Reference Information

Click here to see the CRSPSift TREASNOX Files ->

 

Legacy Item Cross Reference

The following table provides a cross-reference of item identifiers for CRSP treasury products.

Category New Mnemonic (TRZ) Legacy Daily (BD) Legacy Daily File Name Legacy Monthly (BM) Legacy Monthly
File Name
Item Name
Identifiers
  CRSPID CRSPID bmquotes, bxquotes, bmyield, bxyield CRSPID MBM Data Record, MBX CRSP-Assigned Unique ID
  RDCRSPID CRSPID bxdlyind     Daily Series of Related CRSPIDs
  RDTREASNO NEW N/A     Daily Series of Related TREASNOs
  RMCRSPID     CRSPID bxmthind Monthly Series of Related CRSPIDs
  RMTREASNO     NEW N/A Monthly Series of Related TREASNOs
  TNAME NAME bmheader NAME MBM -header record Name of Government Security
  TREASNO NEW N/A NEW N/A Treasury Record Identifier
Category New Mnemonic (TRZ) Legacy Daily (BD) Legacy Daily File Name Legacy Monthly (BM) Legacy Monthly
File Name
Item Name
Descriptors & Event Data
  IFCPDTF FCPDTF bmheader.dat NEW MBM -header record First Coupon Payment Date Flag
  IFLWR FLOWER bmheader.dat IFLWR MBM -header record, MBX Payment of Estate Tax Code
  ITAX TAX bmheader.dat ITAX MBM -header record, MBX Taxability of Interest
  ITYPE TYPE bmheader.dat ITYPE MBM -header record Type of Issue
  IUNIQ UNIQ bmheader.dat IUNIQ MBM -header record Uniqueness Number
  IWHY WHY bmheader.dat IWHY MBM -header record Reason for End of Data
  IYMCN YMCNOT bmheader.dat IYMCN MBM -header record Year and Month of First Call Notice
  PDINT PDINT bmheader.dat PDINT(I) MBM -header record Coupon Interest Payments
  TBANKDT BANKDT bmheader.dat IDTBNK MBM -header record Bank Eligibility Date at Time of Issue
  TCOUPRT COUPRT bmheader.dat COUPRT MBM -header record Coupon Rate
  TCUSIP CUSIP bmheader.dat CUSIP MBM -header record Treasury CUSIP
  TDATDT DATDT bmheader.dat IDTDTD MBM -header record Date Dated by Treasury
  TFCALDT FCALDT bmheader.dat IDTCP MBM -header record First Eligible Call Date
  TFCPDT FCPDT bmheader.dat IDTFC MBM -header record First Coupon Payment Date
  TMATDT MATDT bmheader.dat IDTMAT MBM -header record Maturity Date at Time of Issue
  TMFSTDAT QDATE(FSTQUO) N/A QDATE(MSTART) MBM -header record Date of First Monthly Data
  TMLSTDAT QDATE(LSTQUO) N/A QDATE(MFINIS) MBM -header record Date of Last Monthly Data
  TNIPPY NIPPY bmheader.dat NIPPY MBM -header record Number of Interest Payments Per Year
  TNOTICE NOTICE bmheader.dat NOTICE MBM -header record Notice Required on Callable Issues
  TPQDATE PQDATE bmpaymnts NEW N/A Interest Payment Date
  TREASNOTYPE NEW N/A NEW N/A Treasury Record Type
  TVALFC VALFC bmheader.dat VALFC MBM -header record Amount of First Coupon per $100 Face Value
Category New Mnemonic (TRZ) Legacy Daily (BD) Legacy Daily File Name Legacy Monthly (BM) Legacy Monthly
File Name
Item Name
Daily Time Series Items
  TDACCINT ACCINT bmyield, bxyield     Daily Series of Total Accrued Interest
  TDASK ASK bmquotes, bxquotes     Daily Ask
  TDBID BID bmquotes, bxquotes     Daily Bid
  TDDURATN DURATN bmyield, bxyield     Daily Series of Macaulay’s Duration
  TDNOMPRC NEW N/A     Daily Nominal Price
  TDNOMPRC_FLG NEW N/A     Daily Nominal Price Flag
  TDPDINT PDINT bmpaymts     Daily Series of Paid Interest
  TDPUBOUT PUBOUT bmdebt     Daily Series of Publicly Held Outstanding
  TDRATE Multiple bxcalind     Daily Published Rates
  TDRETADJ RETADJ bxdlyind     Daily Adjusted Return
  TDRETNUA RETNUA bmyield, bxyield     Daily Unadjusted Return
  TDSOURCR SOURCR bmquotes, bxquotes     Daily Price Data Source Flag
  TDTOTOUT TOTOUT bmdebt     Daily Series of Total Amount Outstanding
  TDYLD YLD bmyield, bxyield     Daily Series of Promised Daily Yield
Category New Mnemonic (TRZ) Legacy Daily (BD) Legacy Daily File Name Legacy Monthly (BM) Legacy Monthly
File Name
Item Name
Monthly Time Series Items
  TMACCINT     ACCINT MBM Data Record, MBX Monthly Series of Total Accrued Interest
  TMASK     PRIC2R MBM Data Record, MBX Monthly Ask
  TMBID     PRIC1R(I) MBM Data Record, MBX Monthly Bid
  TMDURATN     DURATN(I) MBM Data Record, MBX Monthly Series of Macaulay’s Duration
  TMNOMPRC     NEW N/A Monthly Nominal Price
  TMNOMPRC_FLG     NEW N/A Monthly Nominal Price Flag
  TMPCYLD     PCYLD MBM Data Record Monthly Series of Semi-Annual Yield
  TMPDINT     PDINT MBM Data Record, MBX Interest Payable During Month
  TMPUBOUT     IOUT2R MBM Data Record, MBX Monthly Series of Publicly Held Outstanding
  TMRETADJ     RETADJ bxmthind Monthly Adjusted Return
  TMRETNUA     RETNUA MBM Data Record, MBX Monthly Unadjusted Return
  TMRETNXS     RETNXS MBM Data Record Monthly Excess Return
  TMSOURCR     SOURCR MBM Data Record Monthly Price Data Source
  TMTOTOUT     IOUT1R MBM Data Record, MBX Total Amount Outstanding
  TMYLD     YIELD MBM Data Record, MBX Monthly Series of Promised Daily Yield
  TMYTM     YTM famablisyld.dat Monthly Series of Annualized Yield to Maturity
Category New Mnemonic (TRZ) Legacy Daily (BD) Legacy Daily File Name Legacy Monthly (BM) Legacy Monthly
File Name
Item Name
TREASNOX
  TDYEARSTM YEARSTM bxdlyind     Daily Series of Years to Maturity
  TDYTM YTM bxdlyind     Daily Series of Annualized Yield to Maturity
  TIDXFAM         Treasury Index Family
  TMASKFWD       ffwdask6.dat
ffwdask12.dat
Month-Adjusted Ask Forward Rate
  TMASKRET       fhldask6.dat
fhldask12.dat
Month-Adjusted Ask Hold Return
  TMASKYLD       fyldask6.dat
fyldask12.dat
Month-Adjusted Ask Yield
  TMASKYTM       riskfree.dat Monthly Series of Annualized Yield to Maturity
  TMAVEFWD       ffwdave6.dat
ffwdave12.dat
Month-Adjusted Average Forward Rate
  TMAVERET       fhldave6.dat
fhldave12.dat
Month-Adjusted Average Hold Return
  TMAVEYLD       fyldave6.dat
fyldave12.dat
Month-Adjusted Average Yield
  TMBIDFWD       ffwdbid6.dat
ffwdbid12.dat
Month-Adjusted Bid Forward Rate
  TMBIDRET       fhldbid6.dat
fhldbid12.dat
Month-Adjusted Bid Hold Return
  TMBIDYLD       fyldbid6.dat
fyldbid12.dat
Month-Adjusted Bid Yield
  TMBIDYTM       riskfree.dat Bid Yield
  TMEWRETD       bondport6.dat
bondport12.dat
Monthly Equal Weighted Portfolio Return
  TMYEARSTM     YEARSTM bxmthind Monthly Series of Years Until Maturity
  TTERMTYPE TERMTYPE   TERMTYPE   Term Type
Category New Mnemonic (TRZ) Legacy Daily (BD) Legacy Daily File Name Legacy Monthly (BM) Legacy Monthly
File Name
Item Name
Reserved for Future Use
  TELIGDESC         Eligibility Description
  TFRGNTGT         Foreign Target Equivalent Flag
  TIDXFAM         Treasury Index Family
  TREASSYM         Treasury Symbol
  TSELDESC         Selection Description
  TSTRIPEELIG         Strip Eligibility
  TTERMLBL         Maturity and Rebalancing Label
  TTERMMAX         Max Days to Maturity to be Eligible
  TTERMMIN         Min Days to Maturity to be Eligible


 

CRSPSift TREASNOX Files

Text files for the full list of TREASNOXs for each supplemental series, that can be used as input files in Sift, are available online at www.crsp.chicagobooth.edu/documentation/treasnox.html. For example, treasnox_termstructure.txt contains the eighteen TREASNOXs that are valid for the Monthly Treasury Term Structure data group. A single TREASNOX can be retrieved using the “Find” button, but the new text files provide a convenient way to access all the related TREASNOXs at once as an input file for TRS_Query.

TREASNOX Term Type Description
Index Family: RISKFREE
2000001 Risk-Free Rates – 1 Month
2000002 Risk-Free Rates – 3 Month
RISKFREE2
2000061 Risk Free 4-Week
2000062 Risk Free 13-Week
2000063 Risk Free 26-Week
Index Family: FIXEDTERM
Fixed Term
2000003 1 Year Bonds, Start Date 1/31/1941
2000004 2 Year Bonds, Start Date 1/31/1941
2000005 5 Year Bonds, Start Date 4/30/1941
2000006 7 Year Bonds, Start Date 4/30/1941
2000007 10 Year Bonds, Start Date 5/31/1941
2000008 20 Year Bonds, Start Date 1/31/1942
2000009 30 Year Bonds, Start Date 11/29/1941
Index Family: TERMSTRUCT
Fama Term Structure
2000010 Fama 12 Month T-Bills – 1 Month
2000011 Fama 12 Month T-Bills – 2 Month
2000012 Fama 12 Month T-Bills – 3 Month
2000013 Fama 12 Month T-Bills – 4 Month
2000014 Fama 12 Month T-Bills – 5 Month
2000015 Fama 12 Month T-Bills – 6 Month
2000016 Fama 12 Month T-Bills – 7 Month
2000017 Fama 12 Month T-Bills – 8 Month
2000018 Fama 12 Month T-Bills – 9 Month
2000019 Fama 12 Month T-Bills – 10 Month
2000020 Fama 12 Month T-Bills – 11 Month
2000021 Fama 12 Month T-Bills – 12 Month
2000022 Fama 6 Month T-Bills – 1 Month
2000023 Fama 6 Month T-Bills – 2 Month
2000024 Fama 6 Month T-Bills – 3 Month
2000025 Fama 6 Month T-Bills – 4 Month
2000026 Fama 6 Month T-Bills – 5 Month
2000027 Fama 6 Month T-Bills – 6 Month
INDEX FAMILY: BONDMAPORT
Fama Bond Portfolio Return
2000028 Fama BondPort Return – 6Mo Range <=6Month
2000029 Fama BondPort Return -6Mo Range <=12Month
2000030 Fama BondPort Return -6Mo Range <=18Month
2000031 Fama BondPort Return -6Mo Range <=24Month
2000032 Fama BondPort Return -6Mo Range <=30Month
2000033 Fama BondPort Return -6Mo Range <=36Month
2000034 Fama BondPort Return -6Mo Range <=42Month
2000035 Fama BondPort Return -6Mo Range <=48Month
2000036 Fama BondPort Return -6Mo Range <=54Month
2000037 Fama BondPort Return -6Mo Range <=60Month
2000038 Fama BondPort Return > 60 <= 120 Month
2000039 Fama BondPort Return > 120 Month
2000040 Fama BondPort Return -12Mo Range <=12Month
2000041 Fama BondPort Return -12Mo Range <=24Month
2000042 Fama BondPort Return -12Mo Range <= 36Month
2000043 Fama BondPort Return -12Mo Range <= 48Month
2000044 Fama BondPort Return -12Mo Range <= 60Month
2000045 Reserved for future use – Duplicate of 2000038
2000046 Reserved for future use – Duplicate of 2000039
Index Family: DISCBOND
Fama-Bliss Discount Bonds
2000047 Fama Bilss Discount Bonds 1 Year
2000048 Fama Bilss Discount Bonds 2 Year
2000049 Fama Bilss Discount Bonds 3 Year
2000050 Fama Bilss Discount Bonds 4 Year
2000051 Fama Bilss Discount Bonds 5 Year
Index Family: RATES
Rates
2000052 1-Month Certificate of Deposit Rate
2000053 3-Month Certificate of Deposit Rate
2000054 6-Month Certificate of Deposit Rate
2000055 30-Day Commercial Paper Rate
2000056 60-Day Commercial Paper Rate
2000057 90-Day Commercial Paper Rate
2000058 Federal Funds Effective Rate
2000059 Federal Funds Minimum Trading Range
2000060 Federal Funds Maximum Trading Range
Index Family: TERMSTRUCT
26-week daily/monthly Term Structure
2000064 Fama T-Bill 26-Week Term Structure - 1 Week
2000065 Fama T-Bill 26-Week Term Structure - 2 Week
2000066 Fama T-Bill 26-Week Term Structure - 3 Week
2000067 Fama T-Bill 26-Week Term Structure - 4 Week
2000068 Fama T-Bill 26-Week Term Structure - 5 Week
2000069 Fama T-Bill 26-Week Term Structure - 6 Week
2000070 Fama T-Bill 26-Week Term Structure - 7 Week
2000071 Fama T-Bill 26-Week Term Structure - 8 Week
2000072 Fama T-Bill 26-Week Term Structure - 9 Week
2000073 Fama T-Bill 26-Week Term Structure - 10 Week
2000074 Fama T-Bill 26-Week Term Structure - 11 Week
2000075 Fama T-Bill 26-Week Term Structure - 12 Week
2000076 Fama T-Bill 26-Week Term Structure - 13 Week
2000077 Fama T-Bill 26-Week Term Structure - 14 Week
2000078 Fama T-Bill 26-Week Term Structure - 15 Week
2000079 Fama T-Bill 26-Week Term Structure - 16 Week
2000080 Fama T-Bill 26-Week Term Structure - 17 Week
2000081 Fama T-Bill 26-Week Term Structure - 18 Week
2000082 Fama T-Bill 26-Week Term Structure - 19 Week
2000083 Fama T-Bill 26-Week Term Structure - 20 Week
2000084 Fama T-Bill 26-Week Term Structure - 21 Week
2000085 Fama T-Bill 26-Week Term Structure - 22 Week
2000086 Fama T-Bill 26-Week Term Structure - 23 Week
2000087 Fama T-Bill 26-Week Term Structure - 24 Week
2000088 Fama T-Bill 26-Week Term Structure - 25 Week
2000089 Fama T-Bill 26-Week Term Structure - 26 Week
Index Family: CPI
2000090 Raw CPI
2000091 Reference CPI