How to Read 52-Week Treasury Bill Maturities and Discount Quotes

Summary

The note explains why a Bloomberg listing labeled as a 12-month Treasury bill does not represent a newly issued bill each day. It describes the listing as the latest auctioned bill for that tenor, with a fixed issue date and maturity date; the example is a 52-week bill auctioned monthly. The displayed tenor therefore identifies a maturity category, while the particular security ages toward its maturity between auctions.

It also explains that Treasury bills are quoted on a discount basis using an Actual/360 convention. The quoted yield and remaining days to maturity determine the price as a percentage of face value, rather than as a dollar price per bill. A dated example converts a 0.18% yield and 357 days remaining into a price of 99.8215 per 100 of face value. The example clarifies how to scale that percentage to a purchase amount. The note addresses bills and discount quoting; it does not cover other Treasury instruments, settlement conventions beyond its example, or all Bloomberg ticker details.

Key ideas

• A 12-month Treasury listing can refer to the latest auctioned bill in that tenor, rather than a security issued every day.
• The cited 52-week bills are auctioned monthly and have specific issue and maturity dates.
• Treasury bill prices are quoted as a percentage of face value on a discount basis.
• The example uses the Actual/360 convention to relate yield, days remaining, and price.

Tags

# How can I interpret US treasury?


# How can I interpret US treasury?












I try to understand US treasury in the bond markets provided by bloomberg: In this webpage, I have a few questions, for instance taking 12month-Bill:

(1) What is the maturity date? I find that it stays always 12 month everyday. Does it mean US government issue 12-month-Bond everyday?

(2) What is the face value? The price was quoted 0.18 (now), and it's abnormal if the face value is 100 dollar (which is usual face value learned from book) for this price.

Thanks.

## Answer by Helin (score 7, accepted)

https://quant.stackexchange.com/a/16199

1) 52-week T-bills are currently auctioned on a monthly basis. Bloomberg always shows the most recently auctioned T-bills for each tenor. For example, right now, the "12-month" T-bill was actually issued on Jan 8, 2015, and matures on Jan 7, 2016.

2) T-bills are quoted on a discount basis, using the Actual/360 day count convention. Its price is $$ \text{price} = 100 - r \frac{\text{days to maturity}}{360}. $$

Continuing with the 52-week T-bill. On January 14, 2015 for settlement on January 15, 2015 (T + 1), the days to maturity (Jan 7, 2016) is 357. Since the yield is 0.18%, its price is $$ 100 - 0.18 \times \frac{357}{360} = 99.8215. $$

This should be read as the % of face value. If you purchase a million of this paper, then you'd pay $1{,}000{,}000 \times 99.8215\%$ dollars.

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