U.S. Treasury bills are auctioned on a regular schedule. Individuals can buy T-bills from the government using the TreasuryDirect website. It is free to register, and it will function like a brokerage account that holds your bonds. In addition to bidding on new issues, You also can set up reinvestments into securities of the same type and term. For instance, you can use the proceeds from a maturing 52-week bill to buy another 52-week bill. Certain brokerage firms may also allow trading in U.S. Treasuries.