Treasury bill · Matured

912796X95

Original term: 26-Week
Maturity: Jan 5, 2023
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: Jan 4, 2023
Analyzed through: Jan 3, 2023

Still priced, no longer analyzed. Risk numbers below are as of Jan 3, 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 3, 2023

Yield to maturity: 4.218%
Modified duration: 0.003 yr
DV01: 0.0000
Convexity: 0.000
Dirty price: 99.988

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 0.11 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

Price history

124 trading days to Jan 4, 2023

The most recent 20 trading days of prices for 912796X95.
Date	Bid	Offer	Close
Jan 4, 2023	–	99.989	100.000
Jan 3, 2023	–	99.977	99.988
Dec 30, 2022	–	99.941	99.978
Dec 29, 2022	99.942	99.942	99.951
Dec 28, 2022	99.928	99.927	99.937
Dec 27, 2022	99.913	99.911	99.922
Dec 23, 2022	99.872	99.871	99.910
Dec 22, 2022	99.862	99.860	99.870
Dec 21, 2022	99.852	99.850	99.860
Dec 20, 2022	99.841	99.840	99.849
Dec 19, 2022	99.828	99.827	99.836
Dec 16, 2022	99.796	99.794	99.825
Dec 15, 2022	99.791	99.791	99.794
Dec 14, 2022	99.783	99.781	99.791
Dec 13, 2022	99.773	99.772	99.781
Dec 12, 2022	99.764	99.763	99.771
Dec 9, 2022	99.736	99.733	99.763
Dec 8, 2022	99.725	99.725	99.736
Dec 7, 2022	99.710	99.708	99.718
Dec 6, 2022	99.694	99.688	99.702

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 912796X95.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Jul 5, 2022	Jul 7, 2022	New issue	$42.0bn	$48.8bn	2.57x	–
Oct 3, 2022	Oct 6, 2022	Reopening	$54.0bn	$60.8bn	2.56x	–

The curve this was priced against →