A portion of the fixed-income market includes Treasury securities. Treasury securities refer to the debt obligations of the United States bought and sold to maintain the functioning of the government. The Department of the Treasury has apportioned different securities to perform these activities, which range from short-term bills, which are all under one year in maturity, and long-term securities, which include notes and bonds maturing anywhere from two to thirty years from the time they are sold.

Until 2001, three-month bills were the shortest-maturing securities offered. But in July 2001, the Treasury introduced 4-week bills in a weekly auction setting in order to smooth out seasonal fluctuations in cash flows. These securities, along with three and six month bills are sold at weekly auctions with a face value of $1000, where investors can either participate directly in the auctions electronically or buy through securities brokers. These securities are bought at a face value and sold at a discount. For example, if one buys 10 bills at a discount rate of 5%, the investors pays 95% of the face value ($9500), will receive $10,000 at maturity, one, three or six months later. The 4-week bills aren't sold through the Treasury Direct program like other Treasury securities, however.

One-year, or 52-week bills, were sold at regularly scheduled public auctions, which used to take place monthly, but in March 2000, the Treasury decided to reduce the supply of these securities and announced that the 52-week bill auctions would take place quarterly. February 2001 marked the last auction of these 52-week bills, as the Treasury has decided to remove entirely this security from the auction schedule.

Two-year notes are intermediate Treasury securities sold at regularly scheduled monthly public auctions. Notes are not sold at a discount to the face value like bills; Instead, an investor buys a note for $1000, and receives interest payments every six months based on the coupon rate. (E.g. If the rate is 6%, the investor gets $30 every six months for a total of $60 in a year) When the note matures, the original investment of $1000, called the principal, is returned.

Five-year notes are another intermediate security sold by the Treasury, sold at regularly scheduled quarterly auctions. The auctions also work in a similar manner to other securities sold by the government, and the valuation of a five-year note is the same as a two-year note. As the maturity ranges increase, the risk element of Treasury securities increases. The longer a security is held, the more it is subjected to inflation risk and opportunity risk. Inflation risk refers to the erosion of the value of interest payments and the principal paid at the end of the security's maturity cycle. Opportunity risk refers to what would have been earned had an investor invested the money elsewhere.

Ten-year notes are the longest-termed intermediate security, and function in the same manner as five-year and two-year notes. They are auctioned quarterly on a regular schedule, and are valued in the same manner as other notes. The ten-year note has increasingly gained a reputation as the benchmark for the fixed-income market as the supply of thirty-year bonds has decreased. The interest rates obtained on the ten-year note can be seen as a risk-free rate of return if an investor is looking for a long-term security.

The thirty-year bond was the long-term security sold by the U.S. Treasury. In recent years, it had been sold at auction two to three times per year, these auctions functioning by the same principal as other treasuries. In 2000, the Treasury began to reduce the amounts of thirty-year bonds sold to the public. In October 2001, the Treasury suspended indefinitely 30-year bond auctions. Thirty-year bonds have not been eliminated entirely, although most bonds in circulation have fewer than 30-years to expiration, but certainly many bonds fall in the 20 to 30 year category. The Treasury did leave room open to re-institute 30-year bonds if the need arose.