Treasury bill · Matured

912796Z77

Original term
17-Week
Maturity
Mar 21, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Mar 20, 2023
Analyzed through
Mar 17, 2023

Still priced, no longer analyzed. Risk numbers below are as of Mar 17, 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 17, 2023

Yield to maturity
3.935%
Modified duration
0.003 yr
DV01
0.0000
Convexity
0.000
Dirty price
99.989

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 0.09 cents per 100 of face cheap to the curve on that day.

Shown as a price rather than a yield. This bill is 4 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, 79 observations

3.8%4.0%4.2%4.4%4.6%4.8%Nov 22, 2022Mar 17, 2023Nov 22, 2022Yield to maturity4.485%Nov 25, 2022Yield to maturity4.461%Nov 29, 2022Yield to maturity4.450%Dec 1, 2022Yield to maturity4.396%Dec 5, 2022Yield to maturity4.436%Dec 7, 2022Yield to maturity4.341%Dec 9, 2022Yield to maturity4.339%Dec 13, 2022Yield to maturity4.349%Dec 15, 2022Yield to maturity4.296%Dec 19, 2022Yield to maturity4.304%Dec 21, 2022Yield to maturity4.251%Dec 23, 2022Yield to maturity4.280%Dec 28, 2022Yield to maturity4.268%Dec 30, 2022Yield to maturity4.369%Jan 4, 2023Yield to maturity4.348%Jan 6, 2023Yield to maturity4.490%Jan 10, 2023Yield to maturity4.551%Jan 12, 2023Yield to maturity4.529%Jan 17, 2023Yield to maturity4.547%Jan 19, 2023Yield to maturity4.597%Jan 23, 2023Yield to maturity4.615%Jan 25, 2023Yield to maturity4.614%Jan 27, 2023Yield to maturity4.560%Jan 31, 2023Yield to maturity4.590%Feb 2, 2023Yield to maturity4.568%Feb 6, 2023Yield to maturity4.566%Feb 8, 2023Yield to maturity4.585%Feb 10, 2023Yield to maturity4.624%Feb 14, 2023Yield to maturity4.582%Feb 16, 2023Yield to maturity4.632%Feb 21, 2023Yield to maturity4.578%Feb 23, 2023Yield to maturity4.536%Feb 27, 2023Yield to maturity4.554%Mar 1, 2023Yield to maturity4.596%Mar 3, 2023Yield to maturity4.584%Mar 7, 2023Yield to maturity4.562%Mar 9, 2023Yield to maturity4.530%Mar 13, 2023Yield to maturity4.284%Mar 15, 2023Yield to maturity4.110%Mar 17, 2023Yield to maturity3.935%

Price history

80 trading days to Mar 20, 2023

98.5098.7599.0099.2599.5099.75100.00Nov 22, 2022Mar 20, 2023Nov 22, 2022Close98.571Nov 25, 2022Close98.638Nov 29, 2022Close98.665Dec 1, 2022Close98.704Dec 5, 2022Close98.740Dec 7, 2022Close98.790Dec 9, 2022Close98.837Dec 13, 2022Close98.858Dec 15, 2022Close98.894Dec 19, 2022Close98.938Dec 21, 2022Close98.974Dec 23, 2022Close99.025Dec 28, 2022Close99.050Dec 30, 2022Close99.087Jan 4, 2023Close99.115Jan 6, 2023Close99.134Jan 10, 2023Close99.147Jan 12, 2023Close99.176Jan 17, 2023Close99.234Jan 19, 2023Close99.250Jan 23, 2023Close99.297Jan 25, 2023Close99.322Jan 27, 2023Close99.379Jan 31, 2023Close99.400Feb 2, 2023Close99.428Feb 6, 2023Close99.477Feb 8, 2023Close99.500Feb 10, 2023Close99.546Feb 14, 2023Close99.575Feb 16, 2023Close99.596Feb 21, 2023Close99.662Feb 23, 2023Close99.690Feb 27, 2023Close99.739Mar 1, 2023Close99.762Mar 3, 2023Close99.813Mar 7, 2023Close99.838Mar 9, 2023Close99.864Mar 13, 2023Close99.918Mar 15, 2023Close99.944Mar 17, 2023Close99.989Mar 20, 2023Close100.000
The most recent 20 trading days of prices for 912796Z77.
DateBidOfferClose
Mar 20, 2023–99.989100.000
Mar 17, 2023–99.95799.989
Mar 16, 2023–99.94499.956
Mar 15, 2023–99.93499.944
Mar 14, 202399.91799.91699.930
Mar 13, 202399.90699.90599.918
Mar 10, 202399.86499.86399.901
Mar 9, 202399.85399.85299.864
Mar 8, 202399.84099.83999.851
Mar 7, 202399.82699.82599.838
Mar 6, 202399.81499.81399.826
Mar 3, 202399.77699.77599.813
Mar 2, 202399.76599.76399.775
Mar 1, 202399.75199.75099.762
Feb 28, 202399.73999.73899.751
Feb 27, 202399.72799.72699.739
Feb 24, 202399.69099.68899.727
Feb 23, 202399.67899.67799.690
Feb 22, 202399.66499.66399.676
Feb 21, 202399.64999.64999.662

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 912796Z77.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Nov 16, 2022Nov 22, 2022New issue$33.0bn$34.0bn3.15x–
Jan 19, 2023Jan 24, 2023Reopening$60.0bn$61.0bn2.53x–
Feb 16, 2023Feb 21, 2023Reopening$75.0bn$76.5bn2.77x–

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.