Treasury bill · Matured

912796YV5

Original term
26-Week
Maturity
Apr 27, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Apr 26, 2023
Analyzed through
Apr 25, 2023

Still priced, no longer analyzed. Risk numbers below are as of Apr 25, 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 25, 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 0.32 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, 123 observations

3.6%3.8%4.0%4.2%4.4%4.6%4.8%Oct 27, 2022Apr 25, 2023Oct 27, 2022Yield to maturity4.456%Nov 1, 2022Yield to maturity4.559%Nov 4, 2022Yield to maturity4.556%Nov 9, 2022Yield to maturity4.565%Nov 15, 2022Yield to maturity4.551%Nov 18, 2022Yield to maturity4.559%Nov 23, 2022Yield to maturity4.588%Nov 29, 2022Yield to maturity4.585%Dec 2, 2022Yield to maturity4.572%Dec 7, 2022Yield to maturity4.528%Dec 12, 2022Yield to maturity4.567%Dec 15, 2022Yield to maturity4.545%Dec 20, 2022Yield to maturity4.511%Dec 23, 2022Yield to maturity4.559%Dec 29, 2022Yield to maturity4.558%Jan 4, 2023Yield to maturity4.606%Jan 9, 2023Yield to maturity4.697%Jan 12, 2023Yield to maturity4.633%Jan 18, 2023Yield to maturity4.650%Jan 23, 2023Yield to maturity4.710%Jan 26, 2023Yield to maturity4.666%Jan 31, 2023Yield to maturity4.622%Feb 3, 2023Yield to maturity4.609%Feb 8, 2023Yield to maturity4.607%Feb 13, 2023Yield to maturity4.687%Feb 16, 2023Yield to maturity4.695%Feb 22, 2023Yield to maturity4.681%Feb 27, 2023Yield to maturity4.730%Mar 2, 2023Yield to maturity4.741%Mar 7, 2023Yield to maturity4.769%Mar 10, 2023Yield to maturity4.786%Mar 15, 2023Yield to maturity4.404%Mar 20, 2023Yield to maturity4.299%Mar 23, 2023Yield to maturity4.103%Mar 28, 2023Yield to maturity4.070%Mar 31, 2023Yield to maturity4.742%Apr 5, 2023Yield to maturity4.618%Apr 10, 2023Yield to maturity4.492%Apr 13, 2023Yield to maturity4.011%Apr 18, 2023Yield to maturity3.785%Apr 21, 2023Yield to maturity4.037%Apr 25, 2023Yield to maturity4.250%

Price history

124 trading days to Apr 26, 2023

97.5098.0098.5099.0099.50100.00Oct 27, 2022Apr 26, 2023Oct 27, 2022Close97.838Nov 1, 2022Close97.849Nov 4, 2022Close97.910Nov 9, 2022Close97.942Nov 15, 2022Close98.020Nov 18, 2022Close98.077Nov 23, 2022Close98.113Nov 29, 2022Close98.175Dec 2, 2022Close98.240Dec 7, 2022Close98.293Dec 12, 2022Close98.339Dec 15, 2022Close98.383Dec 20, 2022Close98.455Dec 23, 2022Close98.511Dec 29, 2022Close98.548Jan 4, 2023Close98.606Jan 9, 2023Close98.642Jan 12, 2023Close98.697Jan 18, 2023Close98.767Jan 23, 2023Close98.814Jan 26, 2023Close98.862Jan 31, 2023Close98.935Feb 3, 2023Close99.000Feb 8, 2023Close99.037Feb 13, 2023Close99.084Feb 16, 2023Close99.120Feb 22, 2023Close99.198Feb 27, 2023Close99.254Mar 2, 2023Close99.293Mar 7, 2023Close99.353Mar 10, 2023Close99.415Mar 15, 2023Close99.497Mar 20, 2023Close99.567Mar 23, 2023Close99.620Mar 28, 2023Close99.679Mar 31, 2023Close99.690Apr 5, 2023Close99.736Apr 10, 2023Close99.804Apr 13, 2023Close99.858Apr 18, 2023Close99.917Apr 21, 2023Close99.967Apr 26, 2023Close100.000
The most recent 20 trading days of prices for 912796YV5.
DateBidOfferClose
Apr 26, 2023–99.989100.000
Apr 25, 2023–99.97799.988
Apr 24, 2023–99.96899.978
Apr 21, 2023–99.93899.967
Apr 20, 202399.93099.92999.940
Apr 19, 202399.91999.91899.930
Apr 18, 202399.90799.90499.917
Apr 17, 202399.89199.88799.903
Apr 14, 202399.86199.85599.889
Apr 13, 202399.84399.83699.858
Apr 12, 202399.82999.82699.837
Apr 11, 202399.81299.80799.821
Apr 10, 202399.79599.79099.804
Apr 7, 202399.75799.75299.789
Apr 6, 202399.75099.74299.753
Apr 5, 202399.73499.72599.736
Apr 4, 202399.71699.71199.724
Apr 3, 202399.70099.69399.709
Mar 31, 202399.67599.66799.690
Mar 30, 202399.67299.66499.665

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 912796YV5.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Oct 24, 2022Oct 27, 2022New issue$45.0bn$50.0bn2.56x–
Jan 23, 2023Jan 26, 2023Reopening$60.0bn$66.4bn2.68x–

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.