Treasury bill · Matured

912796Q28

Original term
26-Week
Maturity
May 12, 2022
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
May 11, 2022
Analyzed through
May 10, 2022

Still priced, no longer analyzed. Risk numbers below are as of May 10, 2022, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, May 10, 2022

Yield to maturity
0.568%
Modified duration
0.003 yr
DV01
0.0000
Convexity
0.000
Dirty price
99.998

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 0.04 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

0.0%0.1%0.2%0.3%0.4%0.5%0.6%Nov 12, 2021May 10, 2022Nov 12, 2021Yield to maturity0.071%Nov 17, 2021Yield to maturity0.061%Nov 22, 2021Yield to maturity0.061%Nov 26, 2021Yield to maturity0.091%Dec 1, 2021Yield to maturity0.081%Dec 6, 2021Yield to maturity0.101%Dec 9, 2021Yield to maturity0.091%Dec 14, 2021Yield to maturity0.091%Dec 17, 2021Yield to maturity0.081%Dec 22, 2021Yield to maturity0.091%Dec 28, 2021Yield to maturity0.101%Dec 31, 2021Yield to maturity0.112%Jan 5, 2022Yield to maturity0.122%Jan 10, 2022Yield to maturity0.152%Jan 13, 2022Yield to maturity0.183%Jan 19, 2022Yield to maturity0.223%Jan 24, 2022Yield to maturity0.223%Jan 27, 2022Yield to maturity0.233%Feb 1, 2022Yield to maturity0.223%Feb 4, 2022Yield to maturity0.274%Feb 9, 2022Yield to maturity0.274%Feb 14, 2022Yield to maturity0.396%Feb 17, 2022Yield to maturity0.335%Feb 23, 2022Yield to maturity0.315%Feb 28, 2022Yield to maturity0.294%Mar 3, 2022Yield to maturity0.304%Mar 8, 2022Yield to maturity0.274%Mar 11, 2022Yield to maturity0.274%Mar 16, 2022Yield to maturity0.294%Mar 21, 2022Yield to maturity0.294%Mar 24, 2022Yield to maturity0.254%Mar 29, 2022Yield to maturity0.203%Apr 1, 2022Yield to maturity0.223%Apr 6, 2022Yield to maturity0.243%Apr 11, 2022Yield to maturity0.233%Apr 14, 2022Yield to maturity0.216%Apr 20, 2022Yield to maturity0.193%Apr 25, 2022Yield to maturity0.193%Apr 28, 2022Yield to maturity0.183%May 3, 2022Yield to maturity0.203%May 6, 2022Yield to maturity0.324%May 10, 2022Yield to maturity0.568%

Price history

124 trading days to May 11, 2022

99.8899.9099.9299.9499.9699.98100.00Nov 12, 2021May 11, 2022Nov 12, 2021Close99.965Nov 17, 2021Close99.971Nov 22, 2021Close99.972Nov 26, 2021Close99.959Dec 1, 2021Close99.964Dec 6, 2021Close99.957Dec 9, 2021Close99.962Dec 14, 2021Close99.963Dec 17, 2021Close99.968Dec 22, 2021Close99.965Dec 28, 2021Close99.963Dec 31, 2021Close99.961Jan 5, 2022Close99.958Jan 10, 2022Close99.950Jan 13, 2022Close99.941Jan 19, 2022Close99.932Jan 24, 2022Close99.935Jan 27, 2022Close99.934Feb 1, 2022Close99.939Feb 4, 2022Close99.930Feb 9, 2022Close99.932Feb 14, 2022Close99.907Feb 17, 2022Close99.924Feb 23, 2022Close99.934Feb 28, 2022Close99.942Mar 3, 2022Close99.942Mar 8, 2022Close99.952Mar 11, 2022Close99.956Mar 16, 2022Close99.955Mar 21, 2022Close99.959Mar 24, 2022Close99.967Mar 29, 2022Close99.976Apr 1, 2022Close99.977Apr 6, 2022Close99.977Apr 11, 2022Close99.981Apr 14, 2022Close99.984Apr 20, 2022Close99.989Apr 25, 2022Close99.992Apr 28, 2022Close99.993May 3, 2022Close99.996May 6, 2022Close99.997May 11, 2022Close100.000
The most recent 20 trading days of prices for 912796Q28.
DateBidOfferClose
May 11, 2022–99.998100.000
May 10, 2022–99.99799.998
May 9, 2022–99.99699.997
May 6, 2022–99.99799.997
May 5, 202299.99399.99299.995
May 4, 202299.99699.99599.996
May 3, 202299.99699.99599.996
May 2, 202299.99699.99699.995
Apr 29, 202299.99599.99499.996
Apr 28, 202299.99699.99599.993
Apr 27, 202299.99499.99499.995
Apr 26, 202299.99299.99199.991
Apr 25, 202299.99299.99199.992
Apr 22, 202299.98999.98899.991
Apr 21, 202299.99099.98799.988
Apr 20, 202299.98799.98699.989
Apr 19, 202299.98699.98499.985
Apr 18, 202299.98599.98599.983
Apr 14, 202299.98499.98299.984
Apr 13, 202299.98399.98099.980

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 912796Q28.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Nov 8, 2021Nov 12, 2021New issue$48.0bn$53.5bn3.31x–
Feb 7, 2022Feb 10, 2022Reopening$60.0bn$66.5bn3.00x–

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.