CRSP Treasuries Files

New 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 the following 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 in the reference section.

The following are the codes in the formats section of the below charts:

Code Description
lf Fixed point notation
e Exponent (scientific notation)
d Signed Decimal (Integer)
c Single character
s String
Click on the title below to go directly to that table.
TFZ_ISS.* - Issue Descriptions
TFZ_MAST.* - Master Record
TFZ_DLY.* - Daily Time Series Items
TFZ_MTH.* - Monthly Time Series Items 
TFZ_DLY_CD.* - Daily Rates
TFZ_MTH_CD.* - Monthly Rates
TFZ_PAY.* - Paid Interest Event Series

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.

Column Name Description Formats Missing Values
Display ASCII ASCII Excel SAS
(KY)TREASNO Treasury Record Identifier 9d 9d      
(KY)CRSPID CRSP-Assigned Unique ID 15.15s 15.15s      
CRSPID CRSP-Assigned Unique ID 15.15s 15.15s      
TCUSIP Treasury CUSIP 8s 8s 0XX 0XX 0XX
TDATDT Date Dated by Treasury 8d 8d 0 (blank) (.)
TMATDT Maturity Date at Time of Issue 8d 8d      
IWHY Reason for End of Data 1d 1d 0 (blank) (.)
TCOUPRT Coupon Rate 7.3lf 20.12e      
TNIPPY Number of Interest Payments Per Year 1d 1d 0 (blank) (.)
TVALFC Amount of First Coupon per $100 Face Value 9.6lf 20.12e      
TFCPDT First Coupon Payment Date 8d 8d 0 (blank) (.)
IFCPDTF First Coupon Payment Date Flag 2d 2d 0 (blank) (.)
TFCALDT First Eligible Call Date 8d 8d 0 (blank) (.)
TNOTICE Notice Required on Callable Issues 1d 1d 0 (blank) (.)
IYMCN Year and Month of First Call Notice 6d 6d 0 (blank) (.)
ITYPE Type of Issue 2d 2d      
IUNIQ Uniqueness Number 1d 1d 0 (blank) (.)
ITAX Taxability of Interest 1d 1d      
IFLWR Payment of Estate Tax Code 1d 1d      
TBANKDT Bank Eligibility Date at Time of Issue 8d 8d 0 (blank) (.)
TSTRIPELIG Future Use - Strip Eligible Flag 4.4s 4.4s (blank) (blank) (blank)
TFRGNTGT Future Use - Foreign Targeted Flag 4.4s 4.4s (blank) (blank) (blank)
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TFZ_MAST.* - MASTER RECORD

Reference for daily and monthly issues, contains first and last dates of daily and monthly series

Column Name Description Formats Missing Values
Display ASCII ASCII Excel SAS
(KY)TREASNO Treasury Record Identifier (both issue and supplemental series) 8d 8d      
TREASNOTYPE Treasury Record Type (1=Issue, 2=supplemental series) 01d 01d      
TMFSTDAT Date of First Monthly Data 8d 8d      
TMLSTDAT Date of Last Monthly Data 8d 8d      
TDFSTDAT Date of First Daily Data 8d 8d 0 (blank) (.)
TDLSTDAT Date of Last Daily Data 8d 8d 0 (blank) (.)
TNAME Name of Government Security 8.8s 8.8s (blank) (blank) (blank)
TREASSYM Future Use - Treasury Trading Symbol 15s 15s (blank) (blank) (blank)
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TFZ_DLY.* - DAILY TIME SERIES ITEMS

Daily time series data for individual treasury issues

Column Name Description Formats Missing Values
Display ASCII ASCII Excel SAS
(KY)TREASNO Treasury Record Identifier 9d 9d      
(KY)CRSPID CRSP-Assigned Unique ID 15.15s 15.15s      
CALDT Quotation Date 8d 8d      
TDBID Daily Bid 11.6lf 20.12e 0.0 0.0 0.0
TDASK Daily Ask 11.6lf 20.12e 0.0 0.0 0.0
TDNOMPRC Daily Nominal Price 11.6lf 20.12e 0.0 0.0 0.0
TDNOMPRC_FLG Daily Nominal Price Flag 1c 1c      
TDSOURCR Daily Price Data Source 1c 1c      
TDACCINT Daily Series of Total Accrued Interest 11.6lf 20.12e      
TDRETNUA Daily Unadjusted Return 11.6lf 20.12e -99.0 -99.0 -99.0
TDYLD Daily Series of Promised Daily Yield 12.8lf 20.12e -99.0 -99.0 -99.0
TDDURATN Daily Series of Macaulay’s Duration 6.1lf 20.12e -1.0 -1.0 -1.0
TDPUBOUT Daily Series of Publicly Held Outstanding 6d 6d 0 (blank) (.)
TDTOTOUT Daily Series of Total Amount Outstanding 6d 6d 0 (blank) (.)
TDPDINT Daily Series of Paid Interest 9.6lf 20.12e      
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TFZ_MTH.* - MONTHLY TIME SERIES ITEMS

Monthly time series data for individual treasury issues

Column Name

 

Description

 

Formats

 

Missing Values

 

Display ASCII ASCII Excel SAS
(KY)TREASNO Treasury Record Identifier 9d 9d      
(KY)CRSPID CRSP-Assigned Unique ID 15.15s 15.15s      
MCALDT Last Quotation Date in the Month 8d 8d      
TMBID Monthly Bid 11.6lf 20.12e 0.0 0.0 0.0
TMASK Monthly Ask 11.6lf 20.12e 0.0 0.0 0.0
TMNOMPRC Monthly Nominal Price 11.6lf 20.12e 0.0 0.0 0.0
TMNOMPRC_FLG Monthly Nominal Price Flag 1c 1c      
TMSOURCR Monthly Price Data Source 1c 1c      
TMACCINT Monthly Series of Total Accrued Interest 11.6lf 20.12e      
TMRETNUA Monthly Unadjusted Return 13.6E 20.12e -99.0 -99.0 -99.0
TMYLD Monthly Series of Promised Daily Yield 12.8lf 20.12e -99.0 -99.0 -99.0
TMDURATN Monthly Series of Macaulay’s Duration 6.1lf 20.12e -1.0 -1.0 -1.0
TMTOTOUT Total Amount Outstanding 6d 6d 0 (blank) (.)
TMPUBOUT Monthly Series of Publicly Held Outstanding 6d 6d 0 (blank) (.)
TMPCYLD Monthly Series of Semi-Annual Yield 11.6lf 20.12e -99.0 -99.0 -99.0
TMRETNXS Monthly Excess Return 11.6lf 20.12e -99.0 -99.0 -99.0
TMPDINT Interest Payable During Month 9.6lf 20.12e      
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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.

Column Name Description Formats Missing Values
Display ASCII ASCII Excel SAS
(KY)TREASNOX See table below for mapping to old variable 9d 9d      
CALDT Quotation Date 8d 8d      
TDRATE Daily Rates 6.2lf 20.12e (blank) (blank) (.)
MAPPINGS TREASNOX 2000052 (contains CD1M), 2000053 (CD3M), 2000054 (CD6M) are the CD Rates
TREASNOX 2000055 (contains CP30D), 2000056 (CP60D), 2000057 (CP90) are the Commercial Paper Rates
TREASNOX 2000058 (contains FFEFRT), 2000059 (FFMINR), 2000060 (FFMAXR) are the Federal Fund Rates
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TFZ_MTH_CD.* - MONTHLY RATES

Monthly version of the daily cd files

Column Name Description
(KY)TREASNOX See below for mappings
MCALDT Last Quotation Date in the Month
TMRATE Monthly Rates
MAPPINGS Rates TREASNOXs are between 2000052 though 2000060
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TFZ_PAY.* - PAID INTEREST EVENT SERIES

Includes paid interest data for individual treasury issues.

Column Name Description Formats Missing Values
    Display ASCII ASCII Excel SAS
(KY)TREASNO Treasury Record Identifier 9d 9d      
(KY)CRSPID CRSP-Assigned Unique ID 15.15s 15.15s      
TPQDATE Interest Payment Date 8d 8d      
PDINT Coupon Interest Payments 9.6lf 20.12e      
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