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.



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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