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Sources for Historical Treasury On-the-Run and Off-the-Run Basis Data

Article Quant Q&A · Author: Slow Learner
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Summary

The document asks where to obtain long histories of arbitrage basis measures, such as the difference between on-the-run and off-the-run securities. It offers both direct sources for precomputed measures and sources from which researchers could assemble their own calculations using underlying security data.

The answer names Tradeweb, bank research portals such as Morgan Markets, and CRSP. It describes Tradeweb and Morgan Markets as sources with histories reaching back to different periods, and CRSP as offering daily and monthly records with still longer histories. These are source suggestions rather than a comparison of coverage, definitions, pricing, or data quality across providers. Access may depend on institutional relationships or paid data access, and the document does not explain how to construct a consistent basis series from raw observations.

Key ideas

  • Historical basis measures may be available directly from market-data vendors and bank research portals.
  • CRSP is suggested for researchers seeking longer histories of underlying security data.
  • The answer distinguishes precomputed measures from raw data that researchers can use to calculate their own.
  • Coverage, definitions, and access conditions should be checked with each provider.

Tags

Fixed incomeArbitrageBacktesting
Full text
# Is there any data sources for historical arbitrage basis (e.g. on-the-run/off-the-run basis)?


# Is there any data sources for historical arbitrage basis (e.g. on-the-run/off-the-run basis)?












I hope to get data going back as far as possible. Someone must have computed these things, but not sure if anyone has shared these data online?

If not, if you know how I can get the data for the relevant underlyings so I can compute the bases myself, that will be helpful too.

## Answer by Helin (score 1)

https://quant.stackexchange.com/a/65587

We’ve used data from TradeWeb before and the data quality was excellent. I believe the historical data goes back to 1998.

Alternatively, a lot of bank research portals have this as well. For example, Morgan Markets have this going back to the early 1990s. This has the advantage of being “free,” although you need to be a client to access.

For even longer histories, CRSP is the way to go, with daily data going back to 1961 and monthly data back to 1925. Since you are a PhD candidate, this might be the best option.

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.