Using the CRSP Government Bond Database on Ingres
C.F. Baum, Sep. 1992
WARNING: This documentation is under revision, may not correctly describe all aspects
of the data.
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 file, the CRSP Bond Master File, contains essentially all government securities
issued between December 1925 and the present, priced monthly. The file is updated annually.
A subscription to the CRSP Government Bond Database has been acquired by the O'Neill
Library, and Information Technology staff have created an accessible version of these data via
the Ingres data management system. The Ingres database containing these data is named
GOV_BONDS. At present, it contains five relational tables: three pertaining to the CRSP Bond
Master File, and two constructed from Prof. Eugene Fama's Risk Free Rates files. Additional
Fama files may be added to the Ingres database in the near future.
The BOND_CALENDAR Table
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.
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
The BOND_HEADER Table
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 Ingres as two tables: the
BOND_HEADER table, containing the header records, and the BOND_QUOTES table,
containing the quotation records. The following columns are defined in the table:
column
name
data type definition
CRSPID
CRSP issue identification number, in
format YYYYMMDD.TCCCCE, where
YYYY=maturity year, MM=maturity
char(15) 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.
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.
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
IWHY
IDTDTD
separate the dated date and the first coupon
payment date.
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
IDTBNK
The BOND_QUOTES Table
The detail records from the CRSP Bond Master File, containing individual months' quotations
and volume information, are contained in the 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 BOND_CALENDAR via the columns NMON or JQDATE, which are unique in
BOND_CALENDAR. The following columns are defined in the table:
column
name
data type definition
CRSPID
char(15) CRSP issue identification number
JQDATE
date
quotation date
NMON
integer
month number; 1=12/25
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.
IOUT1R
integer
Face value outstanding, in millions.
IOUT2R
integer
Par value publicly held, in millions. Not
available for Treasury bills.
char(1)
Primary data source: F=First Boston,
G=Government actuary, M=Morgan
Guaranty, Q=Bank and Quotation Record,
R=Fed of NY, S=Salomon Bros., T=NY
Times, W=Wall St. Journal, Z=Multiple
sources.
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
YIELD
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.
RETNUA
float
Unadjusted return, defined as price change
plus interest divided by last month's price.
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 RETNUA 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%
PRIC1R
SOURCR
RETNXS
issue, to random errors in price of one
tick). Such errors may be minimized by
using RETNXS.
PCYLD
float
Yield compounded semiannually, or
bond-equivalent yield, equal to
2 [ exp(182.5 YIELD) - 1.0 ]
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.
The RISKFREE_RATES Tables
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:
DATE
date
BID
float
AVERAGE float
ASK
float
DURATION integer
ISSUE_USED char(15)
quotation date
interest rate, per cent p.a.
interest rate, per cent p.a.
interest rate, per cent p.a.
number of days to maturity (not Macaulay)
CRSP issue identification number