How to compute the Weekly 3-Month T-Bill ARM index (Auction High)?
1. Download the most recent auction results of the 13-Week Treasury Bills (91-Day Bill). You can use the the U.S. Treasury website (www.ustreas.gov). The 13-Week Treasury Bills are auctioned every Monday. The resulting figures are released to the public the next day. 2. Convert Price to Discount Rate, or use the published Discount Rate (‘High Rate’). Formula: d=((100-P)/100) * (360/r) where: d: Discount Rate P: Price r: Days to Maturity Example: 13- and 26-Week Treasury Bill Auction Results (08/29/2005): Term: 91-Day Bill 182-Day Bill High Rate: 3.495% 3.705% Investment Rate: 3.575% 3.828% Price: 99.116542 98.126917 Issue Date: 09/01/2005 09/01/2005 Maturity Date: 12/01/2005 03/02/2006 CUSIP: 912795WC1 912795WR8 d=((100-99.116542)/100) * (360/91)=0.03495 d (Discount Rate) = 3.495% 3. Round the Discount Rate (‘High Rate’) to 2 digits. In our example: Weekly 3-Month T-Bill ARM index = 3.50% (Week Ending: 9/2/05).
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