Treasury bill · Matured

912796YN3

Original term
26-Week
Maturity
Apr 6, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Apr 5, 2023
Analyzed through
Apr 4, 2023

Still priced, no longer analyzed. Risk numbers below are as of Apr 4, 2023, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, April 4, 2023

Yield to maturity
4.697%
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 0.06 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

3.50%3.75%4.00%4.25%4.50%4.75%5.00%Oct 6, 2022Apr 4, 2023Oct 6, 2022Yield to maturity4.044%Oct 12, 2022Yield to maturity4.104%Oct 17, 2022Yield to maturity4.239%Oct 20, 2022Yield to maturity4.343%Oct 25, 2022Yield to maturity4.361%Oct 28, 2022Yield to maturity4.359%Nov 2, 2022Yield to maturity4.410%Nov 7, 2022Yield to maturity4.449%Nov 10, 2022Yield to maturity4.383%Nov 16, 2022Yield to maturity4.360%Nov 21, 2022Yield to maturity4.400%Nov 25, 2022Yield to maturity4.417%Nov 30, 2022Yield to maturity4.311%Dec 5, 2022Yield to maturity4.330%Dec 8, 2022Yield to maturity4.287%Dec 13, 2022Yield to maturity4.378%Dec 16, 2022Yield to maturity4.354%Dec 21, 2022Yield to maturity4.301%Dec 27, 2022Yield to maturity4.235%Dec 30, 2022Yield to maturity4.367%Jan 5, 2023Yield to maturity4.625%Jan 10, 2023Yield to maturity4.653%Jan 13, 2023Yield to maturity4.587%Jan 19, 2023Yield to maturity4.565%Jan 24, 2023Yield to maturity4.583%Jan 27, 2023Yield to maturity4.590%Feb 1, 2023Yield to maturity4.599%Feb 6, 2023Yield to maturity4.575%Feb 9, 2023Yield to maturity4.676%Feb 14, 2023Yield to maturity4.673%Feb 17, 2023Yield to maturity4.660%Feb 23, 2023Yield to maturity4.617%Feb 28, 2023Yield to maturity4.534%Mar 3, 2023Yield to maturity4.613%Mar 8, 2023Yield to maturity4.642%Mar 13, 2023Yield to maturity4.517%Mar 16, 2023Yield to maturity4.045%Mar 21, 2023Yield to maturity3.513%Mar 24, 2023Yield to maturity3.511%Mar 29, 2023Yield to maturity4.498%Apr 3, 2023Yield to maturity4.759%Apr 4, 2023Yield to maturity4.697%

Price history

123 trading days to Apr 5, 2023

98.0098.5099.0099.50100.00Oct 6, 2022Apr 5, 2023Oct 6, 2022Close98.034Oct 12, 2022Close98.070Oct 17, 2022Close98.064Oct 20, 2022Close98.052Oct 25, 2022Close98.101Oct 28, 2022Close98.160Nov 2, 2022Close98.173Nov 7, 2022Close98.216Nov 10, 2022Close98.312Nov 16, 2022Close98.355Nov 21, 2022Close98.399Nov 25, 2022Close98.463Nov 30, 2022Close98.534Dec 5, 2022Close98.585Dec 8, 2022Close98.633Dec 13, 2022Close98.663Dec 16, 2022Close98.728Dec 21, 2022Close98.778Dec 27, 2022Close98.864Dec 30, 2022Close98.900Jan 5, 2023Close98.873Jan 10, 2023Close98.928Jan 13, 2023Close99.017Jan 19, 2023Close99.058Jan 24, 2023Close99.116Jan 27, 2023Close99.177Feb 1, 2023Close99.213Feb 6, 2023Close99.278Feb 9, 2023Close99.300Feb 14, 2023Close99.364Feb 17, 2023Close99.441Feb 23, 2023Close99.484Feb 28, 2023Close99.556Mar 3, 2023Close99.611Mar 8, 2023Close99.646Mar 13, 2023Close99.717Mar 16, 2023Close99.779Mar 21, 2023Close99.856Mar 24, 2023Close99.904Mar 29, 2023Close99.914Apr 3, 2023Close99.974Apr 5, 2023Close100.000
The most recent 20 trading days of prices for 912796YN3.
DateBidOfferClose
Apr 5, 2023–99.987100.000
Apr 4, 2023–99.97499.987
Apr 3, 2023–99.96199.974
Mar 31, 2023–99.92099.960
Mar 30, 202399.91299.91099.921
Mar 29, 202399.90799.90499.914
Mar 28, 202399.90799.90599.908
Mar 27, 202399.89799.89399.906
Mar 24, 202399.87799.87799.904
Mar 23, 202399.86799.86599.872
Mar 22, 202399.86099.85899.859
Mar 21, 202399.84899.84699.856
Mar 20, 202399.82299.82099.837
Mar 17, 202399.78599.78299.816
Mar 16, 202399.76699.76499.779
Mar 15, 202399.75899.75699.759
Mar 14, 202399.72899.72599.738
Mar 13, 202399.70999.70799.717
Mar 10, 202399.66499.66099.699
Mar 9, 202399.65299.64899.660

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 912796YN3.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Oct 3, 2022Oct 6, 2022New issue$42.0bn$47.3bn2.62x–
Jan 3, 2023Jan 5, 2023Reopening$54.0bn$60.9bn2.50x–
Mar 28, 2023Mar 30, 2023Reopening$30.0bn$30.0bn2.39x–

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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Safe Rate™, Safe Rate Indices™ and the Safe Rate US Treasury Index™ are trademarks of Safe Rate, claimed through use in commerce and not registered. Third-party marks are the property of their owners, which are not affiliated with and do not endorse this data.

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.