Treasury bill · Matured

912796XT1

Original term
26-Week
Maturity
Feb 2, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Feb 1, 2023
Analyzed through
Jan 31, 2023

Still priced, no longer analyzed. Risk numbers below are as of Jan 31, 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 31, 2023

Yield to maturity
4.096%
Modified duration
0.003 yr
DV01
0.0000
Convexity
0.000
Dirty price
99.989

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 0.08 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, 122 observations

2.75%3.00%3.25%3.50%3.75%4.00%4.25%4.50%Aug 4, 2022Jan 31, 2023Aug 4, 2022Yield to maturity2.952%Aug 9, 2022Yield to maturity3.076%Aug 12, 2022Yield to maturity3.054%Aug 17, 2022Yield to maturity3.054%Aug 22, 2022Yield to maturity3.084%Aug 25, 2022Yield to maturity3.104%Aug 30, 2022Yield to maturity3.259%Sep 2, 2022Yield to maturity3.226%Sep 8, 2022Yield to maturity3.266%Sep 13, 2022Yield to maturity3.535%Sep 16, 2022Yield to maturity3.575%Sep 21, 2022Yield to maturity3.585%Sep 26, 2022Yield to maturity3.593%Sep 29, 2022Yield to maturity3.582%Oct 4, 2022Yield to maturity3.601%Oct 7, 2022Yield to maturity3.661%Oct 13, 2022Yield to maturity3.805%Oct 18, 2022Yield to maturity3.927%Oct 21, 2022Yield to maturity4.019%Oct 26, 2022Yield to maturity4.038%Oct 31, 2022Yield to maturity4.150%Nov 3, 2022Yield to maturity4.159%Nov 8, 2022Yield to maturity4.105%Nov 14, 2022Yield to maturity4.102%Nov 17, 2022Yield to maturity4.121%Nov 22, 2022Yield to maturity4.160%Nov 28, 2022Yield to maturity4.178%Dec 1, 2022Yield to maturity4.125%Dec 6, 2022Yield to maturity4.020%Dec 9, 2022Yield to maturity3.895%Dec 14, 2022Yield to maturity3.965%Dec 19, 2022Yield to maturity4.035%Dec 22, 2022Yield to maturity3.962%Dec 28, 2022Yield to maturity3.816%Jan 3, 2023Yield to maturity3.997%Jan 6, 2023Yield to maturity4.117%Jan 11, 2023Yield to maturity4.269%Jan 17, 2023Yield to maturity4.266%Jan 20, 2023Yield to maturity4.162%Jan 25, 2023Yield to maturity4.140%Jan 30, 2023Yield to maturity4.249%Jan 31, 2023Yield to maturity4.096%

Price history

123 trading days to Feb 1, 2023

98.5098.7599.0099.2599.5099.75100.00Aug 4, 2022Feb 1, 2023Aug 4, 2022Close98.557Aug 9, 2022Close98.538Aug 12, 2022Close98.589Aug 17, 2022Close98.614Aug 22, 2022Close98.642Aug 25, 2022Close98.658Aug 30, 2022Close98.635Sep 2, 2022Close98.700Sep 8, 2022Close98.710Sep 13, 2022Close98.653Sep 16, 2022Close98.685Sep 21, 2022Close98.711Sep 26, 2022Close98.756Sep 29, 2022Close98.788Oct 4, 2022Close98.830Oct 7, 2022Close98.870Oct 13, 2022Close98.856Oct 18, 2022Close98.872Oct 21, 2022Close98.900Oct 26, 2022Close98.927Oct 31, 2022Close98.954Nov 3, 2022Close98.985Nov 8, 2022Close99.053Nov 14, 2022Close99.120Nov 17, 2022Close99.149Nov 22, 2022Close99.197Nov 28, 2022Close99.262Dec 1, 2022Close99.304Dec 6, 2022Close99.376Dec 9, 2022Close99.448Dec 14, 2022Close99.471Dec 19, 2022Close99.516Dec 22, 2022Close99.557Dec 28, 2022Close99.635Jan 3, 2023Close99.683Jan 6, 2023Close99.730Jan 11, 2023Close99.755Jan 17, 2023Close99.825Jan 20, 2023Close99.886Jan 25, 2023Close99.921Jan 30, 2023Close99.977Feb 1, 2023Close100.000
The most recent 20 trading days of prices for 912796XT1.
DateBidOfferClose
Feb 1, 2023–99.989100.000
Jan 31, 2023–99.97799.989
Jan 30, 2023–99.96599.977
Jan 27, 2023–99.93399.965
Jan 26, 202399.92299.92299.933
Jan 25, 202399.91099.90999.921
Jan 24, 202399.89899.89799.909
Jan 23, 202399.88699.88699.897
Jan 20, 202399.85499.85299.886
Jan 19, 202399.84099.83999.851
Jan 18, 202399.82699.82599.838
Jan 17, 202399.81499.81299.825
Jan 13, 202399.76999.76799.814
Jan 12, 202399.75899.75699.768
Jan 11, 202399.74699.74499.755
Jan 10, 202399.73699.73599.744
Jan 9, 202399.72899.72599.736
Jan 6, 202399.69999.69699.730
Jan 5, 202399.69099.68899.695
Jan 4, 202399.68399.67999.690

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 912796XT1.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Aug 1, 2022Aug 4, 2022New issue$42.0bn$48.6bn2.91x–
Oct 31, 2022Nov 3, 2022Reopening$57.0bn$65.8bn2.60x–

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.