Treasury bill · Matured

912796N96

Original term
52-Week
Maturity
Nov 3, 2022
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Nov 2, 2022
Analyzed through
Nov 1, 2022

Still priced, no longer analyzed. Risk numbers below are as of Nov 1, 2022, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, November 1, 2022

Yield to maturity
2.474%
Modified duration
0.003 yr
DV01
0.0000
Convexity
0.000
Dirty price
99.993

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 0.15 cents per 100 of face rich 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, 248 observations

0.00%0.50%1.00%1.50%2.00%2.50%3.00%Nov 4, 2021Nov 1, 2022Nov 4, 2021Yield to maturity0.142%Nov 15, 2021Yield to maturity0.173%Nov 23, 2021Yield to maturity0.193%Dec 2, 2021Yield to maturity0.234%Dec 10, 2021Yield to maturity0.234%Dec 20, 2021Yield to maturity0.234%Dec 29, 2021Yield to maturity0.264%Jan 6, 2022Yield to maturity0.335%Jan 14, 2022Yield to maturity0.417%Jan 25, 2022Yield to maturity0.498%Feb 2, 2022Yield to maturity0.600%Feb 10, 2022Yield to maturity0.856%Feb 18, 2022Yield to maturity0.733%Mar 1, 2022Yield to maturity0.682%Mar 9, 2022Yield to maturity0.876%Mar 17, 2022Yield to maturity0.978%Mar 25, 2022Yield to maturity1.101%Apr 4, 2022Yield to maturity1.132%Apr 12, 2022Yield to maturity1.245%Apr 21, 2022Yield to maturity1.337%Apr 29, 2022Yield to maturity1.440%May 9, 2022Yield to maturity1.357%May 17, 2022Yield to maturity1.419%May 25, 2022Yield to maturity1.418%Jun 3, 2022Yield to maturity1.489%Jun 13, 2022Yield to maturity1.859%Jun 22, 2022Yield to maturity2.022%Jun 30, 2022Yield to maturity2.063%Jul 11, 2022Yield to maturity2.215%Jul 19, 2022Yield to maturity2.523%Jul 27, 2022Yield to maturity2.511%Aug 4, 2022Yield to maturity2.458%Aug 12, 2022Yield to maturity2.508%Aug 22, 2022Yield to maturity2.578%Aug 30, 2022Yield to maturity2.679%Sep 8, 2022Yield to maturity2.626%Sep 16, 2022Yield to maturity2.686%Sep 26, 2022Yield to maturity2.704%Oct 4, 2022Yield to maturity2.835%Oct 13, 2022Yield to maturity2.711%Oct 21, 2022Yield to maturity2.587%Oct 31, 2022Yield to maturity2.180%Nov 1, 2022Yield to maturity2.474%

Price history

249 trading days to Nov 2, 2022

99.299.499.699.8100.0Nov 4, 2021Nov 2, 2022Nov 4, 2021Close99.859Nov 15, 2021Close99.834Nov 23, 2021Close99.818Dec 2, 2021Close99.786Dec 10, 2021Close99.792Dec 20, 2021Close99.797Dec 29, 2021Close99.778Jan 6, 2022Close99.725Jan 14, 2022Close99.671Jan 25, 2022Close99.618Feb 2, 2022Close99.553Feb 10, 2022Close99.382Feb 18, 2022Close99.492Mar 1, 2022Close99.542Mar 9, 2022Close99.431Mar 17, 2022Close99.387Mar 25, 2022Close99.340Apr 4, 2022Close99.346Apr 12, 2022Close99.309Apr 21, 2022Close99.290Apr 29, 2022Close99.275May 9, 2022Close99.346May 17, 2022Close99.347May 25, 2022Close99.378Jun 3, 2022Close99.392Jun 13, 2022Close99.282Jun 22, 2022Close99.269Jun 30, 2022Close99.299Jul 11, 2022Close99.313Jul 19, 2022Close99.273Jul 27, 2022Close99.330Aug 4, 2022Close99.397Aug 12, 2022Close99.453Aug 22, 2022Close99.494Aug 30, 2022Close99.532Sep 8, 2022Close99.606Sep 16, 2022Close99.670Sep 26, 2022Close99.727Oct 4, 2022Close99.775Oct 13, 2022Close99.852Oct 21, 2022Close99.929Oct 31, 2022Close99.988Nov 2, 2022Close100.000
The most recent 20 trading days of prices for 912796N96.
DateBidOfferClose
Nov 2, 2022–99.993100.000
Nov 1, 2022–99.98799.993
Oct 31, 2022–99.98199.988
Oct 28, 2022–99.96099.980
Oct 27, 202299.95099.95099.957
Oct 26, 202299.94999.94899.954
Oct 25, 202299.93799.93699.946
Oct 24, 202299.92999.92799.935
Oct 21, 202299.90999.90899.929
Oct 20, 202299.89899.89799.906
Oct 19, 202299.89099.88899.896
Oct 18, 202299.88399.88199.890
Oct 17, 202299.87699.87399.882
Oct 14, 202299.85399.84999.874
Oct 13, 202299.84699.84499.852
Oct 12, 202299.83899.83699.845
Oct 11, 202299.83199.82999.836
Oct 7, 202299.79799.79499.826
Oct 6, 202299.79099.78799.797
Oct 5, 202299.78299.78099.789

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 912796N96.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Nov 2, 2021Nov 4, 2021New issue$34.0bn$39.1bn3.25x–
May 2, 2022May 5, 2022Reopening$42.0bn$49.5bn2.99x–
Aug 1, 2022Aug 4, 2022Reopening$54.0bn$62.4bn2.63x–

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.