Treasury bill · Matured

912796Z85

Original term
17-Week
Maturity
Mar 28, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Mar 27, 2023
Analyzed through
Mar 24, 2023

Still priced, no longer analyzed. Risk numbers below are as of Mar 24, 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 24, 2023

Yield to maturity
3.630%
Modified duration
0.003 yr
DV01
0.0000
Convexity
0.000
Dirty price
99.990

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 0.12 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, 80 observations

3.00%3.25%3.50%3.75%4.00%4.25%4.50%4.75%Nov 29, 2022Mar 24, 2023Nov 29, 2022Yield to maturity4.506%Dec 1, 2022Yield to maturity4.452%Dec 5, 2022Yield to maturity4.492%Dec 7, 2022Yield to maturity4.387%Dec 9, 2022Yield to maturity4.395%Dec 13, 2022Yield to maturity4.404%Dec 15, 2022Yield to maturity4.382%Dec 19, 2022Yield to maturity4.349%Dec 21, 2022Yield to maturity4.317%Dec 23, 2022Yield to maturity4.314%Dec 28, 2022Yield to maturity4.334%Dec 30, 2022Yield to maturity4.311%Jan 4, 2023Yield to maturity4.372%Jan 6, 2023Yield to maturity4.504%Jan 10, 2023Yield to maturity4.565%Jan 12, 2023Yield to maturity4.553%Jan 17, 2023Yield to maturity4.561%Jan 19, 2023Yield to maturity4.601%Jan 23, 2023Yield to maturity4.568%Jan 25, 2023Yield to maturity4.577%Jan 27, 2023Yield to maturity4.575%Jan 31, 2023Yield to maturity4.604%Feb 2, 2023Yield to maturity4.562%Feb 6, 2023Yield to maturity4.601%Feb 8, 2023Yield to maturity4.600%Feb 10, 2023Yield to maturity4.628%Feb 14, 2023Yield to maturity4.617%Feb 16, 2023Yield to maturity4.636%Feb 21, 2023Yield to maturity4.602%Feb 23, 2023Yield to maturity4.591%Feb 27, 2023Yield to maturity4.619%Mar 1, 2023Yield to maturity4.610%Mar 3, 2023Yield to maturity4.598%Mar 7, 2023Yield to maturity4.607%Mar 9, 2023Yield to maturity4.544%Mar 13, 2023Yield to maturity4.399%Mar 15, 2023Yield to maturity4.082%Mar 17, 2023Yield to maturity3.836%Mar 21, 2023Yield to maturity3.235%Mar 23, 2023Yield to maturity3.834%Mar 24, 2023Yield to maturity3.630%

Price history

81 trading days to Mar 27, 2023

98.5098.7599.0099.2599.5099.75100.00Nov 29, 2022Mar 27, 2023Nov 29, 2022Close98.564Dec 1, 2022Close98.605Dec 5, 2022Close98.640Dec 7, 2022Close98.695Dec 9, 2022Close98.740Dec 13, 2022Close98.761Dec 15, 2022Close98.790Dec 19, 2022Close98.846Dec 21, 2022Close98.877Dec 23, 2022Close98.936Dec 28, 2022Close98.954Dec 30, 2022Close99.018Jan 4, 2023Close99.027Jan 6, 2023Close99.047Jan 10, 2023Close99.058Jan 12, 2023Close99.085Jan 17, 2023Close99.145Jan 19, 2023Close99.162Jan 23, 2023Close99.218Jan 25, 2023Close99.241Jan 27, 2023Close99.291Jan 31, 2023Close99.311Feb 2, 2023Close99.342Feb 6, 2023Close99.386Feb 8, 2023Close99.411Feb 10, 2023Close99.458Feb 14, 2023Close99.484Feb 16, 2023Close99.507Feb 21, 2023Close99.573Feb 23, 2023Close99.599Feb 27, 2023Close99.647Mar 1, 2023Close99.674Mar 3, 2023Close99.724Mar 7, 2023Close99.749Mar 9, 2023Close99.777Mar 13, 2023Close99.832Mar 15, 2023Close99.866Mar 17, 2023Close99.916Mar 21, 2023Close99.947Mar 23, 2023Close99.958Mar 27, 2023Close100.000
The most recent 20 trading days of prices for 912796Z85.
DateBidOfferClose
Mar 27, 2023–99.990100.000
Mar 24, 2023–99.96299.990
Mar 23, 2023–99.95399.958
Mar 22, 2023–99.94699.953
Mar 21, 202399.93799.93699.947
Mar 20, 202399.92199.92099.934
Mar 17, 202399.88599.88399.916
Mar 16, 202399.86899.86799.885
Mar 15, 202399.85699.85499.866
Mar 14, 202399.83599.83399.847
Mar 13, 202399.82299.82199.832
Mar 10, 202399.77899.77599.814
Mar 9, 202399.76599.76499.777
Mar 8, 202399.75199.75099.764
Mar 7, 202399.73799.73699.749
Mar 6, 202399.72599.72499.737
Mar 3, 202399.68899.68899.724
Mar 2, 202399.67499.67399.687
Mar 1, 202399.66299.66199.674
Feb 28, 202399.65099.64899.661

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 912796Z85.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Nov 23, 2022Nov 29, 2022New issue$33.0bn$34.1bn3.24x–
Jan 26, 2023Jan 31, 2023Reopening$60.0bn$60.7bn2.57x–
Feb 23, 2023Feb 28, 2023Reopening$75.0bn$76.3bn2.63x–

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.

Free to benchmark against. Paid only to track. Measuring anything against these curves and indices is free. No license, no fee, no registration, and no permission needed to say that you did, including in a prospectus. A fee applies to one thing: launching a product that tracks an index.

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.