US Treasury

In the US 2 and 5 year Treasury Notes are sold every month while 3,7 and 10 year treasury notes and 30 year treasury bonds are sold every quarter.
They are sold by auction on regular dates to some 40 primary dealers.

Depending on the maturity, US government bonds are classified into three categories:
Treasury Bills - Maturing in one year or less (all US treasury bills are zero-coupon bonds and therefore trade at a discount)
Treasury Notes - Maturing in two to ten years
Treasury Bonds - Maturing in more than ten years.

These are considered to be risk-free and there yields to maturity is often used as a benchmark for other bonds with the same maturity.
Usually use "on the run" treasury bills (ie zero coupon treasuries)
You first have to calculate the discount factors in order to calculate the zero-coupon rates
Lets consider a 2 year bond paying an annual coupon of 10%.
This is equivalent to a 1 year zero-coupon bond paying £10
and a 2 year zero-coupon bond paying £110

"on the run" treasury bills, notes, bonds
On the run treasuries are the most recently issued bills, notes and bonds of specific maturity.
This curve provides specific interest rates for the following maturities: 1m, 3m, 6m, 1y, 2y, 3y, 5y, 7y, 10y, 20y, 30y

Treasury Bills < 1 year

Maturing in one year or less (all US treasury bills are zero-coupon bonds and therefore trade at a discount)
US Government trade bills are called treasury bills
For example if a company wants to borrow some money for 3 months, they might be advised to expect to pay "treasuries plus 1%"
(ie 1% more than the current rate for US government treasury bills)

Treasury Notes 1 < > 10 years

Maturing in two to ten years

Treasury Bonds > 10 years

Maturing in more than ten years.