Treasury bill · Matured

912796Z36

Original term
26-Week
Maturity
Aug 17, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Aug 16, 2023
Analyzed through
Aug 15, 2023

Still priced, no longer analyzed. Risk numbers below are as of Aug 15, 2023, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, August 15, 2023

Yield to maturity
5.348%
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, 125 observations

4.6%4.8%5.0%5.2%5.4%Feb 16, 2023Aug 15, 2023Feb 16, 2023Yield to maturity5.019%Feb 22, 2023Yield to maturity5.025%Feb 27, 2023Yield to maturity5.033%Mar 2, 2023Yield to maturity5.066%Mar 7, 2023Yield to maturity5.222%Mar 10, 2023Yield to maturity5.112%Mar 15, 2023Yield to maturity4.697%Mar 20, 2023Yield to maturity4.799%Mar 23, 2023Yield to maturity4.766%Mar 28, 2023Yield to maturity4.878%Mar 31, 2023Yield to maturity4.928%Apr 5, 2023Yield to maturity4.884%Apr 10, 2023Yield to maturity4.996%Apr 13, 2023Yield to maturity5.057%Apr 18, 2023Yield to maturity5.169%Apr 21, 2023Yield to maturity5.082%Apr 26, 2023Yield to maturity5.059%May 1, 2023Yield to maturity5.118%May 4, 2023Yield to maturity5.200%May 9, 2023Yield to maturity5.238%May 12, 2023Yield to maturity5.140%May 17, 2023Yield to maturity5.253%May 22, 2023Yield to maturity5.280%May 25, 2023Yield to maturity5.278%May 31, 2023Yield to maturity5.242%Jun 5, 2023Yield to maturity5.301%Jun 8, 2023Yield to maturity5.267%Jun 13, 2023Yield to maturity5.232%Jun 16, 2023Yield to maturity5.197%Jun 22, 2023Yield to maturity5.195%Jun 27, 2023Yield to maturity5.243%Jun 30, 2023Yield to maturity5.301%Jul 6, 2023Yield to maturity5.298%Jul 11, 2023Yield to maturity5.304%Jul 14, 2023Yield to maturity5.300%Jul 19, 2023Yield to maturity5.318%Jul 24, 2023Yield to maturity5.335%Jul 27, 2023Yield to maturity5.343%Aug 1, 2023Yield to maturity5.370%Aug 4, 2023Yield to maturity5.345%Aug 9, 2023Yield to maturity5.323%Aug 14, 2023Yield to maturity5.349%Aug 15, 2023Yield to maturity5.348%

Price history

126 trading days to Aug 16, 2023

97.5098.0098.5099.0099.50100.00Feb 16, 2023Aug 16, 2023Feb 16, 2023Close97.572Feb 22, 2023Close97.647Feb 27, 2023Close97.710Mar 2, 2023Close97.741Mar 7, 2023Close97.741Mar 10, 2023Close97.854Mar 15, 2023Close98.062Mar 20, 2023Close98.084Mar 23, 2023Close98.134Mar 28, 2023Close98.155Mar 31, 2023Close98.202Apr 5, 2023Close98.256Apr 10, 2023Close98.283Apr 13, 2023Close98.302Apr 18, 2023Close98.333Apr 21, 2023Close98.428Apr 26, 2023Close98.476May 1, 2023Close98.526May 4, 2023Close98.544May 9, 2023Close98.603May 12, 2023Close98.697May 17, 2023Close98.711May 22, 2023Close98.775May 25, 2023Close98.817May 31, 2023Close98.909Jun 5, 2023Close98.968Jun 8, 2023Close99.017Jun 13, 2023Close99.093Jun 16, 2023Close99.183Jun 22, 2023Close99.225Jun 27, 2023Close99.289Jun 30, 2023Close99.353Jul 6, 2023Close99.410Jul 11, 2023Close99.481Jul 14, 2023Close99.553Jul 19, 2023Close99.595Jul 24, 2023Close99.666Jul 27, 2023Close99.709Aug 1, 2023Close99.780Aug 4, 2023Close99.854Aug 9, 2023Close99.898Aug 14, 2023Close99.971Aug 16, 2023Close100.000
The most recent 20 trading days of prices for 912796Z36.
DateBidOfferClose
Aug 16, 2023–99.986100.000
Aug 15, 2023–99.97199.985
Aug 14, 2023–99.95799.971
Aug 11, 2023–99.91399.956
Aug 10, 202399.89999.89899.913
Aug 9, 202399.88499.88499.898
Aug 8, 202399.86999.86999.884
Aug 7, 202399.85599.85499.869
Aug 4, 202399.81199.81099.854
Aug 3, 202399.79699.79599.810
Aug 2, 202399.78199.78099.795
Aug 1, 202399.76799.76699.780
Jul 31, 202399.75499.75299.765
Jul 28, 202399.71199.70999.753
Jul 27, 202399.69599.69499.709
Jul 26, 202399.68199.68099.694
Jul 25, 202399.66699.66499.679
Jul 24, 202399.65399.65299.666
Jul 21, 202399.61099.60899.651
Jul 20, 202399.59799.59699.609

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 912796Z36.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Feb 13, 2023Feb 16, 2023New issue$48.0bn$54.0bn2.54x–
May 15, 2023May 18, 2023Reopening$57.0bn$64.5bn2.79x–
Jul 3, 2023Jul 6, 2023Reopening$50.0bn$50.0bn2.73x–

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.