The CRSP US Treasury Databases were developed by the Center for Research in Security Prices at the University of Chicago Booth School of Business. The files include complete historical descriptive information and market data since 1925 for most monthly series and 1961 for daily series.
The database is updated monthly and is provided as a CRSPAccess database for use with the CRSPSift interface for Windows and as flat files that are supported on Excel, SAS, ASCII and R formats for use on all CRSP-supported platforms, Windows, and Linux.
In 2010, CRSP undertook a modernization of the CRSP US Treasuries Data files. A CRSPAccess database was created of the Daily and Monthly files that was supported for our Windows subscribers using the CRSPSift interface. The daily and monthly files were synchronized to ensure consistency between the files. Precision was increased and new versions of the flat files that made up the original treasuries product were created. CRSP began the process of creating daily versions of the monthly supplemental files with the release of a new daily Risk-Free Series.
Finally, CRSP replaced the traditional three treasuries products: Daily, Monthly, and Daily/Monthly, with a single daily and monthly combined treasuries product that includes, for some period of time into the future, the legacy flat files as well as the new flat files and the TRZ database for use with CRSPSift.
The “legacy” treasuries files remain intact, as do their guides. This new treasuries guide addresses the Treasuries CRSPAccess database, TRZ, and the new versions of the flat files. As subscribers to the CRSP Treasuries products review the new changes, an overview of the differences between the new treasuries data and the legacy follows.