Treasury bill · Matured

912796H51

Original term
26-Week
Maturity
Nov 12, 2021
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Nov 10, 2021
Analyzed through
Nov 9, 2021

Still priced, no longer analyzed. Risk numbers below are as of Nov 9, 2021, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, November 9, 2021

Yield to maturity
0.020%
Modified duration
0.005 yr
DV01
0.0001
Convexity
0.000
Dirty price
100.000

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 0.005 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 0.02 cents per 100 of face rich to the curve on that day.

Shown as a price rather than a yield. This bill is 3 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, 125 observations

0.02%0.03%0.04%0.05%0.06%0.07%0.08%May 13, 2021Nov 9, 2021May 13, 2021Yield to maturity0.030%May 18, 2021Yield to maturity0.030%May 21, 2021Yield to maturity0.020%May 26, 2021Yield to maturity0.020%Jun 1, 2021Yield to maturity0.030%Jun 4, 2021Yield to maturity0.041%Jun 9, 2021Yield to maturity0.030%Jun 14, 2021Yield to maturity0.041%Jun 17, 2021Yield to maturity0.052%Jun 22, 2021Yield to maturity0.051%Jun 25, 2021Yield to maturity0.051%Jun 30, 2021Yield to maturity0.061%Jul 6, 2021Yield to maturity0.051%Jul 9, 2021Yield to maturity0.051%Jul 14, 2021Yield to maturity0.061%Jul 19, 2021Yield to maturity0.051%Jul 22, 2021Yield to maturity0.051%Jul 27, 2021Yield to maturity0.051%Jul 30, 2021Yield to maturity0.051%Aug 4, 2021Yield to maturity0.051%Aug 9, 2021Yield to maturity0.051%Aug 12, 2021Yield to maturity0.061%Aug 17, 2021Yield to maturity0.071%Aug 20, 2021Yield to maturity0.051%Aug 25, 2021Yield to maturity0.071%Aug 30, 2021Yield to maturity0.061%Sep 2, 2021Yield to maturity0.061%Sep 8, 2021Yield to maturity0.061%Sep 13, 2021Yield to maturity0.071%Sep 16, 2021Yield to maturity0.061%Sep 21, 2021Yield to maturity0.041%Sep 24, 2021Yield to maturity0.061%Sep 29, 2021Yield to maturity0.061%Oct 4, 2021Yield to maturity0.061%Oct 7, 2021Yield to maturity0.041%Oct 13, 2021Yield to maturity0.020%Oct 18, 2021Yield to maturity0.030%Oct 21, 2021Yield to maturity0.030%Oct 26, 2021Yield to maturity0.051%Oct 29, 2021Yield to maturity0.041%Nov 3, 2021Yield to maturity0.041%Nov 8, 2021Yield to maturity0.030%Nov 9, 2021Yield to maturity0.020%

Price history

126 trading days to Nov 10, 2021

99.97599.98099.98599.99099.995100.000May 13, 2021Nov 10, 2021May 13, 2021Close99.985May 18, 2021Close99.985May 21, 2021Close99.990May 26, 2021Close99.991Jun 1, 2021Close99.986Jun 4, 2021Close99.982Jun 9, 2021Close99.987Jun 14, 2021Close99.983Jun 17, 2021Close99.980Jun 22, 2021Close99.980Jun 25, 2021Close99.981Jun 30, 2021Close99.978Jul 6, 2021Close99.982Jul 9, 2021Close99.983Jul 14, 2021Close99.980Jul 19, 2021Close99.984Jul 22, 2021Close99.984Jul 27, 2021Close99.985Jul 30, 2021Close99.986Aug 4, 2021Close99.986Aug 9, 2021Close99.987Aug 12, 2021Close99.985Aug 17, 2021Close99.983Aug 20, 2021Close99.989Aug 25, 2021Close99.985Aug 30, 2021Close99.988Sep 2, 2021Close99.988Sep 8, 2021Close99.989Sep 13, 2021Close99.989Sep 16, 2021Close99.991Sep 21, 2021Close99.994Sep 24, 2021Close99.992Sep 29, 2021Close99.993Oct 4, 2021Close99.994Oct 7, 2021Close99.996Oct 13, 2021Close99.998Oct 18, 2021Close99.998Oct 21, 2021Close99.998Oct 26, 2021Close99.998Oct 29, 2021Close99.999Nov 3, 2021Close99.999Nov 8, 2021Close100.000Nov 10, 2021Close100.000
The most recent 20 trading days of prices for 912796H51.
DateBidOfferClose
Nov 10, 2021–100.000100.000
Nov 9, 2021–100.000100.000
Nov 8, 2021–100.000100.000
Nov 5, 2021100.00099.999100.000
Nov 4, 202199.99999.99999.999
Nov 3, 202199.99999.99999.999
Nov 2, 202199.99999.99999.999
Nov 1, 202199.99999.99999.999
Oct 29, 202199.99999.99899.999
Oct 28, 202199.99999.99899.998
Oct 27, 202199.99899.99899.998
Oct 26, 202199.99999.99999.998
Oct 25, 202199.99999.99999.998
Oct 22, 202199.99899.99899.998
Oct 21, 202199.99899.99899.998
Oct 20, 202199.99899.99899.998
Oct 19, 202199.99899.99799.998
Oct 18, 202199.99899.99899.998
Oct 15, 202199.99899.99899.998
Oct 14, 202199.99999.99899.998

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.

2 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 912796H51.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
May 10, 2021May 13, 2021New issue$54.0bn$59.7bn3.28x–
Aug 9, 2021Aug 12, 2021Reopening$54.0bn$60.1bn3.16x–

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.