Treasury bill · Matured

912796W47

Original term
52-Week
Maturity
May 18, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
May 17, 2023
Analyzed through
May 16, 2023

Still priced, no longer analyzed. Risk numbers below are as of May 16, 2023, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, May 16, 2023

Yield to maturity
4.911%
Modified duration
0.003 yr
DV01
0.0000
Convexity
0.000
Dirty price
99.987

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 0.28 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

1%2%3%4%5%6%May 19, 2022May 16, 2023May 19, 2022Yield to maturity2.111%May 27, 2022Yield to maturity1.995%Jun 7, 2022Yield to maturity2.214%Jun 15, 2022Yield to maturity2.854%Jun 24, 2022Yield to maturity2.694%Jul 5, 2022Yield to maturity2.672%Jul 13, 2022Yield to maturity3.049%Jul 21, 2022Yield to maturity3.017%Jul 29, 2022Yield to maturity2.920%Aug 8, 2022Yield to maturity3.224%Aug 16, 2022Yield to maturity3.076%Aug 24, 2022Yield to maturity3.138%Sep 1, 2022Yield to maturity3.189%Sep 12, 2022Yield to maturity3.303%Sep 20, 2022Yield to maturity3.670%Sep 28, 2022Yield to maturity3.659%Oct 6, 2022Yield to maturity3.679%Oct 17, 2022Yield to maturity3.909%Oct 25, 2022Yield to maturity4.172%Nov 2, 2022Yield to maturity4.341%Nov 10, 2022Yield to maturity4.489%Nov 21, 2022Yield to maturity4.634%Nov 30, 2022Yield to maturity4.650%Dec 8, 2022Yield to maturity4.656%Dec 16, 2022Yield to maturity4.629%Dec 27, 2022Yield to maturity4.644%Jan 5, 2023Yield to maturity4.691%Jan 13, 2023Yield to maturity4.716%Jan 24, 2023Yield to maturity4.670%Feb 1, 2023Yield to maturity4.706%Feb 9, 2023Yield to maturity4.774%Feb 17, 2023Yield to maturity4.819%Feb 28, 2023Yield to maturity4.796%Mar 8, 2023Yield to maturity4.885%Mar 16, 2023Yield to maturity4.590%Mar 24, 2023Yield to maturity4.399%Apr 3, 2023Yield to maturity4.734%Apr 11, 2023Yield to maturity4.432%Apr 19, 2023Yield to maturity3.783%Apr 27, 2023Yield to maturity4.362%May 5, 2023Yield to maturity4.418%May 15, 2023Yield to maturity5.024%May 16, 2023Yield to maturity4.911%

Price history

249 trading days to May 17, 2023

97.0097.5098.0098.5099.0099.50100.00May 19, 2022May 17, 2023May 19, 2022Close97.933May 27, 2022Close98.103Jun 7, 2022Close97.946Jun 15, 2022Close97.424Jun 24, 2022Close97.644Jul 5, 2022Close97.727Jul 13, 2022Close97.476Jul 21, 2022Close97.567Jul 29, 2022Close97.720Aug 8, 2022Close97.556Aug 16, 2022Close97.732Aug 24, 2022Close97.754Sep 1, 2022Close97.785Sep 12, 2022Close97.804Sep 20, 2022Close97.643Sep 28, 2022Close97.728Oct 6, 2022Close97.795Oct 17, 2022Close97.774Oct 25, 2022Close97.716Nov 2, 2022Close97.719Nov 10, 2022Close97.775Nov 21, 2022Close97.802Nov 30, 2022Close97.905Dec 8, 2022Close98.000Dec 16, 2022Close98.133Dec 27, 2022Close98.237Jan 5, 2023Close98.332Jan 13, 2023Close98.461Jan 24, 2023Close98.575Feb 1, 2023Close98.664Feb 9, 2023Close98.747Feb 17, 2023Close98.877Feb 28, 2023Close98.988Mar 8, 2023Close99.074Mar 16, 2023Close99.228Mar 24, 2023Close99.379Apr 3, 2023Close99.434Apr 11, 2023Close99.566Apr 19, 2023Close99.711Apr 27, 2023Close99.762May 5, 2023Close99.879May 15, 2023Close99.973May 17, 2023Close100.000
The most recent 20 trading days of prices for 912796W47.
DateBidOfferClose
May 17, 2023–99.986100.000
May 16, 2023–99.97399.987
May 15, 2023–99.96199.973
May 12, 2023–99.92999.963
May 11, 202399.92099.91999.933
May 10, 202399.90799.90699.918
May 9, 202399.89399.89299.904
May 8, 202399.87799.87699.889
May 5, 202399.84799.84499.879
May 4, 202399.83399.83199.845
May 3, 202399.82599.82399.835
May 2, 202399.81099.80999.817
May 1, 202399.79199.78899.800
Apr 28, 202399.75999.75899.794
Apr 27, 202399.76999.76799.762
Apr 26, 202399.75599.75199.766
Apr 25, 202399.76399.76299.746
Apr 24, 202399.77699.77199.777
Apr 21, 202399.73099.72899.776
Apr 20, 202399.72499.71899.739

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.

4 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 912796W47.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
May 18, 2022May 19, 2022New issue$34.0bn$39.2bn3.12x–
Nov 14, 2022Nov 17, 2022Reopening$45.0bn$51.1bn2.86x–
Feb 13, 2023Feb 16, 2023Reopening$60.0bn$67.5bn2.60x–
Apr 27, 2023May 1, 2023Reopening$45.0bn$45.0bn2.44x–

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.