Treasury bill · Matured

912796P37

Original term
26-Week
Maturity
Apr 28, 2022
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Apr 27, 2022
Analyzed through
Apr 26, 2022

Still priced, no longer analyzed. Risk numbers below are as of Apr 26, 2022, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, April 26, 2022

Yield to maturity
0.172%
Modified duration
0.003 yr
DV01
0.0000
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 0.003 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%0.35%Oct 28, 2021Apr 26, 2022Oct 28, 2021Yield to maturity0.061%Nov 2, 2021Yield to maturity0.071%Nov 5, 2021Yield to maturity0.061%Nov 10, 2021Yield to maturity0.061%Nov 16, 2021Yield to maturity0.061%Nov 19, 2021Yield to maturity0.061%Nov 24, 2021Yield to maturity0.081%Nov 30, 2021Yield to maturity0.081%Dec 3, 2021Yield to maturity0.081%Dec 8, 2021Yield to maturity0.091%Dec 13, 2021Yield to maturity0.081%Dec 16, 2021Yield to maturity0.081%Dec 21, 2021Yield to maturity0.081%Dec 27, 2021Yield to maturity0.091%Dec 30, 2021Yield to maturity0.083%Jan 4, 2022Yield to maturity0.091%Jan 7, 2022Yield to maturity0.112%Jan 12, 2022Yield to maturity0.142%Jan 18, 2022Yield to maturity0.183%Jan 21, 2022Yield to maturity0.183%Jan 26, 2022Yield to maturity0.213%Jan 31, 2022Yield to maturity0.193%Feb 3, 2022Yield to maturity0.172%Feb 8, 2022Yield to maturity0.213%Feb 11, 2022Yield to maturity0.315%Feb 16, 2022Yield to maturity0.254%Feb 22, 2022Yield to maturity0.203%Feb 25, 2022Yield to maturity0.213%Mar 2, 2022Yield to maturity0.243%Mar 7, 2022Yield to maturity0.213%Mar 10, 2022Yield to maturity0.223%Mar 15, 2022Yield to maturity0.243%Mar 18, 2022Yield to maturity0.233%Mar 23, 2022Yield to maturity0.142%Mar 28, 2022Yield to maturity0.193%Mar 31, 2022Yield to maturity0.142%Apr 5, 2022Yield to maturity0.193%Apr 8, 2022Yield to maturity0.183%Apr 13, 2022Yield to maturity0.223%Apr 19, 2022Yield to maturity0.122%Apr 22, 2022Yield to maturity0.193%Apr 26, 2022Yield to maturity0.172%

Price history

124 trading days to Apr 27, 2022

99.9399.9499.9599.9699.9799.9899.99100.00Oct 28, 2021Apr 27, 2022Oct 28, 2021Close99.970Nov 2, 2021Close99.966Nov 5, 2021Close99.972Nov 10, 2021Close99.972Nov 16, 2021Close99.973Nov 19, 2021Close99.974Nov 24, 2021Close99.966Nov 30, 2021Close99.967Dec 3, 2021Close99.968Dec 8, 2021Close99.965Dec 13, 2021Close99.970Dec 16, 2021Close99.971Dec 21, 2021Close99.972Dec 27, 2021Close99.970Dec 30, 2021Close99.974Jan 4, 2022Close99.972Jan 7, 2022Close99.967Jan 12, 2022Close99.959Jan 18, 2022Close99.951Jan 21, 2022Close99.953Jan 26, 2022Close99.947Jan 31, 2022Close99.955Feb 3, 2022Close99.961Feb 8, 2022Close99.954Feb 11, 2022Close99.937Feb 16, 2022Close99.951Feb 22, 2022Close99.964Feb 25, 2022Close99.966Mar 2, 2022Close99.963Mar 7, 2022Close99.970Mar 10, 2022Close99.971Mar 15, 2022Close99.971Mar 18, 2022Close99.976Mar 23, 2022Close99.986Mar 28, 2022Close99.984Mar 31, 2022Close99.990Apr 5, 2022Close99.988Apr 8, 2022Close99.992Apr 13, 2022Close99.991Apr 19, 2022Close99.997Apr 22, 2022Close99.998Apr 27, 2022Close100.000
The most recent 20 trading days of prices for 912796P37.
DateBidOfferClose
Apr 27, 2022–99.999100.000
Apr 26, 2022–99.999100.000
Apr 25, 2022–99.99999.999
Apr 22, 2022–99.99899.998
Apr 21, 202299.99799.99799.998
Apr 20, 202299.99799.99699.997
Apr 19, 202299.99799.99699.997
Apr 18, 202299.99699.99599.996
Apr 14, 202299.99499.99399.995
Apr 13, 202299.99399.99299.991
Apr 12, 202299.99299.99199.992
Apr 11, 202299.99299.99199.992
Apr 8, 202299.99199.98999.992
Apr 7, 202299.99099.98999.991
Apr 6, 202299.99099.98899.988
Apr 5, 202299.98899.98799.988
Apr 4, 202299.98899.98699.987
Apr 1, 202299.98899.98699.987
Mar 31, 202299.99399.99199.990
Mar 30, 202299.99099.98999.991

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 912796P37.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Oct 25, 2021Oct 28, 2021New issue$48.0bn$53.9bn3.34x–
Jan 24, 2022Jan 27, 2022Reopening$60.0bn$67.3bn2.81x–

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.