The University of Chicago's Center for Research in Security Prices
(CRSP) has produced a machine-readable database of U.S. government
security price information, consisting of several files. The main
files are the CRSP Government Bond Master File, contains essentially all government
securities issued between December 1925 and the present, priced
monthly, and the CRSP Daily Government Bond Master File, with similar coverage on a daily basis since 1962. The files are updated annually.
A subscription to the CRSP Government Bond Databases (monthly and daily) has been acquired by the O'Neill Library, and a version of these data has been installed on the econ.bc.edu mySQL database access system.
This table contains information needed to calculate timespans between a particular date and a security's maturity date, in terms of an exact number of calendar days. All Bond Master File data are referenced to a particular month; month one is December 1925. The following columns are defined in the table:
| column name | data type | definition |
| NMON | integer | month number; 1=12/1925, 793=12/1991, etc. |
| NQDATE | integer | day number of quotation date; number of days from 1/1/1900 to quotation date. |
| NDZERO | integer | day number of zero-th day of month; number of days from 1/1/1900 to last day of month preceding this month. |
| NDDATE | integer | day number of delivery date; number of days from 1/1/1900 to delivery date. |
| NQTOQD | integer | number of days from last quotation date to this quotation date |
| JDDATE | date | delivery date |
| JQDATE | date | quotation date |
| NUMDAT | integer | number of securities that were active during this month |
use http://econ.bc.edu/crsp/mbhdr.dta
The Stata format file may be especially useful if you havw downloaded a subset of the monthly bond quotes file. The header file may be merged on to the monthly bond quotes file using CRSPID as the merge key.
The CRSP Bond Master file is an hierarchical file, containing a "header record" describing each security, followed by a number of "quote records", each one of which contains one price quotation for that security. This structure has been implemented in mySQL as two tables: the MONTHLY_BOND_HEADER table, containing the header records, and the MONTHLY_BOND_QUOTES table, containing the quotation records. The following columns are defined in the table:
| column name | data type | definition |
| CRSPID | char(15) | CRSP issue identification number, in format YYYYMMDD.TCCCCE, where YYYY=maturity year, MM=maturity month, DD=maturity day, T=type of issue (ITYPE), CCCC=int(100 COUPRT), E=uniqueness number (assigned if other characteristics do not ensure uniqueness). |
| CUSIP | char(8) | CUSIP number |
| NAME | char(8) | Name of government security |
| IDTMAT | date | Maturity date at time of issue |
| ITYPE | char(1) | Type of issue: 1=non callable bond 2=non callable note 3=certificate of indebtedness 4=Treasury bill 5=callable bond 6=callable note 7=tax anticipation cert. of indebtedness 8=tax anticipation bill 9=other; unusual provisions |
| COUPRT | float | Coupon rate, per cent per annum. Annual interest per $100 of face value. |
| IUNIQ | float | |
| IWHY | char(1) | Reason for end of data on file code. 0=still quoted; 1=matured; 2=called for redemption; 3=all exchanged; 4=sources no longer quote issue. |
| IDTDTD | date | Date dated by Treasury. Coupon issues accrue interest beginning on the dated date. Some issues are "long" or "short" coupon issues, where more or less than 6 months separate the dated date and the first coupon payment date. |
| IDTBNK | date | Bank eligibility date at time of issue. If NULL, no restrictions on bank eligibility apply. If non-NULL, this is the date on which restrictions on bank ownership were removed. |
| IDTCP | date | First call date at time of issue. If NULL, issue is not callable. If non-NULL, all interest payment dates on and following IDTCP are possible call dates. |
| IYMCN | char(6) | Year and month of first call notice. Zero if not called or not callable. |
| NOTICE | char(1) | Notice required on callable issues, in months; 0=no notice required or not callable. |
| ITAX | integer | Taxability of interest code. 1=fully taxable for federal income tax purposes. 2=partially tax exempt. 3=fully tax exempt. |
| IFLWR | char(1) | Payment of estate taxes ("flower bond") code. 1=no special status. 2 and 3 denote types of flower bonds. |
| NIPPY | integer | Number of interest payments per year; 0 for Treasury bill or discount instrument. |
| IDTFC | date | Date of first coupon payment |
| VALFC | float | Amount of first coupon payment |
The detail records from the CRSP Bond Master File, containing individual months' quotations and volume information, are contained in the MONTHLY_BOND_QUOTES table. This table may be joined to BOND_HEADER via the column CRSPID, which is unique in BOND_HEADER. It may also be joined to MONTHLY_BOND_CALENDAR via the column JDATE, which are unique in MONTHLY_BOND_CALENDAR. The following columns are defined in the table:
| column name | data type | definition |
| JDATE | date | quotation date |
| CRSPID | char(15) | CRSP issue identification number |
| PRIC1R | float | Month-end bid price where available. If zero, no price available. If negative, only ask price available. |
| PRIC2R | float | Month-end ask price where available. If zero, no price (or only sale price) available. If negative, only bid price available. |
| ACCINT | float | Accrued interest at month-end, calculated on the basis of the number of days between interest payment dates per $100 face value. Interest is accrued from the last interest payment date (or the dated date) to the quotation date. |
| PDINT | float | Interest payable during month |
| ITAX | float | |
| IFLWR | float | |
| YTM | float | Promised daily yield, or daily yield to maturity; the single discount rate which equates the sum of the present discounted values of all future cash flows to the flat price of the security. The flat price is defined as the nominal price (mean of PRIC1R and PRIC2R) plus the accrued interest on the date in question. |
| RETADJ | float | Adjusted excess return; 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 RETADJ is the price equivalent of total return on a common stock, variability in time between quotation dates may contribute an appreciable part of the time-series variance of return (equivalent, for an 8% issue, to random errors in price of one tick). Such errors may be minimized by using RETADJ. |
| DURATN | float | Macaulay Duration: weighted average number of days until cash flows occur, where present values of each payment, discounted by yield to maturity, are used as weights. |
| IOUT1R | integer | Face value outstanding, in millions. |
| IOUT2R | integer | Par value publicly held, in millions. Not available for Treasury bills. |
Please see the documentation for these tables, which are available via the Web interface on econ.bc.edu.
Please see the documentation for these tables, which are available via the Web interface on econ.bc.edu.
Two tables have been created from the "CRSP Risk Free Rates"
file, which gives nominal one and three month risk free rates
from December 1925 to the present. Three yields are provided for
each series, based on the bid, asked and average prices. Yields
are continuously compounded 365 days rates. The CRSP identifier
of the security used and the number of days to maturity of that
issue are also provided.
The one month series was constructed by selecting the Treasury
Bill closest to 30 days to maturity. The three month series used
a 90 day target. Where bills were not available, certificates
and in a few cases notes were used. The CRSP user's manual suggests
that data prior to 1943 are somewhat suspect (perhaps due to the
"Negative Nominal Interest Rates" explained by Stephen
Cecchetti, JPE, Dec. 1988).
The following columns are defined in tables RISKFREE_RATE_MON and RISKFREE_RATE_QTR, which are available via the Web interface on econ.bc.edu.
| QDATE | date | quotation date |
| BID | float | interest rate, per cent p.a. |
| AVERAGE | float | interest rate, per cent p.a. |
| ASK | float | interest rate, per cent p.a. |
| DURATION | integer | number of days to maturity (not Macaulay) |
| ISSUE_USED | char(15) | CRSP issue identification number |