Treasury Bills are debt instruments the Spanish state issues to finance itself short term, with typical maturities of 3, 6, 9, and 12 months. They're sold at a discount: you pay less than face value and receive the full face value at maturity, with the difference being your return.
How to buy them
They can be purchased directly through the Spanish Public Treasury (Tesoro Público, via a direct account) or through banks and brokers, though the latter usually charge fees that reduce the net return.
Risk and return
Since they're backed by the state, they're considered very low risk, comparable to a guaranteed bank deposit. Their return varies with the ECB's official interest rates, rising when the cost of money is higher.
Taxation
Returns are taxed as investment income within the savings base of IRPF, with no withholding tax applied when paid.