CRSP Treasury and Inflation Indexes
The CRSP US Treasury and Inflation Series (CTI) Files are provided on a monthly frequency. The series contains returns adapted from the CRSP US Treasury Fixed Term Index Series, the CRSP Risk Free Rates File, and the US Government Consumer Price Index. These derived files offer 10 groups of indexes: 30 year, 20 year, 10 year, 7 year, 5 year, 2 year, 1 year, 90 day, and 30 day target maturity indexes, as well as the Consumer Price Index.
For fixed-term series with maturities of one year or greater, a representative Treasury bond or note for each series is selected. Available issues are filtered on the basis of their characteristics. Each month, the most recent non-callable, non-flower, and fully taxable issue closest to the target maturity is selected. If none are found, a second pass allows flower bonds. Note that all these series begin in 1941 or 1942 due to the lack of suitable issues in the early history.
For thirty and ninety day risk-free series, a representative Treasury bill for each series is selected. Each month the issue maturing closest to the target duration, as measured from the end of the previous month, is selected. Bills must have at least thirty days to their maturity date to be selected for the thirty day series. However, for ninety day series, bills with less than ninety days to maturity may be selected. Due to the lack of data, the selection process in periods prior to 1942 is somewhat subjective and the maturities of the selected issues may deviate more than several days from the thirty and ninety day targets. Where bills were not available, certificates or notes may have been used. Exclusions may include:
- suspicious quotes,
- issues that did not mature on their next coupon payment data, or
- bid quotations that implied negative yields.
Each monthly return is calculated as price change plus interest, divided by last month’s price. The returns and corresponding index values are set to -99 for months in which a return cannot be calculated, i.e. if the price is missing for either this month or last month, or if no valid issue was available.
The issue chosen for the 30, 20, 10, 7, 5, 2, and 1 year Fixed Term Index series for a given date was selected based on its length to maturity as of the date. The returns contained in these series are calculated under the assumption that the relevant issue is bought one month prior to the quote date and sold on the date.
The issue chosen for the 90 and 30 day Treasury Bill series on a given date was selected based on its length to maturity as of the month immediately prior to the date. The 90 and 30 day series returns were calculated on the basis of buying the relevant issue one month prior to the date and selling it on the date. For example, a 90 day bill return is calculated between a date approximately 90 days prior to the bill’s maturity, and the date which is a month after this date. Likewise, a 30 day bill return is calculated between a date approximately 30 days prior to the bill’s maturity, and the date which is a date one month later. In cases where the date chronologically approached or exceeded the maturity date, thereby making a final price unavailable, the return was calculated based on a final price of $100.
The associated index levels of the CRSP US Treasury and Inflation Series all have been initialized so that December 29, 1972 (19721229) equals 100. This facilitates comparison between the CTI Indexes and Stock File Indexes.