CRSP Select File Specifications
Long Term Bond Selection
- Select the 20-year bond that is the closest to having a term of at least 19.5 years to maturity at the beginning of the year. If more than one exists, choose the bond with the most current dated date (i.e. most recently issued).
- If a 20-year bond does not meet the above criteria, choose the 25-year bond with at least 19.7 years to maturity at the beginning of the year. If more than one exists, choose the bond closest to 20 years to maturity.
- If a 25-year bond does not meet the above criteria, choose the 30-year bond with at least 19.7 years to maturity at the beginning of the year. If more than one exists, choose the bond closest to 20 years to maturity on the quote date.
The bond chosen under any of the categories above cannot be dated any later than December 1st of the previous year for which the bond is being considered for inclusion in the index (i.e. dated date + one month < = quote date). Before 1942, only partially tax-exempt bonds (itax=2) are chosen because of the limited number of fully taxable bond issues. After 1942, only fully taxable issues are chosen (itax=1).
The bond is held for one full year in the index. Bonds chosen for this index are either non-callable or callable Treasury bonds with a type of Bond or Callable Bond. A 20-year bond can be selected from a universe of bonds that were issued as having a term to maturity of 7305-7693 days, a 25-year bond from an issue of 8766-9892 days, and a 30- year bond from an issue of 10955-11288 days.
Intermediate Term Bond Selection
- Select the most currently issued 5 year bond with at least 5 years to maturity at the beginning of the calendar year.
- If a 5-year bond does not meet the above criteria select the next shortest maturity that is closest to 5 years to maturity on the quote date. For example, if a 7-year bond exists, choose the 7-year closest to 5 years to maturity. If a 7-year bond does not exist move up to the next highest maturity and so forth.
For the period 1934-1942, always choose a non-flower bond (iflwr of 1) and preference is given to a bond that is partially tax-exempt (itax of 2). If a partially tax-exempt bond does not meet the above criteria, choose a wholly taxexempt bond ( itax of 3). After 1942 only fully taxable non-flower bonds are chosen.
Callable and non-callable U.S. Treasury bonds and notes are considered for index inclusion. The issues are chosen from a universe of bonds issued with a term to maturity between 1000 to 7000 days to maturity.
Short Term Bond Selection
Choose the Treasury Bill closest to 90 days to maturity on the quote date. A bill can be within 4 days of target maturity, i.e. 90 days plus or minus 4 days. If a bill is not available use a certificate or a note.