2.11.1.1 Treasury Bill Quotes
Because Treasury bills are issued at a discounted price and do not offer periodic interest payments, their quotes are different from those of Treasury bonds. Treasury bills are quoted based on their bank discount yield. The bank discount yield is the annualized ratio of the bill’s discount to its face value. It is calculated as follows:
The yield represents the discount to par value the investor receives. An investor wants to buy at a larger discount and sell at a smaller discount. For this reason, when a T-bill spread is quoted, the bid will be higher than the ask. So you may s