Hi YY Wong,
US government bonds, sometimes known as T-bills or treasury bills are generally taxed as income rather than Capital Gains Tax.
The return is paid at maturity rather than regular interest payments.
In the UK, these are known as deeply discounted securities, with the discount being the difference between the price at which they were issued and the price received at maturity.
On a foreign investment the income is the difference between the purchase and redemption price after each has been converted to sterling on the day the transactions took place, so includes any foreign exchange gains.
Losses cannot be deducted.
Please have a look here:
SAIM3010 - Deeply discounted securities: introduction
For more information