groups of indexes with: 30-year, 20-year, 10-year, 7-year, 5-year, 2-year, 1-year, 90-day and 30-day target maturity indexes.
- Index creates a sophisticated bond yield curve, allowing the selection of data items referenced by returns, prices and duration.
- CRSP Supplemental Files:
- Designed by Professor Eugene F. Fama, these files extract term structures and risk-free rates. There are four groups of Fama files available with the month-end data file:
- The Treasury Bill Term Structure Files (data begin in 1952):
- A series of 24 files of term structures based on selected Treasury Bills.
- Three series based on bid, ask and average prices.
- Each series has a subset based on 6- and 12-month target maturities which contains prices, yields, forward rates and holding period returns files.
- The Fama-Bliss Discount Bond Files (data begin in 1952):
- Contain artificial discount bonds with 1 to 5 years to maturity, constructed after first extracting the term structure from a filtered subset of the available bonds.
- The Risk-Free Rates File (data begin in 1925):
- Contains 1- and 3-month risk free rates for use in pricing and macroeconomic models.
- Provides lending and borrowing rates derived from bid, ask, and bid/ask average prices.
- The Maturity Portfolio Returns File (data begin in 1952):
- Contains two files of portfolio holding period returns.
- Portfolios of 6 months and 1 year maturity intervals are constructed.
- Delivery: Annual, quarterly or monthly update frequencies are available.
- The CRSP US Treasury Database is available in ASCII (tabular) format. FORTRAN and C conversion programs are included to provide data access, to convert the data to binary, and to access the data via SAS® and Microsoft Excel®.
- The SAS file contains all of the files combined and distributed in one large transport file created in SAS PROC CPORT.
- The Excel files are unable to support the master and cross reference files due to size, but contain the other data files.
- Third party access is provided via the WRDS (Wharton Research Data Services) internet platform (for academic and government subscribers only.)
For additional information on the CRSP US Treasury and Inflation Series please contact subscriptions@crsp.ChicagoBooth.edu or call Subscriptions at 312-263-6400.