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Finding Treasury Bill Spot Rates from Published Yields

Article Quant Q&A · Author: 1c23
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Summary

The document addresses whether the published yields for one-month, three-month, and six-month Treasury bills can be used as their spot rates. Its brief answer directs the reader to Treasury yield curve and interest-rate data pages, implying that Treasury-published yields are the relevant source for these maturities. It offers a practical pointer for locating short-term U.S. government rate data rather than deriving rates from bond prices or describing a bootstrapping procedure.

The response is very limited: it does not explain yield conventions, distinguish bill discount rates from investment yields, or clarify how the quoted Treasury series relates to a theoretical zero-coupon spot curve. It also gives no calculations or examples beyond naming the requested maturities. Readers applying the figures in pricing or curve construction should therefore check the definition and convention of the specific Treasury series they select.

Key ideas

  • Treasury-published yield data can provide rates for short-maturity Treasury bills.
  • The referenced data cover the one-month, three-month, and six-month tenors in the question.
  • The response does not explain how bill yield conventions relate to theoretical spot rates.
  • Curve construction or pricing use requires checking the definition of the selected Treasury series.

Tags

Fixed incomeUS marketsStatistics
Full text
# Spot Rates on Treasuries


# Spot Rates on Treasuries












I am trying to find the spot rates for 1mo, 3mo, and 6mo tbills. This would just be their yields as listed on the treasury website, correct or am I missing something?

## Answer by Joel Alcedo (score 1)

https://quant.stackexchange.com/a/49711

Yes you can access spot rates on the Treasury website here:

https://www.treasury.gov/resource-center/economic-policy/corp-bond-yield/Pages/TNC-YC.aspx

https://www.treasury.gov/resource-center/data-chart-center/interest-rates/pages/textview.aspx?data=yield

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