Treasury bill · Matured

912796P94

Original term
52-Week
Maturity
Dec 1, 2022
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Nov 30, 2022
Analyzed through
Nov 29, 2022

Still priced, no longer analyzed. Risk numbers below are as of Nov 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, November 29, 2022

Yield to maturity
3.113%
Modified duration
0.003 yr
DV01
0.0000
Convexity
0.000
Dirty price
99.991

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 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%1%2%3%4%Dec 2, 2021Nov 29, 2022Dec 2, 2021Yield to maturity0.264%Dec 10, 2021Yield to maturity0.264%Dec 20, 2021Yield to maturity0.254%Dec 29, 2021Yield to maturity0.284%Jan 6, 2022Yield to maturity0.356%Jan 14, 2022Yield to maturity0.427%Jan 25, 2022Yield to maturity0.519%Feb 2, 2022Yield to maturity0.621%Feb 10, 2022Yield to maturity0.948%Feb 18, 2022Yield to maturity0.836%Mar 1, 2022Yield to maturity0.600%Mar 9, 2022Yield to maturity0.856%Mar 17, 2022Yield to maturity1.020%Mar 25, 2022Yield to maturity1.194%Apr 4, 2022Yield to maturity1.276%Apr 12, 2022Yield to maturity1.338%Apr 21, 2022Yield to maturity1.440%Apr 29, 2022Yield to maturity1.481%May 9, 2022Yield to maturity1.368%May 17, 2022Yield to maturity1.491%May 25, 2022Yield to maturity1.491%Jun 3, 2022Yield to maturity1.666%Jun 13, 2022Yield to maturity2.119%Jun 22, 2022Yield to maturity2.170%Jun 30, 2022Yield to maturity2.272%Jul 11, 2022Yield to maturity2.415%Jul 19, 2022Yield to maturity2.662%Jul 27, 2022Yield to maturity2.691%Aug 4, 2022Yield to maturity2.690%Aug 12, 2022Yield to maturity2.760%Aug 22, 2022Yield to maturity2.789%Aug 30, 2022Yield to maturity2.952%Sep 8, 2022Yield to maturity2.940%Sep 16, 2022Yield to maturity3.019%Sep 26, 2022Yield to maturity2.966%Oct 4, 2022Yield to maturity3.005%Oct 13, 2022Yield to maturity3.238%Oct 21, 2022Yield to maturity3.429%Oct 31, 2022Yield to maturity3.518%Nov 8, 2022Yield to maturity3.424%Nov 17, 2022Yield to maturity3.350%Nov 28, 2022Yield to maturity3.478%Nov 29, 2022Yield to maturity3.113%

Price history

249 trading days to Nov 30, 2022

98.899.099.299.499.699.8100.0Dec 2, 2021Nov 30, 2022Dec 2, 2021Close99.738Dec 10, 2021Close99.745Dec 20, 2021Close99.760Dec 29, 2021Close99.739Jan 6, 2022Close99.681Jan 14, 2022Close99.630Jan 25, 2022Close99.562Feb 2, 2022Close99.490Feb 10, 2022Close99.243Feb 18, 2022Close99.358Mar 1, 2022Close99.551Mar 9, 2022Close99.379Mar 17, 2022Close99.283Mar 25, 2022Close99.194Apr 4, 2022Close99.167Apr 12, 2022Close99.156Apr 21, 2022Close99.127Apr 29, 2022Close99.142May 9, 2022Close99.237May 17, 2022Close99.201May 25, 2022Close99.234Jun 3, 2022Close99.194Jun 13, 2022Close99.022Jun 22, 2022Close99.052Jun 30, 2022Close99.056Jul 11, 2022Close99.069Jul 19, 2022Close99.032Jul 27, 2022Close99.079Aug 4, 2022Close99.138Aug 12, 2022Close99.190Aug 22, 2022Close99.242Aug 30, 2022Close99.261Sep 8, 2022Close99.336Sep 16, 2022Close99.400Sep 26, 2022Close99.475Oct 4, 2022Close99.533Oct 13, 2022Close99.576Oct 21, 2022Close99.644Oct 31, 2022Close99.712Nov 8, 2022Close99.794Nov 17, 2022Close99.881Nov 28, 2022Close99.981Nov 30, 2022Close100.000
The most recent 20 trading days of prices for 912796P94.
DateBidOfferClose
Nov 30, 2022–99.991100.000
Nov 29, 2022–99.98399.991
Nov 28, 2022–99.97199.981
Nov 25, 202299.94399.94299.971
Nov 23, 202299.92599.92599.942
Nov 22, 202299.91599.91599.925
Nov 21, 202299.90599.90599.914
Nov 18, 202299.88199.88099.907
Nov 17, 202299.87199.87099.881
Nov 16, 202299.85999.85899.870
Nov 15, 202299.84899.84699.856
Nov 14, 202299.84399.84099.852
Nov 10, 202299.80699.80599.841
Nov 9, 202299.79999.79799.805
Nov 8, 202299.79199.78999.794
Nov 7, 202299.77799.77599.783
Nov 4, 202299.74499.74099.773
Nov 3, 202299.73499.73299.742
Nov 2, 202299.72299.72099.728
Nov 1, 202299.71499.71199.720

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 912796P94.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Nov 30, 2021Dec 2, 2021New issue$34.0bn$38.7bn3.01x–
May 31, 2022Jun 2, 2022Reopening$42.0bn$49.3bn2.81x–
Aug 29, 2022Sep 1, 2022Reopening$54.0bn$60.6bn3.03x–

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.