Treasury bill · Matured

912796XQ7

Original term
52-Week
Maturity
Jul 13, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Jul 12, 2023
Analyzed through
Jul 11, 2023

Still priced, no longer analyzed. Risk numbers below are as of Jul 11, 2023, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, July 11, 2023

Yield to maturity
5.125%
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 0.01 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

2.50%3.00%3.50%4.00%4.50%5.00%5.50%Jul 14, 2022Jul 11, 2023Jul 14, 2022Yield to maturity3.166%Jul 22, 2022Yield to maturity3.015%Aug 1, 2022Yield to maturity2.982%Aug 9, 2022Yield to maturity3.288%Aug 17, 2022Yield to maturity3.212%Aug 25, 2022Yield to maturity3.305%Sep 2, 2022Yield to maturity3.409%Sep 13, 2022Yield to maturity3.789%Sep 21, 2022Yield to maturity3.904%Sep 29, 2022Yield to maturity3.828%Oct 7, 2022Yield to maturity4.037%Oct 18, 2022Yield to maturity4.195%Oct 26, 2022Yield to maturity4.310%Nov 3, 2022Yield to maturity4.510%Nov 14, 2022Yield to maturity4.465%Nov 22, 2022Yield to maturity4.601%Dec 1, 2022Yield to maturity4.546%Dec 9, 2022Yield to maturity4.629%Dec 19, 2022Yield to maturity4.607%Dec 28, 2022Yield to maturity4.616%Jan 6, 2023Yield to maturity4.818%Jan 17, 2023Yield to maturity4.771%Jan 25, 2023Yield to maturity4.734%Feb 2, 2023Yield to maturity4.687%Feb 10, 2023Yield to maturity4.860%Feb 21, 2023Yield to maturity4.928%Mar 1, 2023Yield to maturity4.926%Mar 9, 2023Yield to maturity5.121%Mar 17, 2023Yield to maturity4.746%Mar 27, 2023Yield to maturity4.804%Apr 4, 2023Yield to maturity4.851%Apr 12, 2023Yield to maturity5.065%Apr 20, 2023Yield to maturity5.049%Apr 28, 2023Yield to maturity5.052%May 8, 2023Yield to maturity5.254%May 16, 2023Yield to maturity5.031%May 24, 2023Yield to maturity5.046%Jun 2, 2023Yield to maturity5.347%Jun 12, 2023Yield to maturity5.156%Jun 21, 2023Yield to maturity5.098%Jun 29, 2023Yield to maturity5.123%Jul 10, 2023Yield to maturity5.115%Jul 11, 2023Yield to maturity5.125%

Price history

249 trading days to Jul 12, 2023

96.5097.0097.5098.0098.5099.0099.50100.00Jul 14, 2022Jul 12, 2023Jul 14, 2022Close96.925Jul 22, 2022Close97.147Aug 1, 2022Close97.240Aug 9, 2022Close97.033Aug 17, 2022Close97.167Aug 25, 2022Close97.156Sep 2, 2022Close97.167Sep 13, 2022Close96.938Sep 21, 2022Close96.929Sep 29, 2022Close97.069Oct 7, 2022Close97.028Oct 18, 2022Close97.004Oct 26, 2022Close97.014Nov 3, 2022Close96.974Nov 14, 2022Close97.133Nov 22, 2022Close97.145Dec 1, 2022Close97.287Dec 9, 2022Close97.361Dec 19, 2022Close97.472Dec 28, 2022Close97.577Jan 6, 2023Close97.616Jan 17, 2023Close97.751Jan 25, 2023Close97.867Feb 2, 2023Close97.987Feb 10, 2023Close98.042Feb 21, 2023Close98.132Mar 1, 2023Close98.241Mar 9, 2023Close98.281Mar 17, 2023Close98.531Mar 27, 2023Close98.615Apr 4, 2023Close98.705Apr 12, 2023Close98.756Apr 20, 2023Close98.868Apr 28, 2023Close99.002May 8, 2023Close99.076May 16, 2023Close99.223May 24, 2023Close99.329Jun 2, 2023Close99.448Jun 12, 2023Close99.579Jun 21, 2023Close99.708Jun 29, 2023Close99.818Jul 10, 2023Close99.972Jul 12, 2023Close100.000
The most recent 20 trading days of prices for 912796XQ7.
DateBidOfferClose
Jul 12, 2023–99.986100.000
Jul 11, 2023–99.97299.986
Jul 10, 2023–99.95899.972
Jul 7, 2023–99.91699.958
Jul 6, 202399.90399.90299.916
Jul 5, 202399.88999.88899.902
Jul 3, 202399.86199.86099.888
Jun 30, 202399.82099.81999.861
Jun 29, 202399.80699.80699.818
Jun 28, 202399.79399.79299.805
Jun 27, 202399.77999.77899.792
Jun 26, 202399.76699.76599.779
Jun 23, 202399.72499.72399.765
Jun 22, 202399.71099.70999.722
Jun 21, 202399.69699.69499.708
Jun 20, 202399.68199.68099.694
Jun 16, 202399.62699.62699.680
Jun 15, 202399.61299.61199.626
Jun 14, 202399.59899.59699.609
Jun 13, 202399.58299.58199.595

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 912796XQ7.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Jul 12, 2022Jul 14, 2022New issue$34.0bn$38.5bn3.17x–
Jan 9, 2023Jan 12, 2023Reopening$48.0bn$52.9bn2.48x–
Apr 10, 2023Apr 13, 2023Reopening$57.0bn$62.7bn2.28x–
Jun 2, 2023Jun 5, 2023Reopening$50.0bn$50.0bn3.40x–

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.