Treasury bill · Matured

912796T82

Original term
119-Day
Maturity
Apr 12, 2022
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Apr 11, 2022
Analyzed through
Apr 8, 2022

Still priced, no longer analyzed. Risk numbers below are as of Apr 8, 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 8, 2022

Yield to maturity
0.243%
Modified duration
0.003 yr
DV01
0.0000
Convexity
0.000
Dirty price
99.999

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 4 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, 81 observations

0.05%0.10%0.15%0.20%0.25%0.30%0.35%Dec 14, 2021Apr 8, 2022Dec 14, 2021Yield to maturity0.071%Dec 16, 2021Yield to maturity0.071%Dec 20, 2021Yield to maturity0.081%Dec 22, 2021Yield to maturity0.071%Dec 27, 2021Yield to maturity0.081%Dec 29, 2021Yield to maturity0.061%Dec 31, 2021Yield to maturity0.081%Jan 4, 2022Yield to maturity0.071%Jan 6, 2022Yield to maturity0.101%Jan 10, 2022Yield to maturity0.122%Jan 12, 2022Yield to maturity0.112%Jan 14, 2022Yield to maturity0.122%Jan 19, 2022Yield to maturity0.142%Jan 21, 2022Yield to maturity0.142%Jan 25, 2022Yield to maturity0.132%Jan 27, 2022Yield to maturity0.142%Jan 31, 2022Yield to maturity0.142%Feb 2, 2022Yield to maturity0.152%Feb 4, 2022Yield to maturity0.142%Feb 8, 2022Yield to maturity0.162%Feb 10, 2022Yield to maturity0.304%Feb 14, 2022Yield to maturity0.233%Feb 16, 2022Yield to maturity0.142%Feb 18, 2022Yield to maturity0.122%Feb 23, 2022Yield to maturity0.122%Feb 25, 2022Yield to maturity0.112%Mar 1, 2022Yield to maturity0.152%Mar 3, 2022Yield to maturity0.162%Mar 7, 2022Yield to maturity0.172%Mar 9, 2022Yield to maturity0.162%Mar 11, 2022Yield to maturity0.193%Mar 15, 2022Yield to maturity0.213%Mar 17, 2022Yield to maturity0.172%Mar 21, 2022Yield to maturity0.233%Mar 23, 2022Yield to maturity0.142%Mar 25, 2022Yield to maturity0.223%Mar 29, 2022Yield to maturity0.183%Mar 31, 2022Yield to maturity0.152%Apr 4, 2022Yield to maturity0.213%Apr 6, 2022Yield to maturity0.253%Apr 8, 2022Yield to maturity0.243%

Price history

82 trading days to Apr 11, 2022

99.9599.9699.9799.9899.99100.00Dec 14, 2021Apr 11, 2022Dec 14, 2021Close99.977Dec 16, 2021Close99.977Dec 20, 2021Close99.975Dec 22, 2021Close99.979Dec 27, 2021Close99.977Dec 29, 2021Close99.983Dec 31, 2021Close99.978Jan 4, 2022Close99.981Jan 6, 2022Close99.974Jan 10, 2022Close99.970Jan 12, 2022Close99.973Jan 14, 2022Close99.972Jan 19, 2022Close99.968Jan 21, 2022Close99.970Jan 25, 2022Close99.973Jan 27, 2022Close99.971Jan 31, 2022Close99.973Feb 2, 2022Close99.972Feb 4, 2022Close99.975Feb 8, 2022Close99.972Feb 10, 2022Close99.950Feb 14, 2022Close99.964Feb 16, 2022Close99.979Feb 18, 2022Close99.984Feb 23, 2022Close99.984Feb 25, 2022Close99.987Mar 1, 2022Close99.983Mar 3, 2022Close99.983Mar 7, 2022Close99.983Mar 9, 2022Close99.985Mar 11, 2022Close99.985Mar 15, 2022Close99.984Mar 17, 2022Close99.988Mar 21, 2022Close99.987Mar 23, 2022Close99.993Mar 25, 2022Close99.991Mar 29, 2022Close99.993Mar 31, 2022Close99.995Apr 4, 2022Close99.996Apr 6, 2022Close99.997Apr 8, 2022Close99.999Apr 11, 2022Close100.000
The most recent 20 trading days of prices for 912796T82.
DateBidOfferClose
Apr 11, 2022–100.000100.000
Apr 8, 2022–99.99799.999
Apr 7, 2022–99.99799.998
Apr 6, 2022–99.99699.997
Apr 5, 202299.99699.99699.996
Apr 4, 202299.99699.99599.996
Apr 1, 202299.99699.99599.995
Mar 31, 202299.99799.99599.995
Mar 30, 202299.99699.99599.995
Mar 29, 202299.99699.99499.993
Mar 28, 202299.99499.99299.993
Mar 25, 202299.99299.99099.991
Mar 24, 202299.99399.99299.992
Mar 23, 202299.99399.99199.993
Mar 22, 202299.99099.98899.990
Mar 21, 202299.98999.98799.987
Mar 18, 202299.98999.98799.989
Mar 17, 202299.98799.98699.988
Mar 16, 202299.98299.98199.983
Mar 15, 202299.98599.98499.984

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 912796T82.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Dec 8, 2021Dec 14, 2021New issue$35.0bn$35.0bn3.28x–
Feb 10, 2022Feb 15, 2022Reopening$40.0bn$42.7bn2.97x–
Mar 10, 2022Mar 15, 2022Reopening$45.0bn$48.8bn3.03x–

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.