Treasury bill · Matured

912796CU1

Original term
17-Week
Maturity
Apr 18, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Apr 17, 2023
Analyzed through
Apr 14, 2023

Still priced, no longer analyzed. Risk numbers below are as of Apr 14, 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 14, 2023

Yield to maturity
4.514%
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 0.33 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

3.8%4.0%4.2%4.4%4.6%4.8%5.0%Dec 20, 2022Apr 14, 2023Dec 20, 2022Yield to maturity4.526%Dec 22, 2022Yield to maturity4.484%Dec 27, 2022Yield to maturity4.512%Dec 29, 2022Yield to maturity4.532%Jan 3, 2023Yield to maturity4.571%Jan 5, 2023Yield to maturity4.673%Jan 9, 2023Yield to maturity4.671%Jan 11, 2023Yield to maturity4.691%Jan 13, 2023Yield to maturity4.646%Jan 18, 2023Yield to maturity4.624%Jan 20, 2023Yield to maturity4.643%Jan 24, 2023Yield to maturity4.631%Jan 26, 2023Yield to maturity4.640%Jan 30, 2023Yield to maturity4.638%Feb 1, 2023Yield to maturity4.606%Feb 3, 2023Yield to maturity4.593%Feb 7, 2023Yield to maturity4.592%Feb 9, 2023Yield to maturity4.632%Feb 13, 2023Yield to maturity4.671%Feb 15, 2023Yield to maturity4.701%Feb 17, 2023Yield to maturity4.759%Feb 22, 2023Yield to maturity4.737%Feb 24, 2023Yield to maturity4.725%Feb 28, 2023Yield to maturity4.716%Mar 2, 2023Yield to maturity4.694%Mar 6, 2023Yield to maturity4.722%Mar 8, 2023Yield to maturity4.752%Mar 10, 2023Yield to maturity4.739%Mar 14, 2023Yield to maturity4.492%Mar 16, 2023Yield to maturity4.255%Mar 20, 2023Yield to maturity4.294%Mar 22, 2023Yield to maturity4.058%Mar 24, 2023Yield to maturity4.026%Mar 28, 2023Yield to maturity4.239%Mar 30, 2023Yield to maturity4.739%Apr 3, 2023Yield to maturity4.746%Apr 5, 2023Yield to maturity4.674%Apr 7, 2023Yield to maturity4.478%Apr 11, 2023Yield to maturity4.405%Apr 13, 2023Yield to maturity4.374%Apr 14, 2023Yield to maturity4.514%

Price history

81 trading days to Apr 17, 2023

98.5098.7599.0099.2599.5099.75100.00Dec 20, 2022Apr 17, 2023Dec 20, 2022Close98.558Dec 22, 2022Close98.595Dec 27, 2022Close98.646Dec 29, 2022Close98.665Jan 3, 2023Close98.714Jan 5, 2023Close98.711Jan 9, 2023Close98.761Jan 11, 2023Close98.781Jan 13, 2023Close98.855Jan 18, 2023Close98.885Jan 20, 2023Close98.930Jan 24, 2023Close98.958Jan 26, 2023Close98.981Jan 30, 2023Close99.031Feb 1, 2023Close99.063Feb 3, 2023Close99.114Feb 7, 2023Close99.139Feb 9, 2023Close99.157Feb 13, 2023Close99.200Feb 15, 2023Close99.221Feb 17, 2023Close99.275Feb 22, 2023Close99.304Feb 24, 2023Close99.357Feb 28, 2023Close99.385Mar 2, 2023Close99.413Mar 6, 2023Close99.461Mar 8, 2023Close99.483Mar 10, 2023Close99.536Mar 14, 2023Close99.584Mar 16, 2023Close99.629Mar 20, 2023Close99.673Mar 22, 2023Close99.713Mar 24, 2023Close99.759Mar 28, 2023Close99.769Mar 30, 2023Close99.767Apr 3, 2023Close99.819Apr 5, 2023Close99.847Apr 7, 2023Close99.902Apr 11, 2023Close99.928Apr 13, 2023Close99.952Apr 17, 2023Close100.000
The most recent 20 trading days of prices for 912796CU1.
DateBidOfferClose
Apr 17, 2023–99.988100.000
Apr 14, 2023–99.95199.988
Apr 13, 2023–99.93999.952
Apr 12, 2023–99.92799.941
Apr 11, 202399.91899.91699.928
Apr 10, 202399.90599.90299.914
Apr 7, 202399.86999.86699.902
Apr 6, 202399.85999.85499.863
Apr 5, 202399.84499.84099.847
Apr 4, 202399.82899.82399.839
Apr 3, 202399.81199.80699.819
Mar 31, 202399.78099.77299.802
Mar 30, 202399.77399.76699.767
Mar 29, 202399.77699.77199.768
Mar 28, 202399.77999.77599.769
Mar 27, 202399.76199.75799.772
Mar 24, 202399.72899.72699.759
Mar 23, 202399.71899.71699.729
Mar 22, 202399.70199.69899.713
Mar 21, 202399.69399.69099.707

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 912796CU1.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Dec 14, 2022Dec 20, 2022New issue$33.0bn$33.9bn2.96x–
Feb 16, 2023Feb 21, 2023Reopening$60.0bn$61.2bn2.51x–
Mar 17, 2023Mar 21, 2023Reopening$60.0bn$61.3bn2.43x–

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.