Treasury bill · Matured

912796YB9

Original term
26-Week
Maturity
Mar 2, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Mar 1, 2023
Analyzed through
Feb 28, 2023

Still priced, no longer analyzed. Risk numbers below are as of Feb 28, 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 28, 2023

Yield to maturity
4.484%
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 0.03 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, 121 observations

3.25%3.50%3.75%4.00%4.25%4.50%4.75%Sep 1, 2022Feb 28, 2023Sep 1, 2022Yield to maturity3.371%Sep 7, 2022Yield to maturity3.421%Sep 12, 2022Yield to maturity3.524%Sep 15, 2022Yield to maturity3.712%Sep 20, 2022Yield to maturity3.742%Sep 23, 2022Yield to maturity3.750%Sep 28, 2022Yield to maturity3.780%Oct 3, 2022Yield to maturity3.778%Oct 6, 2022Yield to maturity3.798%Oct 12, 2022Yield to maturity3.837%Oct 17, 2022Yield to maturity3.992%Oct 20, 2022Yield to maturity4.199%Oct 25, 2022Yield to maturity4.197%Oct 28, 2022Yield to maturity4.226%Nov 2, 2022Yield to maturity4.266%Nov 7, 2022Yield to maturity4.305%Nov 10, 2022Yield to maturity4.271%Nov 16, 2022Yield to maturity4.228%Nov 21, 2022Yield to maturity4.246%Nov 25, 2022Yield to maturity4.326%Nov 30, 2022Yield to maturity4.397%Dec 5, 2022Yield to maturity4.312%Dec 8, 2022Yield to maturity4.176%Dec 13, 2022Yield to maturity4.194%Dec 16, 2022Yield to maturity4.171%Dec 21, 2022Yield to maturity4.139%Dec 27, 2022Yield to maturity4.177%Dec 30, 2022Yield to maturity4.370%Jan 5, 2023Yield to maturity4.430%Jan 10, 2023Yield to maturity4.571%Jan 13, 2023Yield to maturity4.506%Jan 19, 2023Yield to maturity4.545%Jan 24, 2023Yield to maturity4.583%Jan 27, 2023Yield to maturity4.519%Feb 1, 2023Yield to maturity4.517%Feb 6, 2023Yield to maturity4.525%Feb 9, 2023Yield to maturity4.594%Feb 14, 2023Yield to maturity4.561%Feb 17, 2023Yield to maturity4.527%Feb 23, 2023Yield to maturity4.424%Feb 28, 2023Yield to maturity4.484%

Price history

122 trading days to Mar 1, 2023

98.2598.5098.7599.0099.2599.5099.75100.00Sep 1, 2022Mar 1, 2023Sep 1, 2022Close98.356Sep 7, 2022Close98.386Sep 12, 2022Close98.385Sep 15, 2022Close98.330Sep 20, 2022Close98.367Sep 23, 2022Close98.413Sep 28, 2022Close98.430Oct 3, 2022Close98.481Oct 6, 2022Close98.504Oct 12, 2022Close98.549Oct 17, 2022Close98.545Oct 20, 2022Close98.504Oct 25, 2022Close98.561Oct 28, 2022Close98.607Nov 2, 2022Close98.628Nov 7, 2022Close98.673Nov 10, 2022Close98.752Nov 16, 2022Close98.798Nov 21, 2022Close98.850Nov 25, 2022Close98.898Nov 30, 2022Close98.916Dec 5, 2022Close98.994Dec 8, 2022Close99.059Dec 13, 2022Close99.112Dec 16, 2022Close99.173Dec 21, 2022Close99.213Dec 27, 2022Close99.273Dec 30, 2022Close99.310Jan 5, 2023Close99.337Jan 10, 2023Close99.378Jan 13, 2023Close99.460Jan 19, 2023Close99.492Jan 24, 2023Close99.550Jan 27, 2023Close99.618Feb 1, 2023Close99.655Feb 6, 2023Close99.716Feb 9, 2023Close99.749Feb 14, 2023Close99.813Feb 17, 2023Close99.888Feb 23, 2023Close99.927Feb 28, 2023Close99.988Mar 1, 2023Close100.000
The most recent 20 trading days of prices for 912796YB9.
DateBidOfferClose
Mar 1, 2023–99.988100.000
Feb 28, 2023–99.97699.988
Feb 27, 2023–99.96399.976
Feb 24, 2023–99.92799.963
Feb 23, 202399.91699.91599.927
Feb 22, 202399.90499.90499.915
Feb 21, 202399.89099.88999.902
Feb 17, 202399.84199.83999.888
Feb 16, 202399.82799.82699.839
Feb 15, 202399.81599.81499.826
Feb 14, 202399.80399.80099.813
Feb 13, 202399.78999.78899.800
Feb 10, 202399.75199.75099.786
Feb 9, 202399.73999.73699.749
Feb 8, 202399.72999.72799.740
Feb 7, 202399.71699.71499.729
Feb 6, 202399.70699.70499.716
Feb 3, 202399.66999.66599.703
Feb 2, 202399.65699.65599.668
Feb 1, 202399.64499.64199.655

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 912796YB9.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Aug 29, 2022Sep 1, 2022New issue$42.0bn$47.1bn2.88x–
Nov 28, 2022Dec 1, 2022Reopening$54.0bn$60.9bn2.56x–

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.