Treasury bill · Matured

912796Y78

Original term
17-Week
Maturity
Feb 28, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Feb 27, 2023
Analyzed through
Feb 24, 2023

Still priced, no longer analyzed. Risk numbers below are as of Feb 24, 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 24, 2023

Yield to maturity
4.584%
Modified duration
0.003 yr
DV01
0.0000
Convexity
0.000
Dirty price
99.987

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

Shown as a price rather than a yield. This bill is 4 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%Nov 1, 2022Feb 24, 2023Nov 1, 2022Yield to maturity4.349%Nov 3, 2022Yield to maturity4.306%Nov 7, 2022Yield to maturity4.315%Nov 9, 2022Yield to maturity4.262%Nov 14, 2022Yield to maturity4.207%Nov 16, 2022Yield to maturity4.237%Nov 18, 2022Yield to maturity4.246%Nov 22, 2022Yield to maturity4.276%Nov 25, 2022Yield to maturity4.273%Nov 29, 2022Yield to maturity4.314%Dec 1, 2022Yield to maturity4.292%Dec 5, 2022Yield to maturity4.259%Dec 7, 2022Yield to maturity4.165%Dec 9, 2022Yield to maturity4.132%Dec 13, 2022Yield to maturity4.131%Dec 15, 2022Yield to maturity4.161%Dec 19, 2022Yield to maturity4.118%Dec 21, 2022Yield to maturity4.117%Dec 23, 2022Yield to maturity4.094%Dec 28, 2022Yield to maturity4.145%Dec 30, 2022Yield to maturity4.389%Jan 4, 2023Yield to maturity4.367%Jan 6, 2023Yield to maturity4.499%Jan 10, 2023Yield to maturity4.539%Jan 12, 2023Yield to maturity4.486%Jan 17, 2023Yield to maturity4.535%Jan 19, 2023Yield to maturity4.534%Jan 23, 2023Yield to maturity4.542%Jan 25, 2023Yield to maturity4.520%Jan 27, 2023Yield to maturity4.528%Jan 31, 2023Yield to maturity4.527%Feb 2, 2023Yield to maturity4.475%Feb 6, 2023Yield to maturity4.564%Feb 8, 2023Yield to maturity4.584%Feb 10, 2023Yield to maturity4.632%Feb 14, 2023Yield to maturity4.611%Feb 16, 2023Yield to maturity4.620%Feb 21, 2023Yield to maturity4.586%Feb 23, 2023Yield to maturity4.545%Feb 24, 2023Yield to maturity4.584%

Price history

79 trading days to Feb 27, 2023

98.5098.7599.0099.2599.5099.75100.00Nov 1, 2022Feb 27, 2023Nov 1, 2022Close98.614Nov 3, 2022Close98.650Nov 7, 2022Close98.693Nov 9, 2022Close98.732Nov 14, 2022Close98.804Nov 16, 2022Close98.818Nov 18, 2022Close98.862Nov 22, 2022Close98.876Nov 25, 2022Close98.934Nov 29, 2022Close98.948Dec 1, 2022Close98.976Dec 5, 2022Close99.029Dec 7, 2022Close99.073Dec 9, 2022Close99.125Dec 13, 2022Close99.147Dec 15, 2022Close99.163Dec 19, 2022Close99.216Dec 21, 2022Close99.239Dec 23, 2022Close99.298Dec 28, 2022Close99.312Dec 30, 2022Close99.331Jan 4, 2023Close99.358Jan 6, 2023Close99.388Jan 10, 2023Close99.407Jan 12, 2023Close99.438Jan 17, 2023Close99.493Jan 19, 2023Close99.518Jan 23, 2023Close99.566Jan 25, 2023Close99.593Jan 27, 2023Close99.642Jan 31, 2023Close99.666Feb 2, 2023Close99.694Feb 6, 2023Close99.738Feb 8, 2023Close99.762Feb 10, 2023Close99.810Feb 14, 2023Close99.836Feb 16, 2023Close99.861Feb 21, 2023Close99.925Feb 23, 2023Close99.950Feb 27, 2023Close100.000
The most recent 20 trading days of prices for 912796Y78.
DateBidOfferClose
Feb 27, 2023–99.988100.000
Feb 24, 2023–99.95099.987
Feb 23, 2023–99.93899.950
Feb 22, 2023–99.92599.938
Feb 21, 202399.91299.91299.925
Feb 17, 202399.86199.86199.912
Feb 16, 202399.84999.84999.861
Feb 15, 202399.83899.83799.849
Feb 14, 202399.82599.82399.836
Feb 13, 202399.81199.81199.823
Feb 10, 202399.77399.77299.810
Feb 9, 202399.76199.76099.772
Feb 8, 202399.75199.75099.762
Feb 7, 202399.74099.73799.751
Feb 6, 202399.73099.72799.738
Feb 3, 202399.69599.69399.730
Feb 2, 202399.68199.68099.694
Feb 1, 202399.66799.66699.678
Jan 31, 202399.65399.65199.666
Jan 30, 202399.64099.63899.652

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.

4 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 912796Y78.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Oct 26, 2022Nov 1, 2022New issue$33.0bn$34.1bn2.92x–
Dec 29, 2022Jan 3, 2023Reopening$45.0bn$45.9bn2.41x–
Jan 26, 2023Jan 31, 2023Reopening$75.0bn$75.9bn2.59x–
Feb 14, 2023Feb 16, 2023Reopening$25.0bn$25.0bn3.79x–

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.