Treasury bill · Matured

912796XZ7

Original term
26-Week
Maturity
Feb 9, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Feb 8, 2023
Analyzed through
Feb 7, 2023

Still priced, no longer analyzed. Risk numbers below are as of Feb 7, 2023, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, February 7, 2023

Yield to maturity
4.441%
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 0.07 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

3.00%3.25%3.50%3.75%4.00%4.25%4.50%Aug 11, 2022Feb 7, 2023Aug 11, 2022Yield to maturity3.046%Aug 16, 2022Yield to maturity3.066%Aug 19, 2022Yield to maturity3.086%Aug 24, 2022Yield to maturity3.168%Aug 29, 2022Yield to maturity3.209%Sep 1, 2022Yield to maturity3.260%Sep 7, 2022Yield to maturity3.310%Sep 12, 2022Yield to maturity3.382%Sep 15, 2022Yield to maturity3.631%Sep 20, 2022Yield to maturity3.608%Sep 23, 2022Yield to maturity3.638%Sep 28, 2022Yield to maturity3.626%Oct 3, 2022Yield to maturity3.677%Oct 6, 2022Yield to maturity3.686%Oct 12, 2022Yield to maturity3.767%Oct 17, 2022Yield to maturity3.889%Oct 20, 2022Yield to maturity4.065%Oct 25, 2022Yield to maturity4.166%Oct 28, 2022Yield to maturity4.164%Nov 2, 2022Yield to maturity4.193%Nov 7, 2022Yield to maturity4.191%Nov 10, 2022Yield to maturity4.188%Nov 16, 2022Yield to maturity4.176%Nov 21, 2022Yield to maturity4.195%Nov 25, 2022Yield to maturity4.233%Nov 30, 2022Yield to maturity4.221%Dec 5, 2022Yield to maturity4.167%Dec 8, 2022Yield to maturity4.001%Dec 13, 2022Yield to maturity4.020%Dec 16, 2022Yield to maturity4.038%Dec 21, 2022Yield to maturity4.016%Dec 27, 2022Yield to maturity3.973%Dec 30, 2022Yield to maturity3.970%Jan 5, 2023Yield to maturity4.153%Jan 10, 2023Yield to maturity4.354%Jan 13, 2023Yield to maturity4.351%Jan 19, 2023Yield to maturity4.329%Jan 24, 2023Yield to maturity4.215%Jan 27, 2023Yield to maturity4.304%Feb 1, 2023Yield to maturity4.302%Feb 6, 2023Yield to maturity4.452%Feb 7, 2023Yield to maturity4.441%

Price history

123 trading days to Feb 8, 2023

98.5098.7599.0099.2599.5099.75100.00Aug 11, 2022Feb 8, 2023Aug 11, 2022Close98.512Aug 16, 2022Close98.543Aug 19, 2022Close98.575Aug 24, 2022Close98.563Aug 29, 2022Close98.587Sep 1, 2022Close98.591Sep 7, 2022Close98.623Sep 12, 2022Close98.638Sep 15, 2022Close98.568Sep 20, 2022Close98.625Sep 23, 2022Close98.663Sep 28, 2022Close98.696Oct 3, 2022Close98.727Oct 6, 2022Close98.753Oct 12, 2022Close98.787Oct 17, 2022Close98.800Oct 20, 2022Close98.779Oct 25, 2022Close98.805Oct 28, 2022Close98.861Nov 2, 2022Close98.887Nov 7, 2022Close98.943Nov 10, 2022Close99.012Nov 16, 2022Close99.048Nov 21, 2022Close99.100Nov 25, 2022Close99.160Nov 30, 2022Close99.197Dec 5, 2022Close99.263Dec 8, 2022Close99.325Dec 13, 2022Close99.376Dec 16, 2022Close99.428Dec 21, 2022Close99.464Dec 27, 2022Close99.534Dec 30, 2022Close99.599Jan 5, 2023Close99.615Jan 10, 2023Close99.655Jan 13, 2023Close99.727Jan 19, 2023Close99.763Jan 24, 2023Close99.827Jan 27, 2023Close99.882Feb 1, 2023Close99.918Feb 6, 2023Close99.976Feb 8, 2023Close100.000
The most recent 20 trading days of prices for 912796XZ7.
DateBidOfferClose
Feb 8, 2023–99.988100.000
Feb 7, 2023–99.97699.988
Feb 6, 2023–99.96499.976
Feb 3, 2023–99.92799.964
Feb 2, 202399.91899.91899.928
Feb 1, 202399.90799.90699.918
Jan 31, 202399.89599.89499.906
Jan 30, 202399.88499.88299.895
Jan 27, 202399.85099.84999.882
Jan 26, 202399.84199.83999.850
Jan 25, 202399.82899.82699.839
Jan 24, 202399.81599.81499.827
Jan 23, 202399.80399.80299.814
Jan 20, 202399.76699.76499.799
Jan 19, 202399.75499.75199.763
Jan 18, 202399.74199.73899.751
Jan 17, 202399.72799.72699.737
Jan 13, 202399.68799.68499.727
Jan 12, 202399.67399.67099.682
Jan 11, 202399.65899.65599.667

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 912796XZ7.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Aug 8, 2022Aug 11, 2022New issue$42.0bn$47.0bn3.09x–
Nov 7, 2022Nov 10, 2022Reopening$57.0bn$63.9bn2.72x–

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.