Key Data Items

• CRSP unique identifiers CRSPID® and CUSIP*
• Quotes, yields, maturities
• End-of-day
• Prices, returns, interest, duration
• End-of-month
• Yields and yields-to-maturity: semiannual compounded and annualized

Data Series

Daily and Monthly

Supplemental Series

Fama Maturity Portfolios (monthly on​ly)

• Data beginning in 1952
• Contains two files of portfolio holding period returns
• Portfolios constructed from six-month and 12-month maturity intervals

Fama-Bliss Discount Bonds (m​onthly only)

• Data begin in 1952
• Contain artificial discount bonds with one to five years to maturity, constructed after first extracting the term structure from a filtered subset of the available bonds.

Fixed-Term Indexes (daily and mon​thly)

• Seven groups of indexes: 30-year, 20-year, 10-year, 7-year, 5-year, 2-year, or 1-year target maturity.
• Index creates a sophisticated bond yield curve, allowing the selection of data items referenced by returns, prices and duration.

Risk-Free Rates Files (daily an​d monthly)

• Begin in 1925
• Contain one- and three-month risk free rates for use in pricing and macroeconomic models

• Begin in 1961
• Four-week, 13-week, and 26-week rates
• Provides lending and borrowing rates derived from bid, ask, and bid/ask average prices.

The Treasury Bill Term Structure Files

Fama RI Files (monthly only)

• Data begin in 1925
• 24 files of term structure series, based on selected Treasury Bills.
• Calculated using bid, ask, and average prices.
• Each series has a subset based on six- and 12-month target maturities which contains prices, yields, forward rates and holding period returns files.

Treasury Bill 26-week Term Structure Files (daily and monthly)

• Data begin in 1961
• 26 files of term structure series, based on selected Treasury Bills.
• Calculated using bid, ask, and nominal price
• Each file has a subset based on one-week, two-week, and 26-week target maturities

CPI

Raw and reference CPI as published by the US Bureau of Statistics

Delivery & Format

CRSP stock data is delivered via the Cloud utilizing IPSwitch’s MOVEit Cloud product.

• Released monthly, quarterly, or annually
• Available as flat files supported on Excel, SAS, ASCII and R flat file formats
• Supported on Windows, and Linux
• Access through CRSPSift Interface for Windows
• Third party access through WRDS cloud-based platform and query tool