Term Structure Files

CRSP creates two sets of Term Structure Files.  The long-standing Fama Treasury Bill Term Stucture files are produced monthly-only and begin in 1950.  CRSP also produces a second set of daily/monthly 26-week term structure files that begin at various points in 1961.

Fama Treasury Bill Term Structure Files – Monthly Only

The Term Structure Files are calculated in three alternative ways using the:

  • Average of the bid and ask quotes
  • Bid quotes
  • Ask quotes

Data items are derived from using 6-month and 12-month Treasury bills. For each type of bill, Forward Rates, Yields, and Holding Period Returns are calculated.

Each series is built by selecting the bill closest to either 6 or 12 months to maturity, and then following that bill through to maturity. Each term structure series is accessed by a TREASNOX.

12-month series are represented by the TREASNOX range 2000010-2000021, with each TREASNOX representing a different number of months to maturity, between one and 12. The 12-month representative bill used was the longest bill with more than 11 months and 10 days to maturity. This can result in a large variation between target and actual maturities.

6-month series are represented by the TREASNOX range 2000022-2000027, with each TREASNOX representing a different number of months to maturity, between one and 6. The 6-month bills have been extended back in time so that prior to the availability of 6-month bills, 3-month bills were used, and before that, one-month bills were used. The representative 6-month bill was the closest bill to the target maturity with a maximum of 4 days variation on either side of the maturity.

Users interested in short maturities should use the 6-month bills or the Risk-Free Rates rather than the 12-month files.

Computation of Fama T-Bill Files

Let:

 = price of bill with  months to maturity observed at time t

 = number of days to maturity of a  month bill at time t

Then:

= yield to maturity of a  month bill observed at time t

 

 = forward rate from  to t+ observed at time t

= one month holding period return for a  month bill bought at time Iand sold at time t+1 (when it has –1 months remaining to maturity). Note that in the return files, the date for  is the purchase month t.

By convention,  = 0 at maturity. Therefore, when Pt, 0 = 100, Yt, 1 = Ft, 1 = Ht, 1.

The computations do not include transaction costs. All yields, rates and returns have been standardized to a 30.4 day basis and are therefore directly comparable.

TFZ_MTH_TS.* - Monthly Term Structure Series

Monthly term structure files. Individual files in the monthly legacy format are consolidated into this single file in the new flat files.

Column Name description Formats Missing Values
Display ASCII ASCII Excel SAS
(KY)TREASNOX See mappings below 9d 9d      
MCALDT Last Quotation Date in the Month 8d 8d      
RMTREASNO Monthly Series of Related TREASNOs 8d 8d (blank) (blank) (.)
RMCRSPID Monthly Series of Related CRSPIDs 16s 16s (blank) (blank) (blank)
TMDURATN For Bills, simply the days to maturity 6.1lf 20.12e (blank) (blank) (.)
TMBID Monthly Bid 11.6lf 20.12e (blank) (blank) (.)
TMBIDRET Month-Adjusted Bid Hold Return 11.6lf 20.12e (blank) (blank) (.)
TMBIDYLD Month-Adjusted Bid Yield 11.6lf 20.12e (blank) (blank) (.)
TMBIDFWD Month-Adjusted Bid Forward Rate 11.6lf 20.12e (blank) (blank) (.)
TMASK Monthly Ask 11.6lf 20.12e (blank) (blank) (.)
TMASKRET Month-Adjusted Ask Hold Return 11.6lf 20.12e (blank) (blank) (.)
TMASKYLD Month-Adjusted Ask Yield 11.6lf 20.12e (blank) (blank) (.)
TMASKFWD Month-Adjusted Ask Forward Rate 11.6lf 20.12e (blank) (blank) (.)
TMNOMPRC Monthly Nominal Price (Bid/Ask Average) 11.6lf 20.12e (blank) (blank) (.)
TMNOMPRC_FLG Monthly Nominal Price Flag 1c 1c (blank) (blank) (blank)
TMAVERET Month-Adjusted Average Hold Return 11.6lf 20.12e (blank) (blank) (.)
TMAVEYLD Month-Adjusted Average Yield 11.6lf 20.12e (blank) (blank) (.)
TMAVEFWD Month-Adjusted Average Forward Rate 11.6lf 20.12e (blank) (blank) (.)
MAPPINGS For f*6.dat files, TREASNOX 2000022 through TREASNOX 2000027 map to columns 2-7 respectively
For f*12.dat files, TREASNOX 2000010 through TREASNOX 2000021 map to columns 2-13 respectively