Subject: Bonds - Value of U.S. Treasury Bills

Last-Revised: 24 Oct 1994
Contributed-By: Dave Barrett

The current value of a U.S. Treasury Bill can be found using the Wall Street Journal. Look in the WSJ in the issue dated the next business day after the valuation date you want, specifically in the "Money and Investing" section under the headline "Treasury Bonds, Notes, and Bills". There you need to look for the column titled "TREASURY BILLS". Scan down the column for the maturity date of your bill. Then examine the "Bid" and "Days to Mat." values. The necessary formula:

Current value = (1 - ("Bid" / 100 * "Days to Mat." / 360)) * Mature Value

For example, a 13-week treasury bill purchased at the auction on Monday June 21 appears in the June 22, 1994 WSJ in boldface as maturing on September 22, 1994 with an "Asked" of 4.18 and 91 "Days to Mat.". Its selling price on Wedesday August 31, 1994 appeared in the September 1, 1994 Wall Street Journal as 20 "Days to Mat." with 4.53 "Bid". A $10,000 bill would sell for:
(1 - 4.53/100 * 20/360) * $10,000 = $ 9,974.83
minus any brokerage fee.

The coupon yield for a U.S. Treasury Bill is listed as "Ask Yld." in the Wall Street Journal under "Treasury Bonds, Notes and Bills". The value is computed using the formula:

couponYield = 365 / (360/discount - daysToMaturity/100)

Discount is listed under the "Asked" column, and "couponYield" is shown under the "Ask Yld." column. For example, the October 21, 1994 WSJ lists Jan 19, '95 bills as having 87 "Days to Mat.", and an "Asked" discount as 4.98. This gives:
365 / (360/4.98 - 87/100) = 5.11%
which is shown under the "Ask Yld." column for the same issue. DaysToMaturity for 13-week, 26-week, and 52-week bills will be 91, 182, and 364, respectively, on the day the bill is issued.

The New York Federal Reserve offers an article with examples:
http://www.ny.frb.org/aboutthefed/fedpoint/fed28.html