Treasury bill · Matured

912796X53

Original term
52-Week
Maturity
Jun 15, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Jun 14, 2023
Analyzed through
Jun 13, 2023

Still priced, no longer analyzed. Risk numbers below are as of Jun 13, 2023, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, June 13, 2023

Yield to maturity
5.094%
Modified duration
0.003 yr
DV01
0.0000
Convexity
0.000
Dirty price
99.986

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 0.05 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, 248 observations

2%3%4%5%6%7%Jun 16, 2022Jun 13, 2023Jun 16, 2022Yield to maturity2.879%Jun 27, 2022Yield to maturity2.877%Jul 6, 2022Yield to maturity2.802%Jul 14, 2022Yield to maturity3.086%Jul 22, 2022Yield to maturity2.989%Aug 1, 2022Yield to maturity2.946%Aug 9, 2022Yield to maturity3.271%Aug 17, 2022Yield to maturity3.175%Aug 25, 2022Yield to maturity3.216%Sep 2, 2022Yield to maturity3.287%Sep 13, 2022Yield to maturity3.698%Sep 21, 2022Yield to maturity3.834%Sep 29, 2022Yield to maturity3.758%Oct 7, 2022Yield to maturity3.915%Oct 18, 2022Yield to maturity4.114%Oct 26, 2022Yield to maturity4.229%Nov 3, 2022Yield to maturity4.440%Nov 14, 2022Yield to maturity4.449%Nov 22, 2022Yield to maturity4.501%Dec 1, 2022Yield to maturity4.542%Dec 9, 2022Yield to maturity4.743%Dec 19, 2022Yield to maturity4.698%Dec 28, 2022Yield to maturity4.586%Jan 6, 2023Yield to maturity4.675%Jan 17, 2023Yield to maturity4.722%Jan 25, 2023Yield to maturity4.707%Feb 2, 2023Yield to maturity4.650%Feb 10, 2023Yield to maturity4.769%Feb 21, 2023Yield to maturity4.805%Mar 1, 2023Yield to maturity4.855%Mar 9, 2023Yield to maturity4.986%Mar 17, 2023Yield to maturity4.480%Mar 27, 2023Yield to maturity4.693%Apr 4, 2023Yield to maturity4.782%Apr 12, 2023Yield to maturity4.839%Apr 20, 2023Yield to maturity4.792%Apr 28, 2023Yield to maturity4.837%May 8, 2023Yield to maturity5.366%May 16, 2023Yield to maturity5.360%May 24, 2023Yield to maturity6.603%Jun 2, 2023Yield to maturity5.152%Jun 12, 2023Yield to maturity5.054%Jun 13, 2023Yield to maturity5.094%

Price history

249 trading days to Jun 14, 2023

97.0097.5098.0098.5099.0099.50100.00Jun 16, 2022Jun 14, 2023Jun 16, 2022Close97.197Jun 27, 2022Close97.282Jul 6, 2022Close97.418Jul 14, 2022Close97.227Jul 22, 2022Close97.391Aug 1, 2022Close97.490Aug 9, 2022Close97.288Aug 17, 2022Close97.433Aug 25, 2022Close97.469Sep 2, 2022Close97.509Sep 13, 2022Close97.283Sep 21, 2022Close97.266Sep 29, 2022Close97.398Oct 7, 2022Close97.406Oct 18, 2022Close97.364Oct 26, 2022Close97.382Nov 3, 2022Close97.349Nov 14, 2022Close97.474Nov 22, 2022Close97.541Dec 1, 2022Close97.627Dec 9, 2022Close97.652Dec 19, 2022Close97.773Dec 28, 2022Close97.933Jan 6, 2023Close98.029Jan 17, 2023Close98.121Jan 25, 2023Close98.227Feb 2, 2023Close98.346Feb 10, 2023Close98.431Feb 21, 2023Close98.534Mar 1, 2023Close98.626Mar 9, 2023Close98.696Mar 17, 2023Close98.946Mar 27, 2023Close98.997Apr 4, 2023Close99.081Apr 12, 2023Close99.174Apr 20, 2023Close99.285Apr 28, 2023Close99.409May 8, 2023Close99.460May 16, 2023Close99.577May 24, 2023Close99.623Jun 2, 2023Close99.859Jun 12, 2023Close99.972Jun 14, 2023Close100.000
The most recent 20 trading days of prices for 912796X53.
DateBidOfferClose
Jun 14, 2023–99.986100.000
Jun 13, 2023–99.97299.986
Jun 12, 2023–99.95999.972
Jun 9, 2023–99.91899.959
Jun 8, 202399.90499.90499.917
Jun 7, 202399.89199.89099.903
Jun 6, 202399.87699.87599.889
Jun 5, 202399.86199.85999.874
Jun 2, 202399.82099.81899.859
Jun 1, 202399.80199.80099.814
May 31, 202399.78799.78599.800
May 30, 202399.77199.76899.782
May 26, 202399.69299.68899.752
May 25, 202399.63899.63399.659
May 24, 202399.62499.61899.623
May 23, 202399.63499.63199.621
May 22, 202399.63499.63099.642
May 19, 202399.60199.59899.639
May 18, 202399.59199.58799.603
May 17, 202399.57699.57199.586

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 912796X53.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Jun 14, 2022Jun 16, 2022New issue$34.0bn$37.9bn3.14x–
Dec 12, 2022Dec 15, 2022Reopening$45.0bn$48.9bn2.66x–
Mar 13, 2023Mar 16, 2023Reopening$57.0bn$61.1bn2.15x–
May 23, 2023May 25, 2023Reopening$35.0bn$35.0bn2.21x–

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.