Treasury bill · Matured

912796S34

Original term
52-Week
Maturity
Jan 26, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Jan 25, 2023
Analyzed through
Jan 24, 2023

Still priced, no longer analyzed. Risk numbers below are as of Jan 24, 2023, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, January 24, 2023

Yield to maturity
4.198%
Modified duration
0.003 yr
DV01
0.0000
Convexity
0.000
Dirty price
99.989

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 0.06 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, 247 observations

0%1%2%3%4%5%Jan 27, 2022Jan 24, 2023Jan 27, 2022Yield to maturity0.755%Feb 4, 2022Yield to maturity0.878%Feb 14, 2022Yield to maturity1.104%Feb 23, 2022Yield to maturity1.052%Mar 3, 2022Yield to maturity1.011%Mar 11, 2022Yield to maturity1.093%Mar 21, 2022Yield to maturity1.267%Mar 29, 2022Yield to maturity1.422%Apr 6, 2022Yield to maturity1.535%Apr 14, 2022Yield to maturity1.529%Apr 25, 2022Yield to maturity1.638%May 3, 2022Yield to maturity1.710%May 11, 2022Yield to maturity1.575%May 19, 2022Yield to maturity1.637%May 27, 2022Yield to maturity1.688%Jun 7, 2022Yield to maturity1.874%Jun 15, 2022Yield to maturity2.454%Jun 24, 2022Yield to maturity2.443%Jul 5, 2022Yield to maturity2.516%Jul 13, 2022Yield to maturity2.870%Jul 21, 2022Yield to maturity2.953%Jul 29, 2022Yield to maturity2.889%Aug 8, 2022Yield to maturity3.002%Aug 16, 2022Yield to maturity2.969%Aug 24, 2022Yield to maturity3.019%Sep 1, 2022Yield to maturity3.121%Sep 12, 2022Yield to maturity3.273%Sep 20, 2022Yield to maturity3.510%Sep 28, 2022Yield to maturity3.497%Oct 6, 2022Yield to maturity3.504%Oct 17, 2022Yield to maturity3.832%Oct 25, 2022Yield to maturity4.066%Nov 2, 2022Yield to maturity4.104%Nov 10, 2022Yield to maturity4.006%Nov 21, 2022Yield to maturity3.982%Nov 30, 2022Yield to maturity4.143%Dec 8, 2022Yield to maturity3.852%Dec 16, 2022Yield to maturity3.919%Dec 27, 2022Yield to maturity3.722%Jan 5, 2023Yield to maturity4.126%Jan 13, 2023Yield to maturity4.263%Jan 24, 2023Yield to maturity4.198%

Price history

248 trading days to Jan 25, 2023

98.2598.5098.7599.0099.2599.5099.75100.00Jan 27, 2022Jan 25, 2023Jan 27, 2022Close99.254Feb 4, 2022Close99.157Feb 14, 2022Close98.965Feb 23, 2022Close99.039Mar 3, 2022Close99.098Mar 11, 2022Close99.055Mar 21, 2022Close98.932Mar 29, 2022Close98.834Apr 6, 2022Close98.775Apr 14, 2022Close98.813Apr 25, 2022Close98.778May 3, 2022Close98.761May 11, 2022Close98.892May 19, 2022Close98.884May 27, 2022Close98.900Jun 7, 2022Close98.821Jun 15, 2022Close98.513Jun 24, 2022Close98.592Jul 5, 2022Close98.612Jul 13, 2022Close98.481Jul 21, 2022Close98.501Jul 29, 2022Close98.611Aug 8, 2022Close98.621Aug 16, 2022Close98.700Aug 24, 2022Close98.742Sep 1, 2022Close98.767Sep 12, 2022Close98.804Sep 20, 2022Close98.793Sep 28, 2022Close98.873Oct 6, 2022Close98.945Oct 17, 2022Close98.961Oct 25, 2022Close98.985Nov 2, 2022Close99.064Nov 10, 2022Close99.205Nov 21, 2022Close99.296Nov 30, 2022Close99.368Dec 8, 2022Close99.496Dec 16, 2022Close99.594Dec 27, 2022Close99.705Jan 5, 2023Close99.774Jan 13, 2023Close99.895Jan 24, 2023Close99.989Jan 25, 2023Close100.000
The most recent 20 trading days of prices for 912796S34.
DateBidOfferClose
Jan 25, 2023–99.989100.000
Jan 24, 2023–99.97799.989
Jan 23, 2023–99.96699.977
Jan 20, 2023–99.93199.966
Jan 19, 202399.92199.92199.931
Jan 18, 202399.90899.90899.920
Jan 17, 202399.89699.89599.907
Jan 13, 202399.84899.84899.895
Jan 12, 202399.83899.83799.848
Jan 11, 202399.82699.82599.837
Jan 10, 202399.81799.81599.827
Jan 9, 202399.80699.80599.816
Jan 6, 202399.77699.77499.808
Jan 5, 202399.76499.76399.774
Jan 4, 202399.75399.75199.764
Jan 3, 202399.74799.74599.752
Dec 30, 202299.71699.71499.758
Dec 29, 202299.73599.73199.729
Dec 28, 202299.71699.71299.730
Dec 27, 202299.69799.69299.705

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 912796S34.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Jan 25, 2022Jan 27, 2022New issue$34.0bn$38.1bn2.98x–
Jul 25, 2022Jul 28, 2022Reopening$42.0bn$47.8bn3.16x–
Oct 24, 2022Oct 27, 2022Reopening$57.0bn$63.4bn2.56x–

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.