Comparison Between CRSP Legacy and CRSP “Modernized” Treasuries

Increased Precision

Bid, Ask, Yield-to-Maturity, Accrued Interest and Returns have up to 9 places to the right of the decimal point. Legacy files  have 4 places to the right of the decimal point for these same items. In testing, no differences greater than .00005 were found.

New Data Items

  • Nominal Price and Nominal Price Flag – value used in Calculations
  • Monthly rates for CDs, Commercial Paper, and Federal Funds.
  • Daily Risk-Free related items

Item Name Changes

Daily items in the new TRZ data products begin with the letters “TD” (Treasuries Daily). Monthly items begin with “TM” (Treasuries Monthly). For example, Daily Duration is TDDURATION, Monthly Duration is TMDURATION. This change allows users to extract daily and monthly data items within the same query.

Descriptor items that have different names in the daily and monthly legacy files have a common name in the new files. For example, the item, Reason for End of Data, WHY in daily and IWHY in monthly legacy files now has a single item with the name IWHY in the new files.

Some items have completely new item names in order for them to be more easily identified. Legacy items PRICE1R and PRICE2R in the monthly files, BID and ASK in the daily files, are now named TMBID and TMASK in the monthly files and TDBID and TDASK in the daily files.

Refer to page <?> for a complete cross-reference of items between the old and new products.

First Coupon Payment Date Flag (IFCPDTF)

The legacy files use slightly different coding schemes to indicate the state of the first coupon payment date. The new treasury files consistently use standardized codes.

New daily/Monthly Risk-Free Series

New daily and monthly Risk-Free Rate Series are available in the new treasuries data. These new Risk-Free Series begin in 1961.