Treasury bill · Matured

912796ZR3

Original term
26-Week
Maturity
Jun 29, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Jun 28, 2023
Analyzed through
Jun 27, 2023

Still priced, no longer analyzed. Risk numbers below are as of Jun 27, 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 27, 2023

Yield to maturity
4.677%
Modified duration
0.003 yr
DV01
0.0000
Convexity
0.000
Dirty price
99.987

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 0.07 cents per 100 of face rich 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%4.75%5.00%5.25%5.50%5.75%Dec 29, 2022Jun 27, 2023Dec 29, 2022Yield to maturity4.742%Jan 4, 2023Yield to maturity4.760%Jan 9, 2023Yield to maturity4.842%Jan 12, 2023Yield to maturity4.734%Jan 18, 2023Yield to maturity4.751%Jan 23, 2023Yield to maturity4.790%Jan 26, 2023Yield to maturity4.789%Jan 31, 2023Yield to maturity4.733%Feb 3, 2023Yield to maturity4.751%Feb 8, 2023Yield to maturity4.759%Feb 13, 2023Yield to maturity4.809%Feb 16, 2023Yield to maturity4.859%Feb 22, 2023Yield to maturity4.845%Feb 27, 2023Yield to maturity4.842%Mar 2, 2023Yield to maturity4.874%Mar 7, 2023Yield to maturity4.986%Mar 10, 2023Yield to maturity4.993%Mar 15, 2023Yield to maturity4.772%Mar 20, 2023Yield to maturity4.602%Mar 23, 2023Yield to maturity4.673%Mar 28, 2023Yield to maturity4.774%Mar 31, 2023Yield to maturity4.812%Apr 5, 2023Yield to maturity4.811%Apr 10, 2023Yield to maturity4.973%Apr 13, 2023Yield to maturity4.837%Apr 18, 2023Yield to maturity4.947%Apr 21, 2023Yield to maturity4.996%Apr 26, 2023Yield to maturity4.983%May 1, 2023Yield to maturity4.990%May 4, 2023Yield to maturity5.246%May 9, 2023Yield to maturity5.263%May 12, 2023Yield to maturity5.177%May 17, 2023Yield to maturity5.391%May 22, 2023Yield to maturity5.428%May 25, 2023Yield to maturity5.528%May 31, 2023Yield to maturity5.175%Jun 5, 2023Yield to maturity5.120%Jun 8, 2023Yield to maturity5.057%Jun 13, 2023Yield to maturity5.063%Jun 16, 2023Yield to maturity4.967%Jun 22, 2023Yield to maturity4.772%Jun 27, 2023Yield to maturity4.677%

Price history

125 trading days to Jun 28, 2023

97.5098.0098.5099.0099.50100.00Dec 29, 2022Jun 28, 2023Dec 29, 2022Close97.702Jan 4, 2023Close97.769Jan 9, 2023Close97.795Jan 12, 2023Close97.880Jan 18, 2023Close97.947Jan 23, 2023Close97.994Jan 26, 2023Close98.032Jan 31, 2023Close98.117Feb 3, 2023Close98.173Feb 8, 2023Close98.207Feb 13, 2023Close98.252Feb 16, 2023Close98.273Feb 22, 2023Close98.355Feb 27, 2023Close98.420Mar 2, 2023Close98.453Mar 7, 2023Close98.484Mar 10, 2023Close98.548Mar 15, 2023Close98.650Mar 20, 2023Close98.758Mar 23, 2023Close98.777Mar 28, 2023Close98.814Mar 31, 2023Close98.869Apr 5, 2023Close98.908Apr 10, 2023Close98.938Apr 13, 2023Close99.006Apr 18, 2023Close99.049Apr 21, 2023Close99.107Apr 26, 2023Close99.150May 1, 2023Close99.215May 4, 2023Close99.218May 9, 2023Close99.286May 12, 2023Close99.368May 17, 2023Close99.385May 22, 2023Close99.454May 25, 2023Close99.489May 31, 2023Close99.606Jun 5, 2023Close99.679Jun 8, 2023Close99.724Jun 13, 2023Close99.793Jun 16, 2023Close99.878Jun 22, 2023Close99.922Jun 27, 2023Close99.987Jun 28, 2023Close100.000
The most recent 20 trading days of prices for 912796ZR3.
DateBidOfferClose
Jun 28, 2023–99.987100.000
Jun 27, 2023–99.97499.987
Jun 26, 2023–99.96199.974
Jun 23, 2023–99.92199.961
Jun 22, 202399.90999.90899.922
Jun 21, 202399.89499.89399.909
Jun 20, 202399.87999.87899.892
Jun 16, 202399.82499.82399.878
Jun 15, 202399.81199.81099.823
Jun 14, 202399.79599.79399.806
Jun 13, 202399.78199.78099.793
Jun 12, 202399.76799.76699.779
Jun 9, 202399.72599.72299.764
Jun 8, 202399.71099.70899.724
Jun 7, 202399.70099.69899.711
Jun 6, 202399.68399.68199.698
Jun 5, 202399.66799.66599.679
Jun 2, 202399.63099.62899.663
Jun 1, 202399.60699.60399.617
May 31, 202399.59099.58899.606

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 912796ZR3.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Dec 27, 2022Dec 29, 2022New issue$45.0bn$51.0bn2.56x–
Mar 27, 2023Mar 30, 2023Reopening$57.0bn$63.3bn2.51x–

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.