CRSP US Treasury Database

The CRSP US Treasury and Inflation Series is comprised of 1.7 million end-of-day price observations for nearly 7000 US Treasury bills, notes, and bonds, as well as supplemental files including fixed-term indexes, maturity portfolios, discount bonds, term structure and CPI files. The database begins in 1925 for month-end data, and in 1961 for daily data.

 

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Knowledge Base

Why are there missing data in Fama Maturity Portfolios Return Files in the CRSP Monthly US Treasury Database?

Only callable, non-callable, non-flower notes and bonds are included in the portfolios. Partially or fully tax-exempt issues are excluded. Not all portfolio categories have valid records each month, especially in earlier years. There were no bonds of over 10 years in length dated between April 1963 and November, 1971, and the long-term bonds issued between 1942 and 1963 were all flower bonds and therefore excluded.