Treasury bill · Matured

912796ZN2

Original term
52-Week
Maturity
Dec 28, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Dec 27, 2023
Analyzed through
Dec 26, 2023

Still priced, no longer analyzed. Risk numbers below are as of Dec 26, 2023, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, December 26, 2023

Yield to maturity
5.318%
Modified duration
0.003 yr
DV01
0.0000
Convexity
0.000
Dirty price
99.985

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

Shown as a price rather than a yield. This bill is 2 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, 249 observations

4.25%4.50%4.75%5.00%5.25%5.50%5.75%6.00%Dec 29, 2022Dec 26, 2023Dec 29, 2022Yield to maturity4.702%Jan 9, 2023Yield to maturity4.697%Jan 18, 2023Yield to maturity4.661%Jan 26, 2023Yield to maturity4.668%Feb 3, 2023Yield to maturity4.761%Feb 13, 2023Yield to maturity4.898%Feb 22, 2023Yield to maturity5.013%Mar 2, 2023Yield to maturity5.001%Mar 10, 2023Yield to maturity4.943%Mar 20, 2023Yield to maturity4.435%Mar 28, 2023Yield to maturity4.486%Apr 5, 2023Yield to maturity4.441%Apr 13, 2023Yield to maturity4.546%Apr 21, 2023Yield to maturity4.564%May 1, 2023Yield to maturity4.605%May 9, 2023Yield to maturity4.571%May 17, 2023Yield to maturity4.623%May 25, 2023Yield to maturity4.835%Jun 5, 2023Yield to maturity4.822%Jun 13, 2023Yield to maturity4.917%Jun 22, 2023Yield to maturity5.237%Jun 30, 2023Yield to maturity5.469%Jul 11, 2023Yield to maturity5.504%Jul 19, 2023Yield to maturity5.455%Jul 27, 2023Yield to maturity5.513%Aug 4, 2023Yield to maturity5.462%Aug 14, 2023Yield to maturity5.466%Aug 22, 2023Yield to maturity5.449%Aug 30, 2023Yield to maturity5.474%Sep 8, 2023Yield to maturity5.475%Sep 18, 2023Yield to maturity5.458%Sep 26, 2023Yield to maturity5.504%Oct 4, 2023Yield to maturity5.477%Oct 13, 2023Yield to maturity5.478%Oct 23, 2023Yield to maturity5.461%Oct 31, 2023Yield to maturity5.455%Nov 8, 2023Yield to maturity5.417%Nov 16, 2023Yield to maturity5.411%Nov 27, 2023Yield to maturity5.412%Dec 5, 2023Yield to maturity5.396%Dec 13, 2023Yield to maturity5.389%Dec 21, 2023Yield to maturity5.363%Dec 26, 2023Yield to maturity5.318%

Price history

250 trading days to Dec 27, 2023

9596979899100Dec 29, 2022Dec 27, 2023Dec 29, 2022Close95.483Jan 9, 2023Close95.620Jan 18, 2023Close95.760Jan 26, 2023Close95.850Feb 3, 2023Close95.892Feb 13, 2023Close95.879Feb 22, 2023Close95.902Mar 2, 2023Close96.025Mar 10, 2023Close96.198Mar 20, 2023Close96.671Mar 28, 2023Close96.727Apr 5, 2023Close96.852Apr 13, 2023Close96.875Apr 21, 2023Close96.983May 1, 2023Close97.053May 9, 2023Close97.171May 17, 2023Close97.237May 25, 2023Close97.216Jun 5, 2023Close97.363Jun 13, 2023Close97.417Jun 22, 2023Close97.378Jun 30, 2023Close97.409Jul 11, 2023Close97.521Jul 19, 2023Close97.657Jul 27, 2023Close97.748Aug 4, 2023Close97.911Aug 14, 2023Close98.024Aug 22, 2023Close98.144Aug 30, 2023Close98.251Sep 8, 2023Close98.410Sep 18, 2023Close98.531Sep 26, 2023Close98.635Oct 4, 2023Close98.759Oct 13, 2023Close98.919Oct 23, 2023Close99.039Oct 31, 2023Close99.158Nov 8, 2023Close99.280Nov 16, 2023Close99.398Nov 27, 2023Close99.558Dec 5, 2023Close99.677Dec 13, 2023Close99.794Dec 21, 2023Close99.912Dec 27, 2023Close100.000
The most recent 20 trading days of prices for 912796ZN2.
DateBidOfferClose
Dec 27, 2023–99.986100.000
Dec 26, 2023–99.97199.985
Dec 22, 2023–99.91299.971
Dec 21, 202399.89899.89899.912
Dec 20, 202399.88399.88399.898
Dec 19, 202399.86899.86899.882
Dec 18, 202399.85399.85399.868
Dec 15, 202399.80999.80999.853
Dec 14, 202399.79599.79499.808
Dec 13, 202399.78099.78099.794
Dec 12, 202399.76699.76599.780
Dec 11, 202399.75199.75199.765
Dec 8, 202399.70799.70799.750
Dec 7, 202399.69299.69299.706
Dec 6, 202399.67799.67799.691
Dec 5, 202399.66299.66299.677
Dec 4, 202399.64899.64899.662
Dec 1, 202399.60499.60399.648
Nov 30, 202399.58999.58999.603
Nov 29, 202399.57599.57599.589

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.

4 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 912796ZN2.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Dec 27, 2022Dec 29, 2022New issue$34.0bn$38.5bn3.24x–
Jun 26, 2023Jun 29, 2023Reopening$58.0bn$62.6bn2.73x–
Sep 25, 2023Sep 28, 2023Reopening$69.0bn$71.7bn2.77x–
Nov 14, 2023Nov 16, 2023Reopening$75.0bn$75.0bn2.64x–

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.