Treasury bill · Matured

912796Z44

Original term
26-Week
Maturity
Aug 24, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Aug 23, 2023
Analyzed through
Aug 22, 2023

Still priced, no longer analyzed. Risk numbers below are as of Aug 22, 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 22, 2023

Yield to maturity
5.318%
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 0.00 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, 126 observations

4.7%4.8%4.9%5.0%5.1%5.2%5.3%5.4%Feb 23, 2023Aug 22, 2023Feb 23, 2023Yield to maturity5.094%Feb 28, 2023Yield to maturity5.093%Mar 3, 2023Yield to maturity5.132%Mar 8, 2023Yield to maturity5.279%Mar 13, 2023Yield to maturity4.872%Mar 16, 2023Yield to maturity4.933%Mar 21, 2023Yield to maturity4.962%Mar 24, 2023Yield to maturity4.726%Mar 29, 2023Yield to maturity4.882%Apr 3, 2023Yield to maturity4.932%Apr 6, 2023Yield to maturity4.909%Apr 11, 2023Yield to maturity4.958%Apr 14, 2023Yield to maturity5.102%Apr 19, 2023Yield to maturity5.132%Apr 24, 2023Yield to maturity5.055%Apr 27, 2023Yield to maturity5.084%May 2, 2023Yield to maturity5.122%May 5, 2023Yield to maturity5.192%May 10, 2023Yield to maturity5.127%May 15, 2023Yield to maturity5.155%May 18, 2023Yield to maturity5.247%May 23, 2023Yield to maturity5.327%May 26, 2023Yield to maturity5.311%Jun 1, 2023Yield to maturity5.330%Jun 6, 2023Yield to maturity5.295%Jun 9, 2023Yield to maturity5.260%Jun 14, 2023Yield to maturity5.206%Jun 20, 2023Yield to maturity5.222%Jun 23, 2023Yield to maturity5.198%Jun 28, 2023Yield to maturity5.288%Jul 3, 2023Yield to maturity5.304%Jul 7, 2023Yield to maturity5.301%Jul 12, 2023Yield to maturity5.329%Jul 17, 2023Yield to maturity5.325%Jul 20, 2023Yield to maturity5.333%Jul 25, 2023Yield to maturity5.360%Jul 28, 2023Yield to maturity5.366%Aug 2, 2023Yield to maturity5.354%Aug 7, 2023Yield to maturity5.350%Aug 10, 2023Yield to maturity5.348%Aug 15, 2023Yield to maturity5.344%Aug 18, 2023Yield to maturity5.330%Aug 22, 2023Yield to maturity5.318%

Price history

127 trading days to Aug 23, 2023

97.5098.0098.5099.0099.50100.00Feb 23, 2023Aug 23, 2023Feb 23, 2023Close97.536Feb 28, 2023Close97.609Mar 3, 2023Close97.658Mar 8, 2023Close97.634Mar 13, 2023Close97.876Mar 16, 2023Close97.889Mar 21, 2023Close97.942Mar 24, 2023Close98.100Mar 29, 2023Close98.077Apr 3, 2023Close98.122Apr 6, 2023Close98.170Apr 11, 2023Close98.217Apr 14, 2023Close98.233Apr 19, 2023Close98.264Apr 24, 2023Close98.356Apr 27, 2023Close98.387May 2, 2023Close98.443May 5, 2023Close98.491May 10, 2023Close98.550May 15, 2023Close98.611May 18, 2023Close98.629May 23, 2023Close98.679May 26, 2023Close98.767Jun 1, 2023Close98.806Jun 6, 2023Close98.884Jun 9, 2023Close98.962Jun 14, 2023Close99.014Jun 20, 2023Close99.095Jun 23, 2023Close99.169Jun 28, 2023Close99.197Jul 3, 2023Close99.281Jul 7, 2023Close99.353Jul 12, 2023Close99.392Jul 17, 2023Close99.465Jul 20, 2023Close99.507Jul 25, 2023Close99.577Jul 28, 2023Close99.649Aug 2, 2023Close99.694Aug 7, 2023Close99.767Aug 10, 2023Close99.810Aug 15, 2023Close99.883Aug 18, 2023Close99.956Aug 23, 2023Close100.000
The most recent 20 trading days of prices for 912796Z44.
DateBidOfferClose
Aug 23, 2023–99.986100.000
Aug 22, 2023–99.97199.985
Aug 21, 2023–99.95699.971
Aug 18, 2023–99.91399.956
Aug 17, 202399.89999.89899.913
Aug 16, 202399.88499.88499.898
Aug 15, 202399.86999.86999.883
Aug 14, 202399.85599.85499.868
Aug 11, 202399.81299.81199.854
Aug 10, 202399.79799.79699.810
Aug 9, 202399.78299.78299.796
Aug 8, 202399.76899.76799.781
Aug 7, 202399.75399.75299.767
Aug 4, 202399.71199.70899.752
Aug 3, 202399.69599.69399.708
Aug 2, 202399.67999.67899.694
Aug 1, 202399.66599.66399.678
Jul 31, 202399.65299.65199.663
Jul 28, 202399.60899.60899.649
Jul 27, 202399.59299.59199.606

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 912796Z44.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Feb 21, 2023Feb 23, 2023New issue$48.0bn$52.9bn2.71x–
May 22, 2023May 25, 2023Reopening$57.0bn$62.8bn2.56x–
Jul 11, 2023Jul 13, 2023Reopening$50.0bn$50.0bn2.81x–

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.