Treasury bill · Matured

912796N39

Original term
26-Week
Maturity
Mar 31, 2022
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Mar 30, 2022
Analyzed through
Mar 29, 2022

Still priced, no longer analyzed. Risk numbers below are as of Mar 29, 2022, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, March 29, 2022

Yield to maturity
0.223%
Modified duration
0.003 yr
DV01
0.0000
Convexity
0.000
Dirty price
99.999

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

Shown as a price rather than a yield. This bill is 2 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, 123 observations

0.05%0.10%0.15%0.20%0.25%0.30%Sep 30, 2021Mar 29, 2022Sep 30, 2021Yield to maturity0.051%Oct 5, 2021Yield to maturity0.051%Oct 8, 2021Yield to maturity0.061%Oct 14, 2021Yield to maturity0.061%Oct 19, 2021Yield to maturity0.061%Oct 22, 2021Yield to maturity0.061%Oct 27, 2021Yield to maturity0.061%Nov 1, 2021Yield to maturity0.061%Nov 4, 2021Yield to maturity0.051%Nov 9, 2021Yield to maturity0.051%Nov 15, 2021Yield to maturity0.051%Nov 18, 2021Yield to maturity0.051%Nov 23, 2021Yield to maturity0.061%Nov 29, 2021Yield to maturity0.061%Dec 2, 2021Yield to maturity0.071%Dec 7, 2021Yield to maturity0.081%Dec 10, 2021Yield to maturity0.061%Dec 15, 2021Yield to maturity0.061%Dec 20, 2021Yield to maturity0.051%Dec 23, 2021Yield to maturity0.071%Dec 29, 2021Yield to maturity0.051%Jan 3, 2022Yield to maturity0.061%Jan 6, 2022Yield to maturity0.071%Jan 11, 2022Yield to maturity0.091%Jan 14, 2022Yield to maturity0.091%Jan 20, 2022Yield to maturity0.112%Jan 25, 2022Yield to maturity0.112%Jan 28, 2022Yield to maturity0.122%Feb 2, 2022Yield to maturity0.091%Feb 7, 2022Yield to maturity0.142%Feb 10, 2022Yield to maturity0.203%Feb 15, 2022Yield to maturity0.132%Feb 18, 2022Yield to maturity0.112%Feb 24, 2022Yield to maturity0.061%Mar 1, 2022Yield to maturity0.101%Mar 4, 2022Yield to maturity0.152%Mar 9, 2022Yield to maturity0.142%Mar 14, 2022Yield to maturity0.142%Mar 17, 2022Yield to maturity0.183%Mar 22, 2022Yield to maturity0.243%Mar 25, 2022Yield to maturity0.294%Mar 29, 2022Yield to maturity0.223%

Price history

124 trading days to Mar 30, 2022

99.97099.97599.98099.98599.99099.995100.000Sep 30, 2021Mar 30, 2022Sep 30, 2021Close99.975Oct 5, 2021Close99.976Oct 8, 2021Close99.972Oct 14, 2021Close99.972Oct 19, 2021Close99.973Oct 22, 2021Close99.974Oct 27, 2021Close99.974Nov 1, 2021Close99.975Nov 4, 2021Close99.980Nov 9, 2021Close99.980Nov 15, 2021Close99.981Nov 18, 2021Close99.982Nov 23, 2021Close99.979Nov 29, 2021Close99.980Dec 2, 2021Close99.977Dec 7, 2021Close99.975Dec 10, 2021Close99.982Dec 15, 2021Close99.983Dec 20, 2021Close99.986Dec 23, 2021Close99.982Dec 29, 2021Close99.987Jan 3, 2022Close99.986Jan 6, 2022Close99.984Jan 11, 2022Close99.981Jan 14, 2022Close99.982Jan 20, 2022Close99.979Jan 25, 2022Close99.980Jan 28, 2022Close99.980Feb 2, 2022Close99.986Feb 7, 2022Close99.980Feb 10, 2022Close99.973Feb 15, 2022Close99.984Feb 18, 2022Close99.989Feb 24, 2022Close99.994Mar 1, 2022Close99.992Mar 4, 2022Close99.990Mar 9, 2022Close99.992Mar 14, 2022Close99.994Mar 17, 2022Close99.993Mar 22, 2022Close99.995Mar 25, 2022Close99.998Mar 30, 2022Close100.000
The most recent 20 trading days of prices for 912796N39.
DateBidOfferClose
Mar 30, 2022–99.999100.000
Mar 29, 2022–99.99999.999
Mar 28, 2022–99.99899.999
Mar 25, 2022–99.99699.998
Mar 24, 202299.99799.99699.997
Mar 23, 202299.99699.99699.996
Mar 22, 202299.99599.99599.995
Mar 21, 202299.99499.99499.994
Mar 18, 202299.99499.99399.995
Mar 17, 202299.99499.99399.993
Mar 16, 202299.99299.99199.991
Mar 15, 202299.99499.99399.993
Mar 14, 202299.99499.99399.994
Mar 11, 202299.99399.99299.993
Mar 10, 202299.99499.99299.993
Mar 9, 202299.99299.99099.992
Mar 8, 202299.99199.99099.991
Mar 7, 202299.99099.98799.989
Mar 4, 202299.99099.98899.990
Mar 3, 202299.99199.99099.987

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 912796N39.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Sep 27, 2021Sep 30, 2021New issue$42.0bn$49.2bn3.24x–
Dec 27, 2021Dec 30, 2021Reopening$60.0bn$68.5bn3.02x–

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.

Free to benchmark against. Paid only to track. Measuring anything against these curves and indices is free. No license, no fee, no registration, and no permission needed to say that you did, including in a prospectus. A fee applies to one thing: launching a product that tracks an index.

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.