The CRSP data are calculated based on cash transactions on the quotation date. Our data sources prior to GovPX assumed cash transactions on delivery date, typically two business days after the quotation date. GovPX and ICAP assume cash transactions on delivery date, typically one business day after the quotation date. CRSP takes these assumptions into account when verifying the internal consistency of the files.
For callable bonds which have been called, or are likely to be called, the original maturity date is no longer valid for computing duration and yield. In these cases the anticipated call date is used as the working maturity date. This note applies to yield (tdyld/tmyld), annualized yield (tdytm/tmytm), and duration (tdduratn/tmduratn).
|Status||Yield and Duration Computed to:|
|called||next call date|
|callable and priced at a premium||next call date|
|callable and priced at a discount||maturity date|
|not callable||maturity date|
Users should be cautious in interpreting yields based on issues close to maturity. Quotes on these instruments are not always reliable due to infrequent trading.
An ITYPE code of 9 is used to signal instruments having unusual provisions. A list of these instruments and their relevant provisions may be found in Appendix A.