Monthly Data Items

Name Item ID Description Header Applies to
Ask Yield tmaskytm tmaskytm is the monthly series of yield-to-maturity based on the monthly ask amount. This variable is available only for the original Risk-Free Series, TREASNOX 2000001 – 2000002. tmaskytm is an annualized percent (yield*365*100). AskYTM Riskfree
Bid Yield tmbidytm tmbidytm is the monthly series of yield-to-maturity based on the monthly bid amount. This variable is available only for the original Risk-Free Series, TREASNOX 2000001 – 2000002. tmbidytm is an annualized percent (yield*365*100). BidYld Riskfree
CPI-UPublication Date tmcpipubdt The date the CPI-I was published by the US Bureau of Labor Statistics CPI-U PubDt Monthly CPI
CPI-U Publication DateFlag tmcpipubdt_flg CPI-U Publication Date Flag CPI-U PubDt Flag Monthly CPI
Delivery Date tmdeldt Delivery or Settlement Date for the corresponding quotation date. After 10/16/1996, tmdeldt is currently set to equal to the quotation date (mcaldt) by convention. DelDt Monthly Calendar
Duration tmduratn

Also known as Macaulay’s Duration, duration is the monthly 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
Riskfree
Riskfree 2
Term Structure
Imputer Monthly CPI-AllConsumers tmcpi CPI-U as published by the US Bureau of Statistics CPI-U Monthly CPI
Imputed Monthly CPI – All UrbanConsumers Flag tmcpi_flg Monthly CPI-U Flag CPI-U Flag Monthly CPI
Interest Payable During Month tmpdint Monthly series of coupon interest paid since the previous month-end quotation date. This field is always zero for non-coupon issues, and is zero for coupon issues when no payment was made during the month. IntPay Issue Items
Month-Adjusted Ask Forward Rate tmaskfwd Monthly value of ask forward rates adjusted on a 30.4 day monthly basis. This variable is available for the Term Structure index family, TREASNOX range 2000010-2000027. FwdAskRte Term Structure
Month-Adjusted Ask Hold Return tmaskret Monthly value of holding period returns based on ask, adjusted on a 30.4 day monthly basis. This variable is available for the Term Structure index family, TREASNOX range 2000010-2000027. HldAskRet Term Structure
Month-adjusted Ask Yield tmaskyld Monthly series of yields based on the ask (tmask). For the legacy Term Structure index family (TREASNOX 2000010-2000027), tmaskyld is a month-adjusted (30.4 day basis). For the 4-week, 13-week, and 26-week Riskfree series (TREASNOX 2000061-2000063), tmaskyld is the month-end daily yield. AskYield Riskfree 2
Term Structure
Month-Adjusted Average Hold Return tmaveret Monthly series of Month-Adjusted (30.4 day basis) Holding Period Returns based on Nominal Price (usually the Bid/Ask average). This variable is available only for the Term Structure index family, TREANOX range 2000010 - 2000027. HoldAvgRet Term Structure
Month-Adjusted Average Yield tmaveyld Monthly value of average yields based on nominal price (most often bid/ask average) on a 30.4 day monthly basis. This variable is available for the Term Structure index family, TREASNOX range 2000010-2000027. AvgYld Term Structure
Month-Adjusted Average Yield tmavefwd Monthly value of average forward rates based on nominal price (most often bid/ask average) on a 30.4 day monthly basis. This variable is available for the Term Structure index family, TREASNOX range 2000010-2000027. FwdAvgRte Term Structure
Month-Adjusted Bid Forward Rate tmbidfwd Monthly value of bid forward rates adjusted on a 30.4 day monthly basis. This variable is available for the Term Structure index family, TREASNOX range 2000010-2000027. FwdBidRte Term Structure
Month-Adjusted Bid Hold Return tmbidret Monthly value of holding period returns based on bid, adjusted on a 30.4 day monthly basis. This variable is available for the Term Structure index family, TREASNOX range 2000010-2000027. HldBidRet Term Structure
Month-Adjusted Bid Yield tmbidyld Monthly series of yields based on the bid (tmbid). For the legacy Term Structure index family (TREASNOX 2000010-2000027), tmbidyld is a month-adjusted (30.4 day basis). For the 4-week, 13-week, and 26-week Riskfree series (TREASNOX 2000061-2000063), tmbidyld is the month-end daily yield. BidYld Riskfree 2
Term Structure
Month-Adjusted Bid Yield Flag tmbidyld_flg tmbidyld_flghas valid values of:
B = Bid
This variable is available for the new RiskFree series, TREASNOXs 2000061-2000063.
BidYldF Riskfree 2
Monthly Adjusted Return tmretadj The monthly holding period return expressed as a percentage (tmretnua * 100). See also tmretnua. This variable is available only in the Fixed Term index family, TREASNOX range 2000003 - 2000009. AdjRet Fixed Term
Monthly Ask tmask Monthly Series of asks on the last quotation day of the month. tmask is set to zero for missing. Ask Issue Items
Fixed Term
Term Structure
Monthly Ask Yield Flag tmaskyld_flg tmaskyld_flghas valid values of:
A = Ask
This variable is available for the new RiskFree series, TREASNOXs 2000061-2000063.
AskYldF Riskfree 2
Monthly Average Yield Flag tmyld_flg Values are:
M = Bid/Ask Mean
This variable is only available for the 4-week, 13-week, and 26-week riskfree series (TREASNOX 2000061 - 2000063)
YLDF Riskfree 2
Monthly Bid tmbid Monthly Series of bids on the last quotation day of the month. tmbid is set to zero for missing. Bid Issue Items
Fixed Term
Term Structure
Monthly Equal-Weighted Portfolio Return tmewretd Return value is valid only for the Bond Portfolio index family, represented by TREASNOX range 2000028 – 2000044. EWRETD Bond Portfolios
Monthly Excess Return tmretnxs tmretnxs is the return in excess of what would have been computed if the promised yield from last month on a security had remained constant throughout the month. Although tmretnua is the price equivalent of total return on a common stock, the variability in the time between quotation dates may contribute an appreciable part of the time-series variance of return because, even without taking holidays into consideration, the time between quotation dates ranges from 28 to 33 days. For an issue yielding 8 percent per annum, the variability of return introduced by the variation in the time between quotation dates is roughly equivalent to random errors in price of 1/32 of a point. Such errors and some other equalizing differences among returns may be minimized by using tmretnxs.

tmretnxs is set to -99 for months in which it cannot be calculated, i.e. if the price is missing for either the current or previous month.

Where:
  • Xt is tmretnxs(t), the Excess Return for current month
  • Rt is tmretnua(t), the Unadjusted Return for current month
  • Yt-1 is tmyld(t-1), the Yield for the previous month
  • Nt is the number of days between mcaldt(t), the quote date for the current month, and mcaldt(t-1), the quote date for the previous month
  • It is tmpdint(t), the Interest Paid during the current month – Note the interest paid is usually zero and therefore the entire term is usually zero
  • Ct is the number of days between mcaldt(t), the quote date for the current month, and the corresponding tpqdate, the coupon payment date during the month, (i.e. where mcaldt(t-1) < tpqdate <= mcaldt(t))
  • Pt-1 is tmnomprc(t-1), the nominal price (usually bid/ask average) for previous month
  • At-1 is tmaccint(t-1), the accrued interest for previous month
XsRet Issue Items
Monthly Nominal Price tmnomprc Value used in CRSP calculations, most often the bid and ask average. Prior to 1960, bids and sales were used, see table below. Prc Issue Items
Fama-Bliss
Fixed Term
Term Structure
Monthly Nominal Price Flag tmnomprc_flg
Information in Data Source tmbid tmask tmnomprc Flag

Bid and ask

Bid

Ask

(Bid+ask)/2

M

Bid Only

Bid

-Bid

Bid

B

Sale Only

Sale

0

Sale

T

Unavailable/missing

0

0

0

X

Fama Bliss Series

N/A

N/A

Discount

D
PrcF Issue Items
Fama-Bliss
Fixed Term
Term Structure
Monthly Price Data Source tmsourcr I = ICAP 5pm
J = ICAP 3pm
M = Morgan Guaranty
R = Federal Reserve Bank of New York
S = Salomon Brothers
W = Wall Street Journal
X = GovPX, Inc.
Src Issue Items
Monthly Published Rates tmrate tmrate includes monthly series of published rates available for the Rates index family, TREASNOX range 2000052 – 2000060. Rate Monthly Rates
Monthly Series of Annualized Yield to Maturity tmytm Monthly series of the annualized yield-to-maturity expressed as a percent per year (tmyld * 365 *100). This variable is available for the Fixed Term, Fama Bliss, and Risk Free index families, TREASNOX 2000001-2000009, 2000047-2000051. YTM Fama-Bliss
Fixed Term
Riskfree
Monthly Series of Promised Daily Yield tmyld tmyld  is the promised yield daily rate, also called daily yield-to-maturity.

At any date, the promised yield of a security is the single interest or discount rate which makes the sum of the present values of the principle at maturity and future interest payments be precisely equal to the full price of the security. The full price is the nominal price, e.g., mean of tmbid and tmask, plus the accrued interest on the date in question. If a price is missing, the tmyld for that month is set to -99.
Yield Issue Items
Riskfree 2
Monthly Series of Representative CRSPIDs rmcrspid Monthly Series of Reference CRSPIDs which identify the issue used for a supplemental series. Valid for the fixed term, risk-free, and term ttructure, TREASNOX 2000001-2000027 and 2000061-2000063. See also CRSPID. CRSPID Fixed Term
Riskfree
Riskfree 2
Term Structure
Monthly Series of Representative TREASNO rmtreasno Monthly Series of Reference TREASNOs which identify the issue used for a supplemental series. Valid for the Fixed Term, Risk-Free, and Term Structure, TREASNOX 2000001-2000027 and 2000061-2000063. See also TREASNO. TREASNO Fixed Term
Riskfree
Riskfree 2
Term Structure
Monthly Series of Semi-Annual Yield tmpcyld tmpcyld(I) = 2.0*(etmyld(I) x 182.5 - 1.0)
If a yield is missing, tmpcyld(I) is coded as -99.
PCYld Issue Items
Monthly Series of Total Accrued Interest tmaccint tmaccint 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
Monthly Series of Years Until Maturity tmyearstm Monthly 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
Monthly Unadjusted Return tmretnua tmretnua is the price change plus accrued interest and paid interest, divided by the previous month’s price plus accrued interest.

tmretnua is set to -99 when the price is missing for either this month or the previous month.
For bills, tmpdint and tmaccint are always zero and the equation simplifies to:
Return Issue Items
Publicly Held Outstanding tmpubout Amount (face value) held by the public in millions of dollars. This is the total amount outstanding (tmtotout) minus the amount held in U.S. Government accounts and Federal Reserve Banks. This amount is not available for Treasury Bills and is always set to missing. After December 31, 1982, these numbers are reported quarterly instead of monthly, and the reported values are carried forward the next two months. PubOut Issue Items
Reference CPI tmcpiref Monthly Time Series of the Reference CPI as defined by the Treasury inCFR Reference CPI Monthly CPI
Ref CPI Flag tmcpiref_flg Monthly Reference CPI Flag Ref CPI Flag Monthly CPI
Reference CRSPID Flag
rmcrspid_flg
 
rmcrspid_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 Riskfree 2
Reference TREASNO Flag
rmtreasno_flg
 
rmtreasno_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 Riskfree 2
Total Amount Outstanding tmtotout Total Amount (face value) issued and still outstanding in millions of dollars. Set to missing for unknown values. TotOut Issue Items