Help With Treasury Math

jack12 | Nov 24, 2022 | 307 posts since 2021

98.5456== priced or closed today

4 months

treasury page shows 4.50%

I got 4.4276%

What am I doing wrong?

100 98.5456=1.4756% x 3=4.4276%

Thanks

Post an answer

Answers

RichardW | Nov 24, 2022 | 810 posts since 2019

I assume you are referring to the 17-week (119-day) Treasury Bill (CUSIP: 912796Z85) which was auctioned earlier today (11/23/2022). It had a Price of 98.545556 and since the duration is 119 days, this is the expression which the Department of the Treasury utilizes to determine the Investment Rate:
Investment Rate = ((100 – Price)/Price) x (365/days) = ((100 – 98.545556)/98.545556) x (365/119) = 0.04527 or 4.527%

This result agrees with the value listed in the Auction Results for the 17-week Treasury Bill which is posted here:
https://www.treasurydirect.gov/instit/annceresult/press/preanre/2022/R_20221123_3.pdf

RichardW | Jan 5, 2023 | 810 posts since 2019

Another DA reader recently wanted me to share how to calculate the term “High Rate” listed in the Auction Results of a Treasury Bill. Let’s use the 26-week (182-day) Treasury Bill (CUSIP: 912796ZS1) which was auctioned on 1/3/2023 as the example. This specific Treasury Bill had a Price of 97.656750 and since the duration is 182 days, this is the expression which the Department of the Treasury utilizes to determine the High Rate: High Rate = ((100 – Price)/100) x (360/days) = ((100 – 97.656750)/100) x (360/182) = 0.04635 or 4.635%

This result agrees with the value listed in the Auction Results for the 26-week Treasury Bill which is posted here:
https://www.treasurydirect.gov/instit/annceresult/press/preanre/2023/R_20230103_1.pdf

The financial institution, product, and APY (Annual Percentage Yield) data displayed on this website is gathered from various sources and may not reflect all of the offers available in your region. Although we strive to provide the most accurate data possible, we cannot guarantee its accuracy. The content displayed is for general information purposes only; always verify account details and availability with the financial institution before opening an account. Contact [email protected] to report inaccurate info or to request offers be included in this website. We are not affiliated with the financial institutions included in this website.