What is the difference between the Weekly 6-Month T-Bill (Auction High), the Weekly 6-Month T-Bill (Secondary Market) and the Weekly 6-Month CMT?
The Weekly 6-Month T-Bill (Auction High) is the discount rate for the 26-week Treasury Bill bought at original issue, at the most recent auction of U.S. Treasury bills. The Weekly 6-Month T-Bill (Secondary Market) is the average of the past week’s daily secondary market 6-Month T-Bill rates. Rate quotes for T-Bills are provided in the form of an annualized discount rate percentage relative to the par value of the bills and a 360-day year. The Weekly 6-Month CMT is the average of the past week’s daily 6-Month Constant Maturity Treasury rates. Each Constant Maturity Treasury is a “theoretical” security based on the most recently auctioned “real” securities: 1-, 3-, 6-month bills, 2-, 3-, 5-, 10-year notes, and also the ‘off-the-runs’ in the 7- to 20-year maturity range. Yields on Treasury securities at “constant maturity” are interpolated by the U.S.
