Treasury bill · Matured

912796CV9

Original term
17-Week
Maturity
Apr 25, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Apr 24, 2023
Analyzed through
Apr 21, 2023

Still priced, no longer analyzed. Risk numbers below are as of Apr 21, 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 21, 2023

Yield to maturity
3.996%
Modified duration
0.003 yr
DV01
0.0000
Convexity
0.000
Dirty price
99.989

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 0.59 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, 81 observations

3.6%3.8%4.0%4.2%4.4%4.6%4.8%Dec 27, 2022Apr 21, 2023Dec 27, 2022Yield to maturity4.620%Dec 29, 2022Yield to maturity4.598%Jan 3, 2023Yield to maturity4.648%Jan 5, 2023Yield to maturity4.709%Jan 9, 2023Yield to maturity4.654%Jan 11, 2023Yield to maturity4.695%Jan 13, 2023Yield to maturity4.650%Jan 18, 2023Yield to maturity4.659%Jan 20, 2023Yield to maturity4.657%Jan 24, 2023Yield to maturity4.666%Jan 26, 2023Yield to maturity4.665%Jan 30, 2023Yield to maturity4.663%Feb 1, 2023Yield to maturity4.599%Feb 3, 2023Yield to maturity4.607%Feb 7, 2023Yield to maturity4.586%Feb 9, 2023Yield to maturity4.646%Feb 13, 2023Yield to maturity4.685%Feb 15, 2023Yield to maturity4.674%Feb 17, 2023Yield to maturity4.702%Feb 22, 2023Yield to maturity4.680%Feb 24, 2023Yield to maturity4.739%Feb 28, 2023Yield to maturity4.751%Mar 2, 2023Yield to maturity4.739%Mar 6, 2023Yield to maturity4.727%Mar 8, 2023Yield to maturity4.787%Mar 10, 2023Yield to maturity4.764%Mar 14, 2023Yield to maturity4.578%Mar 16, 2023Yield to maturity4.320%Mar 20, 2023Yield to maturity4.308%Mar 22, 2023Yield to maturity4.194%Mar 24, 2023Yield to maturity4.121%Mar 28, 2023Yield to maturity4.181%Mar 30, 2023Yield to maturity4.600%Apr 3, 2023Yield to maturity4.740%Apr 5, 2023Yield to maturity4.627%Apr 7, 2023Yield to maturity4.553%Apr 11, 2023Yield to maturity4.389%Apr 13, 2023Yield to maturity4.021%Apr 17, 2023Yield to maturity3.958%Apr 19, 2023Yield to maturity3.876%Apr 21, 2023Yield to maturity3.996%

Price history

82 trading days to Apr 24, 2023

98.5098.7599.0099.2599.5099.75100.00Dec 27, 2022Apr 24, 2023Dec 27, 2022Close98.528Dec 29, 2022Close98.560Jan 3, 2023Close98.606Jan 5, 2023Close98.613Jan 9, 2023Close98.679Jan 11, 2023Close98.692Jan 13, 2023Close98.767Jan 18, 2023Close98.789Jan 20, 2023Close98.840Jan 24, 2023Close98.862Jan 26, 2023Close98.888Jan 30, 2023Close98.938Feb 1, 2023Close98.977Feb 3, 2023Close99.025Feb 7, 2023Close99.054Feb 9, 2023Close99.067Feb 13, 2023Close99.109Feb 15, 2023Close99.137Feb 17, 2023Close99.195Feb 22, 2023Close99.224Feb 24, 2023Close99.265Feb 28, 2023Close99.291Mar 2, 2023Close99.318Mar 6, 2023Close99.371Mar 8, 2023Close99.389Mar 10, 2023Close99.443Mar 14, 2023Close99.490Mar 16, 2023Close99.542Mar 20, 2023Close99.590Mar 22, 2023Close99.623Mar 24, 2023Close99.675Mar 28, 2023Close99.692Mar 30, 2023Close99.687Apr 3, 2023Close99.729Apr 5, 2023Close99.760Apr 7, 2023Close99.814Apr 11, 2023Close99.844Apr 13, 2023Close99.879Apr 17, 2023Close99.924Apr 19, 2023Close99.947Apr 21, 2023Close99.989Apr 24, 2023Close100.000
The most recent 20 trading days of prices for 912796CV9.
DateBidOfferClose
Apr 24, 2023–99.989100.000
Apr 21, 2023–99.95699.989
Apr 20, 2023–99.94999.956
Apr 19, 2023–99.93799.947
Apr 18, 202399.92999.92699.938
Apr 17, 202399.91299.90999.924
Apr 14, 202399.88299.87799.909
Apr 13, 202399.87399.86799.879
Apr 12, 202399.85299.84999.860
Apr 11, 202399.83899.83499.844
Apr 10, 202399.81999.81399.827
Apr 7, 202399.78199.77699.814
Apr 6, 202399.77099.76399.774
Apr 5, 202399.75799.75299.760
Apr 4, 202399.73799.73299.742
Apr 3, 202399.72699.71999.729
Mar 31, 202399.69799.69099.713
Mar 30, 202399.69099.68599.687
Mar 29, 202399.69499.68799.697
Mar 28, 202399.70099.69799.692

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 912796CV9.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Dec 21, 2022Dec 27, 2022New issue$33.0bn$33.9bn3.00x–
Feb 23, 2023Feb 28, 2023Reopening$60.0bn$61.0bn2.64x–
Mar 23, 2023Mar 28, 2023Reopening$60.0bn$61.2bn2.54x–

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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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.