Yield on Treasury bills

Annual effective yields payable in arrears, reported as synthetic yields for maturities of 3, 6, 9 and 12 months.

Synthetic yields are calculated by weighting two Treasury bills with short and long remaining terms to maturity respectively. Prices used are those most recently traded if the most recently traded price is within the spread. Otherwise, the price is equal to the bid or offer price closest to the most recently traded price. If no trading has taken place, the price is equal to the middle price.

Published 15 November 2011 13:00