Treasury bill · Matured

912796Y37

Original term
26-Week
Maturity
Aug 3, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Aug 2, 2023
Analyzed through
Aug 1, 2023

Still priced, no longer analyzed. Risk numbers below are as of Aug 1, 2023, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, August 1, 2023

Yield to maturity
5.369%
Modified duration
0.003 yr
DV01
0.0000
Convexity
0.000
Dirty price
99.985

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, 125 observations

4.7%4.8%4.9%5.0%5.1%5.2%5.3%5.4%Feb 2, 2023Aug 1, 2023Feb 2, 2023Yield to maturity4.796%Feb 7, 2023Yield to maturity4.856%Feb 10, 2023Yield to maturity4.885%Feb 15, 2023Yield to maturity4.936%Feb 21, 2023Yield to maturity4.985%Feb 24, 2023Yield to maturity4.992%Mar 1, 2023Yield to maturity4.993%Mar 6, 2023Yield to maturity5.000%Mar 9, 2023Yield to maturity5.136%Mar 14, 2023Yield to maturity4.878%Mar 17, 2023Yield to maturity4.728%Mar 22, 2023Yield to maturity4.831%Mar 27, 2023Yield to maturity4.786%Mar 30, 2023Yield to maturity4.847%Apr 4, 2023Yield to maturity4.865%Apr 7, 2023Yield to maturity4.925%Apr 12, 2023Yield to maturity5.017%Apr 17, 2023Yield to maturity5.160%Apr 20, 2023Yield to maturity5.106%Apr 25, 2023Yield to maturity5.071%Apr 28, 2023Yield to maturity5.182%May 3, 2023Yield to maturity5.263%May 8, 2023Yield to maturity5.249%May 11, 2023Yield to maturity5.184%May 16, 2023Yield to maturity5.191%May 19, 2023Yield to maturity5.239%May 24, 2023Yield to maturity5.258%May 30, 2023Yield to maturity5.274%Jun 2, 2023Yield to maturity5.322%Jun 7, 2023Yield to maturity5.206%Jun 12, 2023Yield to maturity5.254%Jun 15, 2023Yield to maturity5.159%Jun 21, 2023Yield to maturity5.175%Jun 26, 2023Yield to maturity5.171%Jun 29, 2023Yield to maturity5.200%Jul 5, 2023Yield to maturity5.195%Jul 10, 2023Yield to maturity5.202%Jul 13, 2023Yield to maturity5.200%Jul 18, 2023Yield to maturity5.186%Jul 21, 2023Yield to maturity5.274%Jul 26, 2023Yield to maturity5.241%Jul 31, 2023Yield to maturity5.359%Aug 1, 2023Yield to maturity5.369%

Price history

126 trading days to Aug 2, 2023

97.5098.0098.5099.0099.50100.00Feb 2, 2023Aug 2, 2023Feb 2, 2023Close97.677Feb 7, 2023Close97.712Feb 10, 2023Close97.763Feb 15, 2023Close97.779Feb 21, 2023Close97.835Feb 24, 2023Close97.898Mar 1, 2023Close97.942Mar 6, 2023Close98.005Mar 9, 2023Close97.993Mar 14, 2023Close98.155Mar 17, 2023Close98.274Mar 22, 2023Close98.275Mar 27, 2023Close98.354Mar 30, 2023Close98.372Apr 4, 2023Close98.430Apr 7, 2023Close98.476Apr 12, 2023Close98.488Apr 17, 2023Close98.514Apr 20, 2023Close98.570Apr 25, 2023Close98.647Apr 28, 2023Close98.687May 3, 2023Close98.708May 8, 2023Close98.782May 11, 2023Close98.838May 16, 2023Close98.906May 19, 2023Close98.966May 24, 2023Close99.004May 30, 2023Close99.086Jun 2, 2023Close99.149Jun 7, 2023Close99.210Jun 12, 2023Close99.273Jun 15, 2023Close99.328Jun 21, 2023Close99.410Jun 26, 2023Close99.480Jun 29, 2023Close99.519Jul 5, 2023Close99.604Jul 10, 2023Close99.674Jul 13, 2023Close99.717Jul 18, 2023Close99.788Jul 21, 2023Close99.856Jul 26, 2023Close99.900Jul 31, 2023Close99.971Aug 2, 2023Close100.000
The most recent 20 trading days of prices for 912796Y37.
DateBidOfferClose
Aug 2, 2023–99.985100.000
Aug 1, 2023–99.97199.985
Jul 31, 2023–99.95699.971
Jul 28, 2023–99.91499.957
Jul 27, 202399.89999.89999.912
Jul 26, 202399.88699.88699.900
Jul 25, 202399.87199.87199.885
Jul 24, 202399.85799.85699.871
Jul 21, 202399.81599.81499.856
Jul 20, 202399.80199.80199.814
Jul 19, 202399.78899.78799.800
Jul 18, 202399.77499.77399.788
Jul 17, 202399.76099.75999.774
Jul 14, 202399.71899.71699.759
Jul 13, 202399.70399.70399.717
Jul 12, 202399.68999.68699.702
Jul 11, 202399.67599.67499.688
Jul 10, 202399.66199.66099.674
Jul 7, 202399.61999.61799.659
Jul 6, 202399.60499.60299.617

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.

3 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 912796Y37.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Jan 30, 2023Feb 2, 2023New issue$48.0bn$54.8bn2.93x–
May 1, 2023May 4, 2023Reopening$57.0bn$65.4bn2.44x–
Jun 20, 2023Jun 22, 2023Reopening$50.0bn$50.0bn2.77x–

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.