Treasury bill · Matured

912796CT4

Original term
17-Week
Maturity
Apr 11, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Apr 10, 2023
Analyzed through
Apr 7, 2023

Still priced, no longer analyzed. Risk numbers below are as of Apr 7, 2023, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, April 7, 2023

Yield to maturity
4.352%
Modified duration
0.003 yr
DV01
0.0000
Convexity
0.000
Dirty price
99.988

Where its rate sensitivity sits

All of it in one place. A bill pays a single cashflow at maturity, so its key rate profile is its modified duration of 0.003 years, sitting in the nearest bucket and nothing anywhere else. That is also why its duration equals its remaining term rather than being shorter: there are no coupons to pull the average payment date forward. A twelve-bucket chart of that would be eleven empty bars.

Against the money market curve

Priced 0.03 cents per 100 of face cheap to the curve on that day.

Shown as a price rather than a yield. This bill is 4 days from redemption, and inside a month the difference between its price and the curve annualizes into a number that looks like an enormous mispricing rather than the fraction of a cent it is: worst case across eighteen years, 1,435 basis points on a residual of four cents. Its yield above is unaffected and stands: a bill quotes on an investment-rate basis, which is the market's own convention rather than an annualized stub.

Yield to maturity, 80 observations

3.50%3.75%4.00%4.25%4.50%4.75%5.00%Dec 13, 2022Apr 7, 2023Dec 13, 2022Yield to maturity4.547%Dec 15, 2022Yield to maturity4.504%Dec 19, 2022Yield to maturity4.481%Dec 21, 2022Yield to maturity4.449%Dec 23, 2022Yield to maturity4.446%Dec 28, 2022Yield to maturity4.414%Dec 30, 2022Yield to maturity4.494%Jan 4, 2023Yield to maturity4.535%Jan 6, 2023Yield to maturity4.647%Jan 10, 2023Yield to maturity4.677%Jan 12, 2023Yield to maturity4.603%Jan 17, 2023Yield to maturity4.610%Jan 19, 2023Yield to maturity4.588%Jan 23, 2023Yield to maturity4.586%Jan 25, 2023Yield to maturity4.575%Jan 27, 2023Yield to maturity4.593%Jan 31, 2023Yield to maturity4.582%Feb 2, 2023Yield to maturity4.601%Feb 6, 2023Yield to maturity4.609%Feb 8, 2023Yield to maturity4.608%Feb 10, 2023Yield to maturity4.708%Feb 14, 2023Yield to maturity4.717%Feb 16, 2023Yield to maturity4.716%Feb 21, 2023Yield to maturity4.693%Feb 23, 2023Yield to maturity4.661%Feb 27, 2023Yield to maturity4.699%Mar 1, 2023Yield to maturity4.690%Mar 3, 2023Yield to maturity4.688%Mar 7, 2023Yield to maturity4.759%Mar 9, 2023Yield to maturity4.737%Mar 13, 2023Yield to maturity4.560%Mar 15, 2023Yield to maturity4.140%Mar 17, 2023Yield to maturity3.903%Mar 21, 2023Yield to maturity3.637%Mar 23, 2023Yield to maturity3.983%Mar 27, 2023Yield to maturity3.808%Mar 29, 2023Yield to maturity4.256%Mar 31, 2023Yield to maturity4.814%Apr 4, 2023Yield to maturity4.558%Apr 6, 2023Yield to maturity4.292%Apr 7, 2023Yield to maturity4.352%

Price history

81 trading days to Apr 10, 2023

98.5098.7599.0099.2599.5099.75100.00Dec 13, 2022Apr 10, 2023Dec 13, 2022Close98.551Dec 15, 2022Close98.589Dec 19, 2022Close98.644Dec 21, 2022Close98.677Dec 23, 2022Close98.737Dec 28, 2022Close98.770Dec 30, 2022Close98.808Jan 4, 2023Close98.821Jan 6, 2023Close98.842Jan 10, 2023Close98.860Jan 12, 2023Close98.902Jan 17, 2023Close98.963Jan 19, 2023Close98.992Jan 23, 2023Close99.042Jan 25, 2023Close99.069Jan 27, 2023Close99.114Jan 31, 2023Close99.141Feb 2, 2023Close99.162Feb 6, 2023Close99.211Feb 8, 2023Close99.236Feb 10, 2023Close99.270Feb 14, 2023Close99.294Feb 16, 2023Close99.320Feb 21, 2023Close99.387Feb 23, 2023Close99.416Feb 27, 2023Close99.462Mar 1, 2023Close99.490Mar 3, 2023Close99.541Mar 7, 2023Close99.560Mar 9, 2023Close99.588Mar 13, 2023Close99.652Mar 15, 2023Close99.707Mar 17, 2023Close99.766Mar 21, 2023Close99.802Mar 23, 2023Close99.805Mar 27, 2023Close99.855Mar 29, 2023Close99.861Mar 31, 2023Close99.895Apr 4, 2023Close99.925Apr 6, 2023Close99.953Apr 10, 2023Close100.000
The most recent 20 trading days of prices for 912796CT4.
DateBidOfferClose
Apr 10, 2023–99.988100.000
Apr 7, 2023–99.95299.988
Apr 6, 2023–99.94299.953
Apr 5, 2023–99.92999.939
Apr 4, 202399.91499.91299.925
Apr 3, 202399.89999.89699.910
Mar 31, 202399.86199.85799.895
Mar 30, 202399.85699.85299.856
Mar 29, 202399.85699.85299.861
Mar 28, 202399.85799.85499.860
Mar 27, 202399.84599.84299.855
Mar 24, 202399.81499.81299.844
Mar 23, 202399.80299.80099.805
Mar 22, 202399.80099.79799.795
Mar 21, 202399.79199.78899.802
Mar 20, 202399.76799.76499.779
Mar 17, 202399.73499.73199.766
Mar 16, 202399.71399.71099.727
Mar 15, 202399.70399.69999.707
Mar 14, 202399.66299.66099.680

Prices are per 100 of face, from Treasury's own end-of-day file. A dash in the bid or offer column means none was posted that day.

3 auctions

A CUSIP can be auctioned more than once: Treasury reopens an existing security rather than issuing a new one, so the same bond is sold again at whatever yield the market then wants.

Auction history for 912796CT4.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Dec 7, 2022Dec 13, 2022New issue$33.0bn$34.1bn2.66x–
Feb 9, 2023Feb 14, 2023Reopening$60.0bn$60.8bn2.32x–
Mar 9, 2023Mar 14, 2023Reopening$65.0bn$66.2bn2.75x–

The curve this was priced against →

Index levels before September 30, 2026 are back-tested. They were computed after the fact by applying the rules to historical data, which benefits from hindsight in the choice of rules, and an index cannot be invested in directly. Methodology v1.0 takes effect at that rebalance, when levels begin to be struck on the day; the rulebook is identical either way, and the version is published on every row.

A fitted curve is a fit, not a quote. Daily error averages 3.8 basis points across the history and reaches about 20 on the worst days, in December 2008, when the market was genuinely hard to fit one smooth curve to. Every curve page publishes its own fit error rather than burying it.

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Safe Rate™, Safe Rate Indices™ and the Safe Rate US Treasury Index™ are trademarks of Safe Rate, claimed through use in commerce and not registered. Third-party marks are the property of their owners, which are not affiliated with and do not endorse this data.

Curves are fitted from public Treasury data and carry fit error; figures are not a record of trading, and an index cannot be invested in directly. No claim of compliance with the IOSCO Principles for Financial Benchmarks is made or implied. Not investment advice, not an offer, and not a recommendation to buy or sell any security.