treasury_direct_notes
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Table of Contents
qna
treasury bills vs. notes vs. bonds
methodology related
high rate vs. investment rate
For bills not more than one half-year to maturity
high_rate = ((100-P) / 100) * (360 / r) investment_rate = ((100-P) / P) * (y / r)
Where P is the price, r is days to maturity, y is days in year (365 in normal year, 366 in leap year)
Ref:-
For example, on 2023-01-19, https://www.treasurydirect.gov/auctions/announcements-data-results/ showed
Security Term | CUSIP | Issue Date | Maturity Date | High Rate | Investment Rate |
---|---|---|---|---|---|
4-week | 912796Y60 | 01/24/2023 | 02/21/2023 | 4.480% | 4.558% |
Clicking on the CUSIP showed
CUSIP | Security Type | Security Term | Auction Date | Issue Date | Maturity Date | Price per $100 |
---|---|---|---|---|---|---|
912796Y60 | Bill | 4-Week | 01/19/2023 | 01/24/2023 | 02/21/2023 | 99.651556 |
$ ipython Python 3.10.8 | packaged by conda-forge | (main, Nov 24 2022, 14:07:00) [MSC v.1916 64 bit (AMD64)] IPython 8.7.0 -- An enhanced Interactive Python. Type '?' for help. In [1]: P = 99.651556; r = 28; y = 365 In [2]: high_rate = ((100-P) / 100) * (360 / r) In [3]: high_rate Out[3]: 0.04479994285714294 In [4]: round(high_rate * 100, 3) Out[4]: 4.48 In [5]: investment_rate = ((100-P) / P) * (y / r) In [6]: investment_rate Out[6]: 0.04558098850530179 In [7]: round(investment_rate * 100, 3) Out[7]: 4.558
dummy
Highlights from https://www.treasurydirect.gov/forms/sec009.pdf
- bill, note, bond, FRN, and TIPS
- FRNs = Floating rate notes
- TIPS = Treasury inflation-protected securities
- 4-week, 8-week, 13-week, 26-week, and 52week bills
- For more about entity accounts, see “User Guide 292” - https://www.treasurydirect.gov/indiv/help/treasurydirect-help/user-guide/291-300/#id-user-guide-292-263212
links I came across
- https://www.treasurydirect.gov/auctions/how-auctions-work/ - How auctions work
- https://www.treasurydirect.gov/forms/sec009.pdf - Investing Directly With the U.S. Treasury (FS Publication 009) is an introductory publication.
- https://www.treasurydirect.gov/indiv/help/treasurydirect-help/user-guide/291-300/ - User guide sections 291 through 300
treasury_direct_notes.1680617511.txt.gz · Last modified: 2023/04/04 14:11 by admin