HI. According to the IRS: Interest income from Treasury bills, notes, and bonds is subject to
federal income tax but is exempt from all state
and local income taxes. You should receive Form
1099-INT showing the interest (in box 3) paid to you for the year.
See this IRS article for more information
https://www.irs.gov/publications/p17/ch07.html#en_US_2016_publink1000171511
