The US observes the same "Following" or Next Good Business Day date roll as Canada without any cash flow adjustment. "If any principal or interest payment date is a Saturday, Sunday, or other day on which the Federal Reserve System is not open for business, we will make the payment (w...

TreasuryDirect website page on auctions lists the bill maturities in weeks rather than months. 
 General Auction Timing — TreasuryDirect

Leads to urls on auctions, that oughta do it: Auction Regulations (UOC) — TreasuryDirect

Here is the source, there has to be a US equivalent: Legal Terms and Conditions for Government of Canada Domestic Debt Securities - Canada.ca

Unfortunately the auction processes are not described, hence no further insight on T-bill maturity date selection.

Here is the source, there has to be a US equivalent: Legal Terms and Conditions for Government of Canada Domestic Debt Securities - Canada.ca

Unfortunately the auction processes are not described, hence no further insight on T-bill maturity date selection.

The Canadian central bank has responded. Turns out the old bond honk had it right more than 30 years ago, in Canada the Following date roll is used on treasury bonds with the "Ontario" (read Toronto) holiday calendar:   " If any payment of the principal or interest falls due on a day ...

Not intending to hijack your thread here, so just ignore if not interesting. About a decade ago an enterprising Bank of Montreal economist did some interesting work and ascertained that about half of both the domestic assets and liabilities (we’re mostly talking about retail mortgages and deposits) ...

Not intending to hijack your thread here, so just ignore if not interesting. About a decade ago an enterprising Bank of Montreal economist did some interesting work and ascertained that about half of both the domestic assets and liabilities (we’re mostly talking about retail mortgages and deposits) ...

If SVB had held it’s already considerable regulatory-mandated liquidity in a form with lower market risk – say UST FRNs - well, they certainly wouldn’t have earned anything on it, but then any asset fire sale wouldn’t be traumatic. I am a believer in more or less forcing the smaller firms to hedge m...

If SVB had held it’s already considerable regulatory-mandated liquidity in a form with lower market risk – say UST FRNs - well, they certainly wouldn’t have earned anything on it, but then any asset fire sale wouldn’t be traumatic. I am a believer in more or less forcing the smaller firms to hedge m...

The Treasury Direct website does identify the reset rate of UST FRNs (floating rate notes) as the 13-week T-bill rate rather than the 3-month.  I started in bonds, and when I asked these questions more than 30 years ago an old bond honk told me that Following was the payment convention because the g...

Bill tenors are usually quoted in weeks, that is used to establish a trial date. A "date roll" is then applied to adjust the trial date if it falls on a non-business date (weekend or holiday). So the question is what is the UST date roll convention. The date roll is not the same thing as t...

The US Treasury Direct website does not provide an answer. Grrr. I've always defaulted to Modified Following per the ISDSA definitions - if the trial date falls on a non-business day, go forward in time to the next good business day unless that results in moving into the next month, in which case go...

Thank you for your posts. 1. I am switching on argument XLOPER xltype for error checking purposes. I have yet to find anything I can supply to the Excel Function Wizard that switches on an xltype into xltypeMulti. I can supply arguments that switch on xltype as expected into the other sub types - xl...

Any hardcore Excel C API XLL developers on the forum? I have a question or two about using the internal Excel data types, the XLOPERs, as XLL function arguments. The 2013 MS XLL SDK sample code (latest version) uses the U data registration type (XLOPER12) for XLL function arguments, and “coerces” th...

I found this old text by Kenneth Garbade (at Bankers Trust at the time) to be really good on US Treasuries. Can't find my copy but I'm certain when-issueds are covered. 
https://mitpress.mit.edu/9780262525572/ ... analytics/