Treasury bill · Matured

912796Y52

Original term
26-Week
Maturity
Jul 5, 2024
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Jul 3, 2024
Analyzed through
Jul 2, 2024

Still priced, no longer analyzed. Risk numbers below are as of Jul 2, 2024, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, July 2, 2024

Yield to maturity
5.325%
Modified duration
0.005 yr
DV01
0.0001
Convexity
0.000
Dirty price
99.971

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 0.005 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 0.02 cents per 100 of face cheap to the curve on that day.

Shown as a price rather than a yield. This bill is 3 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

5.15%5.20%5.25%5.30%5.35%5.40%5.45%Jan 4, 2024Jul 2, 2024Jan 4, 2024Yield to maturity5.279%Jan 9, 2024Yield to maturity5.265%Jan 12, 2024Yield to maturity5.196%Jan 18, 2024Yield to maturity5.237%Jan 23, 2024Yield to maturity5.244%Jan 26, 2024Yield to maturity5.229%Jan 31, 2024Yield to maturity5.238%Feb 5, 2024Yield to maturity5.255%Feb 8, 2024Yield to maturity5.253%Feb 13, 2024Yield to maturity5.323%Feb 16, 2024Yield to maturity5.319%Feb 22, 2024Yield to maturity5.337%Feb 27, 2024Yield to maturity5.365%Mar 1, 2024Yield to maturity5.336%Mar 6, 2024Yield to maturity5.323%Mar 11, 2024Yield to maturity5.330%Mar 14, 2024Yield to maturity5.327%Mar 19, 2024Yield to maturity5.334%Mar 22, 2024Yield to maturity5.330%Mar 27, 2024Yield to maturity5.338%Apr 1, 2024Yield to maturity5.345%Apr 4, 2024Yield to maturity5.353%Apr 9, 2024Yield to maturity5.370%Apr 12, 2024Yield to maturity5.366%Apr 17, 2024Yield to maturity5.384%Apr 22, 2024Yield to maturity5.380%Apr 25, 2024Yield to maturity5.399%Apr 30, 2024Yield to maturity5.384%May 3, 2024Yield to maturity5.391%May 8, 2024Yield to maturity5.388%May 13, 2024Yield to maturity5.374%May 16, 2024Yield to maturity5.361%May 21, 2024Yield to maturity5.378%May 24, 2024Yield to maturity5.373%May 30, 2024Yield to maturity5.371%Jun 4, 2024Yield to maturity5.367%Jun 7, 2024Yield to maturity5.342%Jun 12, 2024Yield to maturity5.350%Jun 17, 2024Yield to maturity5.336%Jun 21, 2024Yield to maturity5.281%Jun 26, 2024Yield to maturity5.329%Jul 1, 2024Yield to maturity5.335%Jul 2, 2024Yield to maturity5.325%

Price history

126 trading days to Jul 3, 2024

97.0097.5098.0098.5099.0099.50100.00Jan 4, 2024Jul 3, 2024Jan 4, 2024Close97.442Jan 9, 2024Close97.517Jan 12, 2024Close97.630Jan 18, 2024Close97.653Jan 23, 2024Close97.718Jan 26, 2024Close97.792Jan 31, 2024Close97.830Feb 5, 2024Close97.892Feb 8, 2024Close97.934Feb 13, 2024Close97.977Feb 16, 2024Close98.062Feb 22, 2024Close98.097Feb 27, 2024Close98.158Mar 1, 2024Close98.234Mar 6, 2024Close98.280Mar 11, 2024Close98.348Mar 14, 2024Close98.392Mar 19, 2024Close98.460Mar 22, 2024Close98.532Mar 27, 2024Close98.573Apr 1, 2024Close98.642Apr 4, 2024Close98.683Apr 9, 2024Close98.751Apr 12, 2024Close98.823Apr 17, 2024Close98.862Apr 22, 2024Close98.935Apr 25, 2024Close98.975Apr 30, 2024Close99.050May 3, 2024Close99.122May 8, 2024Close99.166May 13, 2024Close99.240May 16, 2024Close99.285May 21, 2024Close99.356May 24, 2024Close99.444May 30, 2024Close99.488Jun 4, 2024Close99.561Jun 7, 2024Close99.635Jun 12, 2024Close99.679Jun 17, 2024Close99.752Jun 21, 2024Close99.841Jun 26, 2024Close99.883Jul 1, 2024Close99.956Jul 3, 2024Close100.000
The most recent 20 trading days of prices for 912796Y52.
DateBidOfferClose
Jul 3, 2024–99.971100.000
Jul 2, 2024–99.95699.971
Jul 1, 2024–99.94299.956
Jun 28, 202499.89899.89899.942
Jun 27, 202499.88499.88499.898
Jun 26, 202499.86999.86999.883
Jun 25, 202499.85699.85699.869
Jun 24, 202499.84199.84199.855
Jun 21, 202499.79899.79899.841
Jun 20, 202499.78599.78499.797
Jun 18, 202499.75499.75499.784
Jun 17, 202499.73899.73799.752
Jun 14, 202499.69499.69499.738
Jun 13, 202499.68099.67999.694
Jun 12, 202499.66599.66499.679
Jun 11, 202499.65199.65099.665
Jun 10, 202499.63599.63599.649
Jun 7, 202499.59199.59199.635
Jun 6, 202499.57799.57699.591
Jun 5, 202499.56299.56199.575

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 912796Y52.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Jan 2, 2024Jan 4, 2024New issue$68.0bn$72.2bn3.06x–
Apr 1, 2024Apr 4, 2024Reopening$70.0bn$74.7bn2.83x–
May 21, 2024May 23, 2024Reopening$75.0bn$75.0bn3.04x–

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.