Daily quotes TIPS (treasury inflation protected securities) data

Question

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).

I have. They quote the 10-year, 5-year and 30-year constant maturity but not the actually yields of underlying securities. — phdstudent, Mar 15 '23 at 18:08
If you anyhow have access to Bloomberg, just ask F1 F1 (the help desk). — AKdemy, Mar 15 '23 at 18:58
Type TII Govt Go. You will see a list of all outstanding TIPS. Type HP to get historical prices. — dm63, Mar 16 '23 at 03:47

score 3 · Accepted Answer · answered Mar 15 '23 at 19:56

3

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.

answered Mar 15 '23 at 19:56

Helin

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This is useful. The treasury direct link seems to show bills, bonds and notes. How can I identify TIPS from the set? – phdstudent Mar 15 '23 at 20:13
@phdstudent If you click on "Show/Hide Columns," one of the options is "TIPS." That column has a boolean indicator TIPS status. – Helin Mar 15 '23 at 20:33
Ah, perfect. Thank you. – phdstudent Mar 16 '23 at 14:46

Daily quotes TIPS (treasury inflation protected securities) data

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