Treasury bill · Matured

912796ZP7

Original term
26-Week
Maturity
Jun 8, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Jun 7, 2023
Analyzed through
Jun 6, 2023

Still priced, no longer analyzed. Risk numbers below are as of Jun 6, 2023, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, June 6, 2023

Yield to maturity
5.043%
Modified duration
0.003 yr
DV01
0.0000
Convexity
0.000
Dirty price
99.986

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 0.05 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, 124 observations

4.50%5.00%5.50%6.00%6.50%7.00%7.50%Dec 8, 2022Jun 6, 2023Dec 8, 2022Yield to maturity4.721%Dec 13, 2022Yield to maturity4.697%Dec 16, 2022Yield to maturity4.673%Dec 21, 2022Yield to maturity4.618%Dec 27, 2022Yield to maturity4.636%Dec 30, 2022Yield to maturity4.674%Jan 5, 2023Yield to maturity4.694%Jan 10, 2023Yield to maturity4.764%Jan 13, 2023Yield to maturity4.750%Jan 19, 2023Yield to maturity4.738%Jan 24, 2023Yield to maturity4.714%Jan 27, 2023Yield to maturity4.721%Feb 1, 2023Yield to maturity4.730%Feb 6, 2023Yield to maturity4.769%Feb 9, 2023Yield to maturity4.808%Feb 14, 2023Yield to maturity4.816%Feb 17, 2023Yield to maturity4.854%Feb 23, 2023Yield to maturity4.820%Feb 28, 2023Yield to maturity4.830%Mar 3, 2023Yield to maturity4.859%Mar 8, 2023Yield to maturity5.034%Mar 13, 2023Yield to maturity4.822%Mar 16, 2023Yield to maturity4.716%Mar 21, 2023Yield to maturity4.599%Mar 24, 2023Yield to maturity4.627%Mar 29, 2023Yield to maturity4.646%Apr 3, 2023Yield to maturity4.747%Apr 6, 2023Yield to maturity4.745%Apr 11, 2023Yield to maturity4.742%Apr 14, 2023Yield to maturity4.790%Apr 19, 2023Yield to maturity4.799%Apr 24, 2023Yield to maturity4.899%Apr 27, 2023Yield to maturity4.866%May 2, 2023Yield to maturity5.479%May 5, 2023Yield to maturity5.372%May 10, 2023Yield to maturity5.513%May 15, 2023Yield to maturity5.570%May 18, 2023Yield to maturity5.547%May 23, 2023Yield to maturity6.126%May 26, 2023Yield to maturity6.038%Jun 1, 2023Yield to maturity5.271%Jun 6, 2023Yield to maturity5.043%

Price history

125 trading days to Jun 7, 2023

97.5098.0098.5099.0099.50100.00Dec 8, 2022Jun 7, 2023Dec 8, 2022Close97.712Dec 13, 2022Close97.785Dec 16, 2022Close97.858Dec 21, 2022Close97.919Dec 27, 2022Close97.984Dec 30, 2022Close98.041Jan 5, 2023Close98.070Jan 10, 2023Close98.105Jan 13, 2023Close98.186Jan 19, 2023Close98.228Jan 24, 2023Close98.299Jan 27, 2023Close98.359Feb 1, 2023Close98.394Feb 6, 2023Close98.444Feb 9, 2023Close98.469Feb 14, 2023Close98.531Feb 17, 2023Close98.597Feb 23, 2023Close98.645Feb 28, 2023Close98.710Mar 3, 2023Close98.768Mar 8, 2023Close98.764Mar 13, 2023Close98.880Mar 16, 2023Close98.942Mar 21, 2023Close99.029Mar 24, 2023Close99.085Mar 29, 2023Close99.119Apr 3, 2023Close99.164Apr 6, 2023Close99.203Apr 11, 2023Close99.267Apr 14, 2023Close99.324Apr 19, 2023Close99.362Apr 24, 2023Close99.415Apr 27, 2023Close99.458May 2, 2023Close99.464May 5, 2023Close99.547May 10, 2023Close99.580May 15, 2023Close99.651May 18, 2023Close99.698May 23, 2023Close99.750May 26, 2023Close99.852Jun 1, 2023Close99.914Jun 6, 2023Close99.986Jun 7, 2023Close100.000
The most recent 20 trading days of prices for 912796ZP7.
DateBidOfferClose
Jun 7, 2023–99.986100.000
Jun 6, 2023–99.97299.986
Jun 5, 2023–99.95999.972
Jun 2, 2023–99.91799.959
Jun 1, 202399.90099.89999.914
May 31, 202399.88699.88599.899
May 30, 202399.87499.87199.885
May 26, 202399.79399.79099.852
May 25, 202399.75099.74599.765
May 24, 202399.74699.74399.726
May 23, 202399.74499.74299.750
May 22, 202399.73899.73399.740
May 19, 202399.70099.69799.740
May 18, 202399.68699.68499.698
May 17, 202399.66599.66399.677
May 16, 202399.65499.65199.665
May 15, 202399.63999.63599.651
May 12, 202399.59699.59199.641
May 11, 202399.58199.57899.591
May 10, 202399.56599.56399.580

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.

2 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 912796ZP7.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Dec 5, 2022Dec 8, 2022New issue$45.0bn$48.8bn2.57x–
Mar 6, 2023Mar 9, 2023Reopening$57.0bn$61.0bn2.93x–

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.