Treasury bill · Matured

912796YL7

Original term
26-Week
Maturity
Mar 16, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Mar 15, 2023
Analyzed through
Mar 14, 2023

Still priced, no longer analyzed. Risk numbers below are as of Mar 14, 2023, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, March 14, 2023

Yield to maturity
4.250%
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 0.07 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, 122 observations

3.6%3.8%4.0%4.2%4.4%4.6%4.8%Sep 15, 2022Mar 14, 2023Sep 15, 2022Yield to maturity3.812%Sep 20, 2022Yield to maturity3.852%Sep 23, 2022Yield to maturity3.829%Sep 28, 2022Yield to maturity3.849%Oct 3, 2022Yield to maturity3.815%Oct 6, 2022Yield to maturity3.814%Oct 12, 2022Yield to maturity3.895%Oct 17, 2022Yield to maturity4.030%Oct 20, 2022Yield to maturity4.238%Oct 25, 2022Yield to maturity4.277%Oct 28, 2022Yield to maturity4.296%Nov 2, 2022Yield to maturity4.409%Nov 7, 2022Yield to maturity4.417%Nov 10, 2022Yield to maturity4.362%Nov 16, 2022Yield to maturity4.350%Nov 21, 2022Yield to maturity4.389%Nov 25, 2022Yield to maturity4.375%Nov 30, 2022Yield to maturity4.394%Dec 5, 2022Yield to maturity4.277%Dec 8, 2022Yield to maturity4.193%Dec 13, 2022Yield to maturity4.336%Dec 16, 2022Yield to maturity4.302%Dec 21, 2022Yield to maturity4.218%Dec 27, 2022Yield to maturity4.256%Dec 30, 2022Yield to maturity4.356%Jan 5, 2023Yield to maturity4.437%Jan 10, 2023Yield to maturity4.548%Jan 13, 2023Yield to maturity4.524%Jan 19, 2023Yield to maturity4.553%Jan 24, 2023Yield to maturity4.560%Jan 27, 2023Yield to maturity4.558%Feb 1, 2023Yield to maturity4.576%Feb 6, 2023Yield to maturity4.563%Feb 9, 2023Yield to maturity4.592%Feb 14, 2023Yield to maturity4.559%Feb 17, 2023Yield to maturity4.494%Feb 23, 2023Yield to maturity4.533%Feb 28, 2023Yield to maturity4.584%Mar 3, 2023Yield to maturity4.550%Mar 8, 2023Yield to maturity4.528%Mar 13, 2023Yield to maturity4.444%Mar 14, 2023Yield to maturity4.250%

Price history

123 trading days to Mar 15, 2023

98.0098.5099.0099.50100.00Sep 15, 2022Mar 15, 2023Sep 15, 2022Close98.145Sep 20, 2022Close98.176Sep 23, 2022Close98.238Sep 28, 2022Close98.259Oct 3, 2022Close98.325Oct 6, 2022Close98.356Oct 12, 2022Close98.383Oct 17, 2022Close98.382Oct 20, 2022Close98.333Oct 25, 2022Close98.375Oct 28, 2022Close98.425Nov 2, 2022Close98.419Nov 7, 2022Close98.475Nov 10, 2022Close98.563Nov 16, 2022Close98.602Nov 21, 2022Close98.648Nov 25, 2022Close98.722Nov 30, 2022Close98.752Dec 5, 2022Close98.842Dec 8, 2022Close98.898Dec 13, 2022Close98.919Dec 16, 2022Close98.985Dec 21, 2022Close99.039Dec 27, 2022Close99.099Dec 30, 2022Close99.148Jan 5, 2023Close99.168Jan 10, 2023Close99.209Jan 13, 2023Close99.286Jan 19, 2023Close99.319Jan 24, 2023Close99.379Jan 27, 2023Close99.441Feb 1, 2023Close99.476Feb 6, 2023Close99.540Feb 9, 2023Close99.574Feb 14, 2023Close99.639Feb 17, 2023Close99.718Feb 23, 2023Close99.752Feb 28, 2023Close99.813Mar 3, 2023Close99.876Mar 8, 2023Close99.913Mar 13, 2023Close99.976Mar 15, 2023Close100.000
The most recent 20 trading days of prices for 912796YL7.
DateBidOfferClose
Mar 15, 2023–99.989100.000
Mar 14, 2023–99.97699.988
Mar 13, 2023–99.96599.976
Mar 10, 2023–99.92699.963
Mar 9, 202399.91599.91499.926
Mar 8, 202399.90199.90099.913
Mar 7, 202399.88999.88899.900
Mar 6, 202399.87799.87699.888
Mar 3, 202399.83999.83899.876
Mar 2, 202399.82699.82699.838
Mar 1, 202399.81299.81199.825
Feb 28, 202399.80199.80099.813
Feb 27, 202399.78999.78899.801
Feb 24, 202399.75499.75299.789
Feb 23, 202399.74199.74099.752
Feb 22, 202399.72899.72699.739
Feb 21, 202399.71699.71499.727
Feb 17, 202399.67199.66899.718
Feb 16, 202399.65599.65299.666
Feb 15, 202399.64299.64199.652

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.

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 912796YL7.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Sep 12, 2022Sep 15, 2022New issue$42.0bn$45.5bn3.03x–
Dec 12, 2022Dec 15, 2022Reopening$54.0bn$58.7bn2.51x–
Feb 23, 2023Feb 28, 2023Reopening$15.0bn$15.0bn2.93x–

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.