Treasury bill · Matured

912796Y60

Original term
17-Week
Maturity
Feb 21, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Feb 17, 2023
Analyzed through
Feb 16, 2023

Still priced, no longer analyzed. Risk numbers below are as of Feb 16, 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 16, 2023

Yield to maturity
4.605%
Modified duration
0.011 yr
DV01
0.0001
Convexity
0.000
Dirty price
99.950

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 0.011 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 0.11 cents per 100 of face rich to the curve on that day.

Shown as a price rather than a yield. This bill is 5 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, 78 observations

4.0%4.1%4.2%4.3%4.4%4.5%4.6%4.7%Oct 25, 2022Feb 16, 2023Oct 25, 2022Yield to maturity4.234%Oct 27, 2022Yield to maturity4.192%Oct 31, 2022Yield to maturity4.252%Nov 2, 2022Yield to maturity4.262%Nov 4, 2022Yield to maturity4.260%Nov 8, 2022Yield to maturity4.248%Nov 10, 2022Yield to maturity4.235%Nov 15, 2022Yield to maturity4.234%Nov 17, 2022Yield to maturity4.223%Nov 21, 2022Yield to maturity4.242%Nov 23, 2022Yield to maturity4.271%Nov 28, 2022Yield to maturity4.290%Nov 30, 2022Yield to maturity4.248%Dec 2, 2022Yield to maturity4.266%Dec 6, 2022Yield to maturity4.173%Dec 8, 2022Yield to maturity4.058%Dec 12, 2022Yield to maturity4.087%Dec 14, 2022Yield to maturity4.148%Dec 16, 2022Yield to maturity4.085%Dec 20, 2022Yield to maturity4.094%Dec 22, 2022Yield to maturity4.072%Dec 27, 2022Yield to maturity4.173%Dec 29, 2022Yield to maturity4.203%Jan 3, 2023Yield to maturity4.282%Jan 5, 2023Yield to maturity4.281%Jan 9, 2023Yield to maturity4.351%Jan 11, 2023Yield to maturity4.534%Jan 13, 2023Yield to maturity4.460%Jan 18, 2023Yield to maturity4.479%Jan 20, 2023Yield to maturity4.518%Jan 24, 2023Yield to maturity4.568%Jan 26, 2023Yield to maturity4.495%Jan 30, 2023Yield to maturity4.503%Feb 1, 2023Yield to maturity4.522%Feb 3, 2023Yield to maturity4.571%Feb 7, 2023Yield to maturity4.570%Feb 9, 2023Yield to maturity4.630%Feb 13, 2023Yield to maturity4.607%Feb 15, 2023Yield to maturity4.606%Feb 16, 2023Yield to maturity4.605%

Price history

79 trading days to Feb 17, 2023

98.5098.7599.0099.2599.5099.75100.00Oct 25, 2022Feb 17, 2023Oct 25, 2022Close98.650Oct 27, 2022Close98.685Oct 31, 2022Close98.712Nov 2, 2022Close98.732Nov 4, 2022Close98.778Nov 8, 2022Close98.804Nov 10, 2022Close98.864Nov 15, 2022Close98.887Nov 17, 2022Close98.913Nov 21, 2022Close98.954Nov 23, 2022Close98.981Nov 28, 2022Close99.022Nov 30, 2022Close99.055Dec 2, 2022Close99.097Dec 6, 2022Close99.139Dec 8, 2022Close99.184Dec 12, 2022Close99.222Dec 14, 2022Close99.233Dec 16, 2022Close99.289Dec 20, 2022Close99.309Dec 22, 2022Close99.335Dec 27, 2022Close99.375Dec 29, 2022Close99.393Jan 3, 2023Close99.440Jan 5, 2023Close99.463Jan 9, 2023Close99.502Jan 11, 2023Close99.506Jan 13, 2023Close99.574Jan 18, 2023Close99.597Jan 20, 2023Close99.642Jan 24, 2023Close99.663Jan 26, 2023Close99.693Jan 30, 2023Close99.742Feb 1, 2023Close99.765Feb 3, 2023Close99.813Feb 7, 2023Close99.838Feb 9, 2023Close99.861Feb 13, 2023Close99.912Feb 15, 2023Close99.937Feb 17, 2023Close100.000
The most recent 20 trading days of prices for 912796Y60.
DateBidOfferClose
Feb 17, 2023–99.950100.000
Feb 16, 2023–99.93799.950
Feb 15, 2023–99.92599.937
Feb 14, 202399.91399.91299.924
Feb 13, 202399.90099.89999.912
Feb 10, 202399.86299.86199.899
Feb 9, 202399.85099.84999.861
Feb 8, 202399.83899.83799.850
Feb 7, 202399.82699.82699.838
Feb 6, 202399.81699.81499.825
Feb 3, 202399.77999.77799.813
Feb 2, 202399.76899.76699.778
Feb 1, 202399.75699.75499.765
Jan 31, 202399.74399.74299.754
Jan 30, 202399.73099.72999.742
Jan 27, 202399.69699.69399.731
Jan 26, 202399.68099.67999.693
Jan 25, 202399.66599.66499.677
Jan 24, 202399.65199.64999.663
Jan 23, 202399.64099.63899.650

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 912796Y60.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Oct 19, 2022Oct 25, 2022New issue$33.0bn$34.0bn2.93x–
Dec 22, 2022Dec 27, 2022Reopening$45.0bn$46.2bn2.68x–
Jan 19, 2023Jan 24, 2023Reopening$70.0bn$71.1bn2.41x–

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.