Treasury bill · Matured

912796YJ2

Original term
52-Week
Maturity
Oct 5, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Oct 4, 2023
Analyzed through
Oct 3, 2023

Still priced, no longer analyzed. Risk numbers below are as of Oct 3, 2023, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, October 3, 2023

Yield to maturity
5.359%
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, 248 observations

4.00%4.25%4.50%4.75%5.00%5.25%5.50%Oct 6, 2022Oct 3, 2023Oct 6, 2022Yield to maturity4.193%Oct 17, 2022Yield to maturity4.491%Oct 25, 2022Yield to maturity4.607%Nov 2, 2022Yield to maturity4.669%Nov 10, 2022Yield to maturity4.545%Nov 21, 2022Yield to maturity4.682%Nov 30, 2022Yield to maturity4.689%Dec 8, 2022Yield to maturity4.643%Dec 16, 2022Yield to maturity4.575%Dec 27, 2022Yield to maturity4.636%Jan 5, 2023Yield to maturity4.644%Jan 13, 2023Yield to maturity4.641%Jan 24, 2023Yield to maturity4.681%Feb 1, 2023Yield to maturity4.679%Feb 9, 2023Yield to maturity4.847%Feb 17, 2023Yield to maturity4.973%Feb 28, 2023Yield to maturity4.899%Mar 8, 2023Yield to maturity5.165%Mar 16, 2023Yield to maturity4.587%Mar 24, 2023Yield to maturity4.385%Apr 3, 2023Yield to maturity4.853%Apr 11, 2023Yield to maturity4.965%Apr 19, 2023Yield to maturity5.098%Apr 27, 2023Yield to maturity5.018%May 5, 2023Yield to maturity5.075%May 15, 2023Yield to maturity5.175%May 23, 2023Yield to maturity5.285%Jun 1, 2023Yield to maturity5.394%Jun 9, 2023Yield to maturity5.344%Jun 20, 2023Yield to maturity5.275%Jun 28, 2023Yield to maturity5.300%Jul 7, 2023Yield to maturity5.375%Jul 17, 2023Yield to maturity5.400%Jul 25, 2023Yield to maturity5.424%Aug 2, 2023Yield to maturity5.418%Aug 10, 2023Yield to maturity5.401%Aug 18, 2023Yield to maturity5.414%Aug 28, 2023Yield to maturity5.408%Sep 6, 2023Yield to maturity5.380%Sep 14, 2023Yield to maturity5.374%Sep 22, 2023Yield to maturity5.386%Oct 2, 2023Yield to maturity5.380%Oct 3, 2023Yield to maturity5.359%

Price history

249 trading days to Oct 4, 2023

9596979899100Oct 6, 2022Oct 4, 2023Oct 6, 2022Close95.957Oct 17, 2022Close95.805Oct 25, 2022Close95.796Nov 2, 2022Close95.837Nov 10, 2022Close96.073Nov 21, 2022Close96.055Nov 30, 2022Close96.159Dec 8, 2022Close96.292Dec 16, 2022Close96.464Dec 27, 2022Close96.527Jan 5, 2023Close96.630Jan 13, 2023Close96.766Jan 24, 2023Close96.838Feb 1, 2023Close96.938Feb 9, 2023Close96.932Feb 17, 2023Close96.999Feb 28, 2023Close97.154Mar 8, 2023Close97.112Mar 16, 2023Close97.525Mar 24, 2023Close97.749Apr 3, 2023Close97.618Apr 11, 2023Close97.668Apr 19, 2023Close97.713Apr 27, 2023Close97.853May 5, 2023Close97.963May 15, 2023Close98.032May 23, 2023Close98.102Jun 1, 2023Close98.191Jun 9, 2023Close98.348Jun 20, 2023Close98.495Jun 28, 2023Close98.601Jul 7, 2023Close98.739Jul 17, 2023Close98.848Jul 25, 2023Close98.959Aug 2, 2023Close99.076Aug 10, 2023Close99.195Aug 18, 2023Close99.339Aug 28, 2023Close99.456Sep 6, 2023Close99.590Sep 14, 2023Close99.707Sep 22, 2023Close99.853Oct 2, 2023Close99.971Oct 4, 2023Close100.000
The most recent 20 trading days of prices for 912796YJ2.
DateBidOfferClose
Oct 4, 2023–99.985100.000
Oct 3, 2023–99.97199.985
Oct 2, 2023–99.95699.971
Sep 29, 2023–99.91299.956
Sep 28, 202399.89899.89899.912
Sep 27, 202399.88399.88399.898
Sep 26, 202399.86999.86899.883
Sep 25, 202399.85499.85399.868
Sep 22, 202399.81099.81099.853
Sep 21, 202399.79699.79599.809
Sep 20, 202399.78199.78099.795
Sep 19, 202399.76699.76699.780
Sep 18, 202399.75299.75199.766
Sep 15, 202399.70899.70799.751
Sep 14, 202399.69399.69399.707
Sep 13, 202399.67899.67799.691
Sep 12, 202399.66499.66399.679
Sep 11, 202399.64999.64899.663
Sep 8, 202399.60599.60499.648
Sep 7, 202399.59199.59099.605

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 912796YJ2.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Oct 4, 2022Oct 6, 2022New issue$34.0bn$38.3bn2.68x–
Apr 3, 2023Apr 6, 2023Reopening$48.0bn$53.6bn2.79x–
Jul 3, 2023Jul 6, 2023Reopening$65.0bn$70.5bn3.00x–
Aug 22, 2023Aug 24, 2023Reopening$60.0bn$60.0bn3.27x–

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.