Treasury bill · Matured

912796ZQ5

Original term
26-Week
Maturity
Jun 22, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Jun 21, 2023
Analyzed through
Jun 20, 2023

Still priced, no longer analyzed. Risk numbers below are as of Jun 20, 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 20, 2023

Yield to maturity
5.003%
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 0.01 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, 123 observations

4.50%4.75%5.00%5.25%5.50%5.75%6.00%Dec 22, 2022Jun 20, 2023Dec 22, 2022Yield to maturity4.679%Dec 28, 2022Yield to maturity4.654%Jan 3, 2023Yield to maturity4.703%Jan 6, 2023Yield to maturity4.774%Jan 11, 2023Yield to maturity4.815%Jan 17, 2023Yield to maturity4.737%Jan 20, 2023Yield to maturity4.692%Jan 25, 2023Yield to maturity4.732%Jan 30, 2023Yield to maturity4.708%Feb 2, 2023Yield to maturity4.685%Feb 7, 2023Yield to maturity4.735%Feb 10, 2023Yield to maturity4.794%Feb 15, 2023Yield to maturity4.814%Feb 21, 2023Yield to maturity4.862%Feb 24, 2023Yield to maturity4.817%Mar 1, 2023Yield to maturity4.870%Mar 6, 2023Yield to maturity4.930%Mar 9, 2023Yield to maturity5.011%Mar 14, 2023Yield to maturity4.851%Mar 17, 2023Yield to maturity4.536%Mar 22, 2023Yield to maturity4.773%Mar 27, 2023Yield to maturity4.749%Mar 30, 2023Yield to maturity4.831%Apr 4, 2023Yield to maturity4.765%Apr 7, 2023Yield to maturity4.835%Apr 12, 2023Yield to maturity4.833%Apr 17, 2023Yield to maturity4.881%Apr 20, 2023Yield to maturity4.910%Apr 25, 2023Yield to maturity4.886%Apr 28, 2023Yield to maturity4.945%May 3, 2023Yield to maturity5.242%May 8, 2023Yield to maturity5.320%May 11, 2023Yield to maturity5.205%May 16, 2023Yield to maturity5.407%May 19, 2023Yield to maturity5.526%May 24, 2023Yield to maturity5.811%May 30, 2023Yield to maturity5.273%Jun 2, 2023Yield to maturity5.126%Jun 7, 2023Yield to maturity5.063%Jun 12, 2023Yield to maturity5.018%Jun 15, 2023Yield to maturity4.976%Jun 20, 2023Yield to maturity5.003%

Price history

124 trading days to Jun 21, 2023

97.5098.0098.5099.0099.50100.00Dec 22, 2022Jun 21, 2023Dec 22, 2022Close97.732Dec 28, 2022Close97.817Jan 3, 2023Close97.869Jan 6, 2023Close97.900Jan 11, 2023Close97.920Jan 17, 2023Close98.028Jan 20, 2023Close98.108Jan 25, 2023Close98.130Jan 30, 2023Close98.201Feb 2, 2023Close98.247Feb 7, 2023Close98.291Feb 10, 2023Close98.334Feb 15, 2023Close98.365Feb 21, 2023Close98.427Feb 24, 2023Close98.505Mar 1, 2023Close98.532Mar 6, 2023Close98.579Mar 9, 2023Close98.596Mar 14, 2023Close98.705Mar 17, 2023Close98.849Mar 22, 2023Close98.827Mar 27, 2023Close98.896Mar 30, 2023Close98.916Apr 4, 2023Close98.995Apr 7, 2023Close99.045Apr 12, 2023Close99.084Apr 17, 2023Close99.141Apr 20, 2023Close99.175Apr 25, 2023Close99.245Apr 28, 2023Close99.302May 3, 2023Close99.303May 8, 2023Close99.364May 11, 2023Close99.420May 16, 2023Close99.471May 19, 2023Close99.534May 24, 2023Close99.557May 30, 2023Close99.684Jun 2, 2023Close99.762Jun 7, 2023Close99.807Jun 12, 2023Close99.877Jun 15, 2023Close99.918Jun 21, 2023Close100.000
The most recent 20 trading days of prices for 912796ZQ5.
DateBidOfferClose
Jun 21, 2023–99.986100.000
Jun 20, 2023–99.97399.986
Jun 16, 2023–99.91899.973
Jun 15, 202399.90599.90499.918
Jun 14, 202399.89199.89099.904
Jun 13, 202399.87799.87699.890
Jun 12, 202399.86399.86299.877
Jun 9, 202399.82299.81999.862
Jun 8, 202399.80799.80699.820
Jun 7, 202399.79599.79399.807
Jun 6, 202399.78199.77999.793
Jun 5, 202399.76699.76399.777
Jun 2, 202399.72799.72499.762
Jun 1, 202399.70499.70299.714
May 31, 202399.69199.68999.704
May 30, 202399.67499.67199.684
May 26, 202399.60999.60599.661
May 25, 202399.57199.56699.585
May 24, 202399.55699.55099.557
May 23, 202399.56099.55299.563

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 912796ZQ5.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Dec 19, 2022Dec 22, 2022New issue$45.0bn$46.5bn2.86x–
Mar 20, 2023Mar 23, 2023Reopening$57.0bn$58.7bn2.41x–

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.