Treasury bond - Financial definition
Financial acronyms
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Concise definition of the term Treasury bond
Long-term US government bonds with an initial maturity of more than 10 and up to 30 years. It pays its holders a semi-annual fixed coupon.
Comprehensive definition of the term Treasury bond
Although T-bonds are defined as having an initial term of more than 10 years, only T-bonds with a 30-year maturity are currently being issued.
Characteristics
| Coupon type | Fixed coupon, semi-annual frequency |
| Accrued interest calculation formula | a = N x c ( d / t )/2 where N = Nominal c = Coupon rate d = Number of days between the last coupon date and the value date t = Number of days in the interest period |
| Day count convention | Act/nAct |
| Face value | 100 USD |
| Quotation mode | Price in fractional format. See our fractional/decimal price format converter. |
| Rating | US government bonds are not rated by a rating agency. |
Issuance
T-bonds are issued by auction. The issuance of new T-bonds takes place during the February, May, August and November auctions. T-bonds are also auctioned in reopenings in the auctions which take place in the remaining months. These additional tranches have the same maturity dates, coupons, and payment dates as the initial issue, but different issue date and issue price.
Terminology specific to US Treasury securities
When Issued (WI)
This term designs T-bonds which have been announced but not yet issued. During the period between the announcement date and the issue date, usually one or two weeks, these securities are traded on a when-issued base.
On-The-Run and off-the-run
The most recently issued Treasury securities for each maturity are called on-the-run. They are the most liquid securities on the market. The other issues are called off-the-run and, being less liquid, they trade at a higher yield than on-the-runs with the same maturity.
When a new security is issued, it becomes the new on-the-run, and the previous on-the-run for the maturity becomes off-the-run.
When a new security is issued, it becomes the new on-the-run, and the previous on-the-run for the maturity becomes off-the-run.