Fixed-Income Toolbox

Treasury Bills Defined

Treasury bills are short-term (usually six months) securities sold by the United States Treasury. Sales of these securities are frequent, usually weekly. From time to time, the Treasury also offers longer duration securities called Treasury notes and Treasury bonds.

A Treasury bill is a discount security. At the time of sale, a percentage discount is applied to the face value. At maturity, the holder redeems the bill for full face value. The basis for interest accrual is actual/360. Under this system, interest accrues on the actual number of elapsed days between purchase and maturity, and each year contains 360 days. These assumptions result in a slight increase in the actual discount applied to the notional.

Debt Instruments

Computing Treasury Bill Price and Yield