Treasury bill · Matured

912796ZC6

Original term
67-Day
Maturity
Nov 1, 2021
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Oct 29, 2021
Analyzed through
Oct 28, 2021

Still priced, no longer analyzed. Risk numbers below are as of Oct 28, 2021, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, October 28, 2021

Yield to maturity
0.041%
Modified duration
0.008 yr
DV01
0.0001
Convexity
0.000
Dirty price
100.000

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 0.008 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 0.03 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, 44 observations

0.02%0.04%0.06%0.08%0.10%0.12%Aug 26, 2021Oct 28, 2021Aug 26, 2021Yield to maturity0.071%Aug 27, 2021Yield to maturity0.071%Aug 30, 2021Yield to maturity0.061%Aug 31, 2021Yield to maturity0.061%Sep 1, 2021Yield to maturity0.051%Sep 2, 2021Yield to maturity0.061%Sep 3, 2021Yield to maturity0.061%Sep 7, 2021Yield to maturity0.061%Sep 8, 2021Yield to maturity0.061%Sep 9, 2021Yield to maturity0.061%Sep 10, 2021Yield to maturity0.061%Sep 13, 2021Yield to maturity0.061%Sep 14, 2021Yield to maturity0.061%Sep 15, 2021Yield to maturity0.061%Sep 16, 2021Yield to maturity0.061%Sep 17, 2021Yield to maturity0.061%Sep 20, 2021Yield to maturity0.061%Sep 21, 2021Yield to maturity0.051%Sep 22, 2021Yield to maturity0.051%Sep 23, 2021Yield to maturity0.051%Sep 24, 2021Yield to maturity0.061%Sep 27, 2021Yield to maturity0.061%Sep 28, 2021Yield to maturity0.061%Sep 29, 2021Yield to maturity0.051%Sep 30, 2021Yield to maturity0.061%Oct 1, 2021Yield to maturity0.081%Oct 4, 2021Yield to maturity0.112%Oct 5, 2021Yield to maturity0.112%Oct 6, 2021Yield to maturity0.071%Oct 7, 2021Yield to maturity0.041%Oct 8, 2021Yield to maturity0.030%Oct 12, 2021Yield to maturity0.030%Oct 13, 2021Yield to maturity0.030%Oct 14, 2021Yield to maturity0.020%Oct 15, 2021Yield to maturity0.020%Oct 18, 2021Yield to maturity0.020%Oct 19, 2021Yield to maturity0.020%Oct 20, 2021Yield to maturity0.020%Oct 21, 2021Yield to maturity0.020%Oct 22, 2021Yield to maturity0.041%Oct 25, 2021Yield to maturity0.041%Oct 26, 2021Yield to maturity0.030%Oct 27, 2021Yield to maturity0.041%Oct 28, 2021Yield to maturity0.041%

Price history

45 trading days to Oct 29, 2021

99.98599.98799.99099.99399.99599.998100.000Aug 26, 2021Oct 29, 2021Aug 26, 2021Close99.987Aug 30, 2021Close99.990Sep 1, 2021Close99.992Sep 3, 2021Close99.991Sep 8, 2021Close99.991Sep 10, 2021Close99.992Sep 14, 2021Close99.992Sep 16, 2021Close99.993Sep 20, 2021Close99.993Sep 22, 2021Close99.995Sep 24, 2021Close99.994Sep 28, 2021Close99.995Sep 30, 2021Close99.995Oct 4, 2021Close99.992Oct 6, 2021Close99.995Oct 8, 2021Close99.998Oct 13, 2021Close99.999Oct 15, 2021Close99.999Oct 19, 2021Close99.999Oct 21, 2021Close99.999Oct 25, 2021Close99.999Oct 27, 2021Close100.000Oct 29, 2021Close100.000
The most recent 20 trading days of prices for 912796ZC6.
DateBidOfferClose
Oct 29, 2021–100.000100.000
Oct 28, 2021–100.000100.000
Oct 27, 2021–100.000100.000
Oct 26, 2021–99.999100.000
Oct 25, 202199.99999.99999.999
Oct 22, 2021100.00099.99999.999
Oct 21, 2021100.00099.99999.999
Oct 20, 202199.99999.99999.999
Oct 19, 202199.99999.99999.999
Oct 18, 202199.99999.99999.999
Oct 15, 202199.99999.99999.999
Oct 14, 202199.99999.99999.999
Oct 13, 202199.99999.99899.999
Oct 12, 202199.99999.99899.998
Oct 8, 202199.99899.99899.998
Oct 7, 202199.99799.99799.997
Oct 6, 202199.99299.99199.995
Oct 5, 202199.99399.99299.992
Oct 4, 202199.99399.99399.992
Oct 1, 202199.99399.99199.994

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.

Auction

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 912796ZC6.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Aug 24, 2021Aug 26, 2021New issue$40.0bn$40.0bn2.87x–

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.