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One-Year
Treasury Bills |
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These indexes are based on the results of
auctions that the U.S. Treasury holds for its Treasury
bills, notes and bonds. Treasury bills are issued by the
U.S. government with maturities of 1, 3 and 6 months
(4-week, 13-week, 26-week bills or 28-day, 91-day, 182-day
bills) in order to pay for the national debt and other
expenses. The 3- and 6-month Treasury bills are auctioned
every Monday and the resulting figures are released to the
public the next day. Treasury bill auction results provide
the discount rate*, investment yield, and price for recently
auctioned bills. |
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* The discount rate is an annualized rate of return based on
the par value of the bills and is calculated on a 360-day
basis. The investment yield, or coupon-equivalent yield, is
calculated on a 365-day basis and is an annualized rate
based on the purchase price of the bills and reflects the
actual yield to maturity. |
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The index commonly called the 1-Year T-Bill
is not a Treasury Bill. It's the 1-Year CMT index.
It's important to know the precise name of the index, the
names may sound alike, but there is a considerable
difference between different indexes. Most 1-Year ARMs
are tied to the CMT index. |
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These indexes are the weekly or monthly
average yields on U.S. Treasury securities adjusted to
constant maturities*. Yields on Treasury securities at
"constant maturity" are interpolated by the U.S. Treasury
from the daily yield curve, which is based on the closing
market bid yields on actively traded Treasury securities in
the over-the-counter market. |
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* Constant Maturity Treasuries is a set of "theoretical"
securities based on the most recently auctioned "real"
securities: 1-, 3-, 6-month bills, 2-, 3-, 5-, 10-year
notes, and also the 'off-the-runs' in the 7- to 20-year
maturity range. The Constant Maturity Treasury rates are
also known as "Treasury Yield Curve Rates". |
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