Treasury bill · Matured

912796ZA0

Original term
119-Day
Maturity
Dec 27, 2022
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Dec 23, 2022
Analyzed through
Dec 22, 2022

Still priced, no longer analyzed. Risk numbers below are as of Dec 22, 2022, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, December 22, 2022

Yield to maturity
4.159%
Modified duration
0.011 yr
DV01
0.0001
Convexity
0.000
Dirty price
99.954

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 0.011 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 0.79 cents per 100 of face cheap to the curve on that day.

Shown as a price rather than a yield. This bill is 5 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

3.0%3.2%3.4%3.6%3.8%4.0%4.2%Aug 30, 2022Dec 22, 2022Aug 30, 2022Yield to maturity3.103%Sep 1, 2022Yield to maturity3.133%Sep 6, 2022Yield to maturity3.111%Sep 8, 2022Yield to maturity3.142%Sep 12, 2022Yield to maturity3.182%Sep 14, 2022Yield to maturity3.378%Sep 16, 2022Yield to maturity3.284%Sep 20, 2022Yield to maturity3.293%Sep 22, 2022Yield to maturity3.251%Sep 26, 2022Yield to maturity3.230%Sep 28, 2022Yield to maturity3.147%Sep 30, 2022Yield to maturity3.115%Oct 4, 2022Yield to maturity3.114%Oct 6, 2022Yield to maturity3.165%Oct 11, 2022Yield to maturity3.277%Oct 13, 2022Yield to maturity3.471%Oct 17, 2022Yield to maturity3.532%Oct 19, 2022Yield to maturity3.665%Oct 21, 2022Yield to maturity3.684%Oct 25, 2022Yield to maturity3.796%Oct 27, 2022Yield to maturity3.795%Oct 31, 2022Yield to maturity3.896%Nov 2, 2022Yield to maturity3.895%Nov 4, 2022Yield to maturity3.812%Nov 8, 2022Yield to maturity3.811%Nov 10, 2022Yield to maturity3.799%Nov 15, 2022Yield to maturity3.870%Nov 17, 2022Yield to maturity3.930%Nov 21, 2022Yield to maturity3.959%Nov 23, 2022Yield to maturity3.958%Nov 28, 2022Yield to maturity4.027%Nov 30, 2022Yield to maturity3.976%Dec 2, 2022Yield to maturity3.841%Dec 6, 2022Yield to maturity3.800%Dec 8, 2022Yield to maturity3.596%Dec 12, 2022Yield to maturity3.665%Dec 14, 2022Yield to maturity3.705%Dec 16, 2022Yield to maturity4.171%Dec 20, 2022Yield to maturity4.058%Dec 22, 2022Yield to maturity4.159%

Price history

80 trading days to Dec 23, 2022

99.099.299.499.699.8100.0Aug 30, 2022Dec 23, 2022Aug 30, 2022Close99.007Sep 1, 2022Close99.014Sep 6, 2022Close99.063Sep 8, 2022Close99.070Sep 12, 2022Close99.093Sep 14, 2022Close99.056Sep 16, 2022Close99.117Sep 20, 2022Close99.132Sep 22, 2022Close99.161Sep 26, 2022Close99.201Sep 28, 2022Close99.239Sep 30, 2022Close99.280Oct 4, 2022Close99.297Oct 6, 2022Close99.302Oct 11, 2022Close99.322Oct 13, 2022Close99.301Oct 17, 2022Close99.327Oct 19, 2022Close99.322Oct 21, 2022Close99.358Oct 25, 2022Close99.359Oct 27, 2022Close99.380Oct 31, 2022Close99.406Nov 2, 2022Close99.427Nov 4, 2022Close99.481Nov 8, 2022Close99.501Nov 10, 2022Close99.554Nov 15, 2022Close99.567Nov 17, 2022Close99.582Nov 21, 2022Close99.622Nov 23, 2022Close99.654Nov 28, 2022Close99.692Nov 30, 2022Close99.718Dec 2, 2022Close99.769Dec 6, 2022Close99.792Dec 8, 2022Close99.823Dec 12, 2022Close99.860Dec 14, 2022Close99.878Dec 16, 2022Close99.909Dec 20, 2022Close99.933Dec 22, 2022Close99.954Dec 23, 2022Close100.000
The most recent 20 trading days of prices for 912796ZA0.
DateBidOfferClose
Dec 23, 2022–99.956100.000
Dec 22, 2022–99.94399.954
Dec 21, 2022–99.93799.945
Dec 20, 202299.92499.92499.933
Dec 19, 202299.91199.91199.922
Dec 16, 202299.87799.87699.909
Dec 15, 202299.87999.87799.883
Dec 14, 202299.87099.86999.878
Dec 13, 202299.86199.86099.868
Dec 12, 202299.85299.85099.860
Dec 9, 202299.82299.82099.850
Dec 8, 202299.81499.81299.823
Dec 7, 202299.79799.79499.804
Dec 6, 202299.78499.78399.792
Dec 5, 202299.77199.76999.781
Dec 2, 202299.73799.73699.769
Dec 1, 202299.72099.71899.735
Nov 30, 202299.70799.70699.718
Nov 29, 202299.69499.69399.706
Nov 28, 202299.68299.68199.692

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 912796ZA0.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Aug 24, 2022Aug 30, 2022New issue$30.0bn$30.0bn3.40x–
Oct 27, 2022Nov 1, 2022Reopening$55.0bn$56.8bn2.67x–
Nov 23, 2022Nov 29, 2022Reopening$55.0bn$56.8bn2.55x–

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.