Treasury bill · Matured

912796Z93

Original term
17-Week
Maturity
Apr 4, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Apr 3, 2023
Analyzed through
Mar 31, 2023

Still priced, no longer analyzed. Risk numbers below are as of Mar 31, 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 31, 2023

Yield to maturity
4.606%
Modified duration
0.003 yr
DV01
0.0000
Convexity
0.000
Dirty price
99.987

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 rich 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

3.25%3.50%3.75%4.00%4.25%4.50%4.75%5.00%Dec 6, 2022Mar 31, 2023Dec 6, 2022Yield to maturity4.516%Dec 8, 2022Yield to maturity4.411%Dec 12, 2022Yield to maturity4.471%Dec 14, 2022Yield to maturity4.480%Dec 16, 2022Yield to maturity4.436%Dec 20, 2022Yield to maturity4.404%Dec 22, 2022Yield to maturity4.351%Dec 27, 2022Yield to maturity4.328%Dec 29, 2022Yield to maturity4.337%Jan 3, 2023Yield to maturity4.459%Jan 5, 2023Yield to maturity4.593%Jan 9, 2023Yield to maturity4.590%Jan 11, 2023Yield to maturity4.651%Jan 13, 2023Yield to maturity4.555%Jan 18, 2023Yield to maturity4.554%Jan 20, 2023Yield to maturity4.572%Jan 24, 2023Yield to maturity4.571%Jan 26, 2023Yield to maturity4.560%Jan 30, 2023Yield to maturity4.568%Feb 1, 2023Yield to maturity4.608%Feb 3, 2023Yield to maturity4.616%Feb 7, 2023Yield to maturity4.615%Feb 9, 2023Yield to maturity4.675%Feb 13, 2023Yield to maturity4.693%Feb 15, 2023Yield to maturity4.682%Feb 17, 2023Yield to maturity4.669%Feb 22, 2023Yield to maturity4.606%Feb 24, 2023Yield to maturity4.634%Feb 28, 2023Yield to maturity4.615%Mar 2, 2023Yield to maturity4.675%Mar 6, 2023Yield to maturity4.693%Mar 8, 2023Yield to maturity4.682%Mar 10, 2023Yield to maturity4.639%Mar 14, 2023Yield to maturity4.372%Mar 16, 2023Yield to maturity4.075%Mar 20, 2023Yield to maturity3.808%Mar 22, 2023Yield to maturity3.827%Mar 24, 2023Yield to maturity3.755%Mar 28, 2023Yield to maturity3.937%Mar 30, 2023Yield to maturity4.750%Mar 31, 2023Yield to maturity4.606%

Price history

81 trading days to Apr 3, 2023

98.5098.7599.0099.2599.5099.75100.00Dec 6, 2022Apr 3, 2023Dec 6, 2022Close98.561Dec 8, 2022Close98.618Dec 12, 2022Close98.647Dec 14, 2022Close98.668Dec 16, 2022Close98.728Dec 20, 2022Close98.761Dec 22, 2022Close98.799Dec 27, 2022Close98.863Dec 29, 2022Close98.884Jan 3, 2023Close98.912Jan 5, 2023Close98.905Jan 9, 2023Close98.955Jan 11, 2023Close98.966Jan 13, 2023Close99.048Jan 18, 2023Close99.073Jan 20, 2023Close99.118Jan 24, 2023Close99.143Jan 26, 2023Close99.170Jan 30, 2023Close99.218Feb 1, 2023Close99.236Feb 3, 2023Close99.284Feb 7, 2023Close99.309Feb 9, 2023Close99.326Feb 13, 2023Close99.374Feb 15, 2023Close99.401Feb 17, 2023Close99.466Feb 22, 2023Close99.498Feb 24, 2023Close99.545Feb 28, 2023Close99.573Mar 2, 2023Close99.593Mar 6, 2023Close99.642Mar 8, 2023Close99.668Mar 10, 2023Close99.722Mar 14, 2023Close99.762Mar 16, 2023Close99.800Mar 20, 2023Close99.855Mar 22, 2023Close99.875Mar 24, 2023Close99.918Mar 28, 2023Close99.936Mar 30, 2023Close99.948Apr 3, 2023Close100.000
The most recent 20 trading days of prices for 912796Z93.
DateBidOfferClose
Apr 3, 2023–99.987100.000
Mar 31, 2023–99.95099.987
Mar 30, 2023–99.93799.948
Mar 29, 2023–99.93699.940
Mar 28, 202399.93199.93099.936
Mar 27, 202399.91499.91299.928
Mar 24, 202399.88899.88899.918
Mar 23, 202399.88199.88099.887
Mar 22, 202399.87899.87699.875
Mar 21, 202399.86599.86399.876
Mar 20, 202399.84499.84299.855
Mar 17, 202399.80799.80599.837
Mar 16, 202399.78699.78499.800
Mar 15, 202399.77799.77699.779
Mar 14, 202399.75199.74999.762
Mar 13, 202399.73399.73299.742
Mar 10, 202399.68699.68499.722
Mar 9, 202399.67199.67099.684
Mar 8, 202399.65699.65599.668
Mar 7, 202399.64199.64199.653

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 912796Z93.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Nov 30, 2022Dec 6, 2022New issue$33.0bn$33.9bn3.10x–
Feb 2, 2023Feb 7, 2023Reopening$60.0bn$60.9bn2.56x–
Mar 2, 2023Mar 7, 2023Reopening$75.0bn$76.3bn2.53x–

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.