The CRSP Monthly and Daily US Government Bond Fixed Term Indices Files contain 1, 2, 5, 7, 10, 20 and 30 year fixed term indices. These issues are sorted by termtype, which distinguishes the length of maturity. A valid issue that best represents each term is chosen at the end of each month for each of the above referenced fixed terms. A valid issue is one that is at least one half year prior to the target maturity date and is fully taxable. The selection process filters a representative bond from each of the fixed term groups. The first selection criteria are; a non-callable, non-flower bond that is closest to the target maturity of its group and fully taxable. If more than one issue remains, and/or none are available which fit the above criteria, they are then respectively filtered on the basis of; flower bonds acceptable at par, and accrued interest if owned by descendent at time of death.
These data are accessible via Netscape within the Boston College network on econ.bc.edu.These values were designed to plot a sophisticated yield curve and the user may reference the yields with returns, prices and durations.
The Fixed Term Indices Monthly Files begin in January 1941, while the Daily Files begin June 14,1961. The specific maturities are as follows:
| Term | Index |
| 30 | 30 year |
| 20 | 20 year |
| 10 | 10 year |
| 7 | 7 year |
| 5 | 5 year |
| 2 | 2 year |
| 1 | 1 year |
| Field | Description | ||||||||||||||||||||
| ACCINT | Accrued interest on U.S. Treasury marketable securities is calculated on the basis of the number of days between interest payment dates for a $100 bond or note. Interest is accrued either from the last interest payment date or the dated date (when an interest payment has not yet occurred) to the quotation date. | ||||||||||||||||||||
| BID, ASK | The bid price is the price at which a buyer is willing to purchase a security. The ask price is the price at which the seller is offering to sell the security. Arrays BID and ASK contain month-end bid and ask information when available for each quote date prior to maturity. |
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| CRSPID | CRSP Assigned Unique Issue Identification Number The CRSPID is in the format YYYYMMDD.TCCCCE, where: YYYY = Maturity Year MM = Maturity Month DD = Maturity Day = Type Of Issue (TYPE) CCCC = Integer Part of (COUPRTX100) Uniqueness Number (UNTO) For example, 19850515.504250 identifies a 41/4% callable bond which matures May 15, 1985. For callable notes and bonds, the YYYY portion of the CRSPID contains only the final maturity date of the issue and not the first eligible call date for that issue. |
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| DURATN | Duration (Macaulay's Duration) is 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 weights. |
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| QDATE | Date of Quotation, in YYYYMMDD Format QDATE contains the Trading Quote Dates for the Bond Files. These dates are stored in the form YYYYMMDD (year, month, and date). |
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| RETADJ | One Month Holding Period Return. RETADJ is the one month holding period return expressed as a percentage: RETADJ(I) =100 *RETNUA (I) |
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| TERMYR | Term, in years | ||||||||||||||||||||
| YEARSTM | Years to Maturity. In the fixed term index files, YEARSTM contains the time left to maturity of the selected issue as of the quote date, expressed annually as a decimal amount. | ||||||||||||||||||||
| YTM | YTM is the annualized YIELD to maturity expressed as a percent per annum: YTM(I) =100 *[YLD(I) *365] |