Where can I find historical rates for U.S. treasury bills, notes, and bonds?
Go to the Board of Governors of the Federal Reserve page on Selected Interest Rates – H.15
Go to Interest Rates – Federal Reserve Bank of St. Louis – FRED
Go to Treasury Bill, Note, and Bond Auction History
Treasury Bill data is in category Interest Rates and the default 3 month series is
FRTBS3M: US T-BILL SEC MARKET 3 MONTH.
FRTBS4W: US T-BILL SEC MARKET 4 WEEK only starts Jul 31 2001
Datastream Navigator category Interest Rates, Explorer and National Interest Rates United States gives key treasury bills, notes and bonds
In Datastream category Bond Indices and CDS there are DS-TR benchmark indices – search for “Datastream Mnemonic starts TRUS” for benchmarks in the US list LTRUSBMK including TRUS3MT and TRUS1MT
For more detail see Risk Free Rates on Datastream (posted Oct 2013)
WRDS selecting the Federal Reserve Bank Reports database or CRSP and treasuries for full details on bonds.
Select the Fama French and Liquidity Factors database for RF (One Month Treasury Bill Rate).
Bloomberg and BTMM or GGR
USGG1M Index and USGG3M Index are generic one and three month T-Bill yields.
Global Financial Database
GFD Filter Search: Country – United States and Data Series – Treasury Bill Yields or Government Bond Yields
or look at Yahoo! Finance
13 week Treasury Bill (3 months)