Daily Data Items

Name Item ID Description Header Applies to
CPI-UPublication Date tdcippubdbt The date the CPI-I was published by the US Bureau of Labor Statistics CPI-U PubDt Daily CPI
CPI-U Publication DateFlag tdcippubdbt_flg CPI-U Publication Date Flag CPI-U PubDt Flag Daily CPI
Daily Adjusted Return tdretadj tdretadj is the daily holding period return expressed as a percentage. This variable is available only in the Fixed Term index family, TREASNOX range 2000003-2000009.
 
tdretadj(I) = 100*tdretnua(I)
AdjRet Fixed Term
Daily Ask tdask Daily series of asks. tdask is set to zero for missing. Ask Issue Items
Fixed Term
Daily Ask Yield tdaskyld Daily series of yield based on the ask amount. This variable is available for the new RiskFree series, TREASNOX 2000061-2000063. AskYield Dly Riskfree
Daily Ask Yield Flag tdaskyld_flg tdaskyld_flg has valid values of:
A = Ask
 
This variable is available for the new RiskFree series, TREASNOXs 2000061-2000063.
AskYldF Dly Riskfree
Daily Bid tdbid Daily series of bids. tdbid is set to zero for missing. Bid Issue Items
Fixed Term
Daily Bid Yield tdbidyld Daily series of yield based on the bid amount. This variable is available for the new RiskFree series, TREASNOX 2000061-2000063. BidYld Dly Riskfree
Daily Bid Yield Flag tdbidyld_flg tdbidyld_flg has valid values of:
B = Bid
 
This variable is available for the new RiskFree series, TREASNOXs 2000061-2000063.
BidYldF Dly Riskfree
Daily Nominal Price tdnomprc Value used in CRSP calculations. For daily, this is either the bid and ask average or it is set to zero when unavailable. Prc Issue Items
Fixed Term
Daily Nominal Price Flag tdnomprc_flg
Information in
Data Source
tdbid tdask flag
Average of Bid and Ask Bid Ask M
Unavailable or missing 0.0 0.0 X
PrcF Issue Items
Fixed Term
 
Daily Published Rates tdrate tdrate contains a daily series of published rates available for the Rates index family, TREASNOX range 2000052-2000060. Rate Daily Rates
Daily Series of Annualized Yield to Maturity tdytm tdytm is the annualized yield-to-maturity expressed as a percent per annum. This variable is only available for the Fixed Term index family, TREASNOX range 2000003–2000009.
 
tdytm(I)=100*tdyld*365.0
YTM Fixed Term
Daily Series of Macaulay’s Duration tdduratn Also known as Macaulay’s Duration, duration is the daily series of the weighted average number of days until the cash flows occur, where the present values, discounted by yield to maturity, of each payment are used as the weights1.
 
For all issues with only a single payment at maturity remaining, which includes all bills, duration is equal to the days to maturity.
 
1Some Theoretical Problems of Interest Rates, Bond Yields and Stock Prices in the United States Since 1856. Frederick R. Macaulay, National Bureau of Economic Research, 1938, 44-53.
Duration Issue Items
Fixed Term
Dly Riskfree
Daily Series of Paid Interest tdpdint Daily Series of Coupon interest paid since the previous trading day. This field is always zero for non-coupon issues, and is almost always zero for coupon issues. Coupon Issue Items
Daily Series of Promised Daily Yield tdyld tdyld is the promised yield daily rate, also called daily yield to maturity.
 
On any given date, the promised yield of a security is the single interest or discount rate that makes the sum of the present values of the principal at maturity plus future interest payments equal to the full price of the security. The full price is the nominal price plus the accrued interest. If a price is missing, the tdyld is set to -99.
Yield Issues Items
Dly Riskfree
Daily Series of Publicly Held Outstanding tdpubout Daily Series of the amount (face value) held by the public in millions of dollars. This series is derived from the monthly series tmpubout. See tmpubout for more information. tdpubout is set to missing when unavailable. PubOut Issue Items
Daily Series of Representative CRSPIDs rdcrspid Daily Series of Reference CRSPIDs which identify the issue used for a supplemental series. Valid only for the Fixed Term family (TREASNOX 2000003-2000009) and 4-week, 13-week, and 26-week Risk-Free series (TREASNOX 2000061-2000063). See also CRSPID. CRSPID Fixed Term
Dly Riskfree
Daily Series of Representative TREASNO rdtreasno Daily Series of Reference TREASNOs which identify the issue used for a supplemental series. Valid only for the Fixed Term family (TREASNOX 2000003-2000009) and 4-week, 13-week, and 26-week Risk-Free Series (TREASNOX 2000061-2000063). See also TREASNO. TREASNO Fixed Term
Dly Riskfree
Daily Series of Total Accrued Interest tdaccint tdaccint is calculated on the basis of the number of days between interest payment dates for a $100 bond or note and the number of days from the last payment date (or from the dated date for the first coupon) to the quotation date. TotAccInt Issue Items
Fixed Term
 
Daily Series of Total Amount Outstanding tdtotout Daily Series of the total amount (face value) issued and still outstanding, expressed in millions of dollars. This series is derived from the monthly series tmtotout. tdtotout is set to missing when unavailable. TotOut Issue Items
 
Daily Series of Years to Maturity tdyearstm Daily series of the remaining years to maturity for the selected issue as of the quote date, calculated by dividing by 365.25 and expressed as a decimal number of years. This variable is only available for Fixed Term index family, TREASNOX range 2000003 - 2000009. YrsMat Fixed Term
Daily Unadjusted Return tdretnua tdretnua is the price change plus accrued interest and paid interest, divided by the previous day’s price plus accrued interest.
tdretnua1.jpg
 
tdretnua is set to -99 when the price is missing for either this day or the previous day.
 
For bills, tdpdint and tdaccint are always zero and the equation simplifies to:
tdretnua2.jpg
 
Return Issue Items
Daily Yield Flag tdyld_flg tdyld_flg has valid values of:
M = Mean of Bid and Ask
 
This variable is available for the new RiskFree series, TREASNOXs 2000061-2000063.
YLDF Dly Riskfree
Delivery Date tddeldt Delivery or Settlement Date for the corresponding quotation date. Starting on 10/16/1996, tddeldt is currently set to equal to the quotation date (caldt) by convention. DelDt Daily Calendar
Daily Price Data Source tdsourcr Primary Data Source
I = ICAP 5pm
J = ICAP 3pm
R = Federal Reserve Bank of New York
S = Salomon Brothers
W = Wall Street Journal - present (Associated Press: 6/14/61-8/20/87, Bloomberg: 8/28/87-7/2/90, Bear-Stearns: 12/4/90-2008)
M = No quote was available
X = GovPX, Inc.
Src Issue Items
Imputer Daily CPI-All Consumers tdcpi CPI-U as published by the US Bureau of Statistics CPI-U Daily CPI
Imputed Daily CPI – AllConsumers Flag tdcpi_flg Daily CPI-U Flag CPI-U Flag Daily CPI
Reference CPI tdcpiref Daily Time Series of the Reference CPI as defined by the Treasury in CFR Reference CPI Daily CPI
Ref CPI Flag tdcpiref_flg Daily Reference CPI Flag Ref CPI Flag Daily CPI
Reference CRSPID Flag rdcrspid_flg Values identify the selection process of the representative CRSPID.
A = Selected via Algorithm
O = Manual Override
V = Researcher Validated
 
It is applicable for the new Risk Free series with the TREASNOX range 2000061-2000063.
crspidF Dly Riskfree
Reference TREASNO Flag rdtreasno_flg Values identify the selection process of the representative TREASNO.
A = Selected via Algorithm
O = Manual Override
V = Researcher Validated
 
It is applicable for the new Risk Free series with the TREASNOX range 2000061-2000063.
treasnoF Dly Riskfree