Treasury Bill Index is based on the auction results that the U.S. Treasury provides for Treasury Notes, Treasury Bills, and Treasury Bonds.
The U.S. Government issues Treasury Bills with maturity periods of one month, three months, and six months (28-day, 91-day, and 182-day Bills or 4-week, 13-week, and 26-week Bills), for repayment of national debt and other expenditures.
Auctions of 3-month and 6-month Bills are held each Monday, and the auction results are declared to the public on the following day. The auction results of Treasury Bills give information about the investment yield, discount rate, and prices of Treasury Bills which have been currently auctioned.
Treasury Bills can be purchased as original issue or from the secondary market. In case of an original issue, the Treasury Department markets new securities to the general public. The traders do buying and selling of securities in the secondary market.
Treasury Bill Index can be categorized into two types:
Monthly Treasury (T-Bill) Index
Weekly Treasury (T-Bill) Index
Weekly 6-Month T-Bill Index (Auction High) can be defined as the following:
- Weekly 6-Month T-Bill (Auction High) Mortgage (ARM) Index is the discount rate for 26-week Treasury Bills bought at original issue (at the most recent auction of U.S. Treasury Bills). The current value generally reflects the previous week-ending date (previous Friday).
- Treasury Bill Indexes carry both monthly and weekly values. The past months weekly Treasury Bill rate averages represent the monthly values.
- Monthly 6-Month Treasury Bill Index (6-MoT-Bill) is used in maximum cases. ARMs (Adjustable Rate Mortgages) attached to 6-Month T-Bills normally are adjusted once, after every six months.
Treasury Bill Index movements are dependent on the market movements and have the characteristics of quick responsiveness to economic changes similar to CMT Indexes.
The Index usually known as 1-year T-Bill is not a form of Treasury Bill. It is the 1-year CMT (Constant Maturity Treasury) Index. It is always better to have knowledge of the exact name of the indexes, because the names are somewhat similar. However, there is a substantial distinction between the various indexes. The maximum number of 1-year ARMs (Adjustable Rate Mortgages) are attached to the CMT Index.