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Finding Historical Daily Quotes for U.S. TIPS

Article Quant Q&A · Author: phdstudent
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Summary

The document outlines ways to obtain historical daily prices for U.S. Treasury inflation-protected securities, including issues that have matured. It describes using TreasuryDirect to identify CUSIPs across current and matured securities, then retrieving historical data through Bloomberg’s BDH function. It also names Tradeweb and Morgan Markets as possible data vendors, and points to bond index providers such as Bloomberg, FTSE, and ICE for constituent lists and historical prices.

The guidance is based on one contributor’s experience and does not compare providers systematically or provide sample data. Access, cost, coverage, and data formats may vary. Index products can omit short-dated TIPS, while the contributor is uncertain whether Morgan Markets includes matured issues. Researchers should confirm security coverage and quote definitions with a provider before relying on a dataset for analysis.

Key ideas

  • TreasuryDirect can help identify CUSIPs for both outstanding and matured TIPS.
  • Bloomberg historical data functions can retrieve price histories for identified issues.
  • Tradeweb and Morgan Markets are cited as potential sources of daily TIPS quotes.
  • Index providers may supply historical prices and constituents, but can exclude securities near maturity.

Tags

Fixed incomeUS markets
Full text
# Daily quotes TIPS (treasury inflation protected securities) data


# Daily quotes TIPS (treasury inflation protected securities) data












I am looking for historical quotes for US TIPS (treasury inflation protection security). What is a reliable source of data to get this information?

Here's what I have tried:

- I have looked into this question: What data sources are available online?. But nothing useful on TIPS.

- I have looked into several academic articles that use TIPS data. For example, this paper: The TIPS-Treasury Bond Puzzle uses TIPS data. They say they got their quotes from Bloomberg. I have access to Bloomberg but it is not clear to me how to identify all the TIPS that are outstanding, get their historical quotes, as well as data for past securities (that have reached maturity). Related: Does anyone know any other academic articles that have used TIPS data?

In a nutshell, I am looking for a reliable database with daily quotes of US TIPS (including historical quotes).

## Answer by Helin (score 3, accepted)

https://quant.stackexchange.com/a/74931

I've done this exercise with BBG, so this is definitely possible. You can easily get a full list of CUSIPs (including matured ones) from TreasuryDirect and you can use the standard BDH function to get historical data (although probably not with Excel...)

There are a lot of alternatives depending on your budget. The highest quality data I've used came from TradeWeb and they can give you daily quotes for every TIPS going back in time. MorganMarkets has this as well (although I'm not sure whether you can get matured issues). Another great option is index providers. You can get TIPS index constituents and historical pricing from any of the index providers (BBG, FTSE, ICE, etc.). The downside is that they might not have TIPS with less than 1-year to maturity.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.