Treasury bill · Matured

912796ZS1

Original term
26-Week
Maturity
Jul 6, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Jul 5, 2023
Analyzed through
Jul 3, 2023

Still priced, no longer analyzed. Risk numbers below are as of Jul 3, 2023, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, July 3, 2023

Yield to maturity
5.104%
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 0.02 cents per 100 of face cheap to the curve on that day.

Shown as a price rather than a yield. This bill is 3 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

4.6%4.7%4.8%4.9%5.0%5.1%5.2%Jan 5, 2023Jul 3, 2023Jan 5, 2023Yield to maturity4.859%Jan 10, 2023Yield to maturity4.845%Jan 13, 2023Yield to maturity4.757%Jan 19, 2023Yield to maturity4.744%Jan 24, 2023Yield to maturity4.731%Jan 27, 2023Yield to maturity4.717%Feb 1, 2023Yield to maturity4.726%Feb 6, 2023Yield to maturity4.775%Feb 9, 2023Yield to maturity4.805%Feb 14, 2023Yield to maturity4.834%Feb 17, 2023Yield to maturity4.893%Feb 23, 2023Yield to maturity4.870%Feb 28, 2023Yield to maturity4.933%Mar 3, 2023Yield to maturity4.950%Mar 8, 2023Yield to maturity5.106%Mar 13, 2023Yield to maturity4.840%Mar 16, 2023Yield to maturity4.870%Mar 21, 2023Yield to maturity4.835%Mar 24, 2023Yield to maturity4.717%Mar 29, 2023Yield to maturity4.736%Apr 3, 2023Yield to maturity4.837%Apr 6, 2023Yield to maturity4.908%Apr 11, 2023Yield to maturity4.998%Apr 14, 2023Yield to maturity5.005%Apr 19, 2023Yield to maturity5.014%Apr 24, 2023Yield to maturity5.021%Apr 27, 2023Yield to maturity5.029%May 2, 2023Yield to maturity5.119%May 5, 2023Yield to maturity5.187%May 10, 2023Yield to maturity4.989%May 15, 2023Yield to maturity4.924%May 18, 2023Yield to maturity4.819%May 23, 2023Yield to maturity4.723%May 26, 2023Yield to maturity4.678%Jun 1, 2023Yield to maturity5.097%Jun 6, 2023Yield to maturity5.104%Jun 9, 2023Yield to maturity5.090%Jun 14, 2023Yield to maturity5.078%Jun 20, 2023Yield to maturity5.043%Jun 23, 2023Yield to maturity4.958%Jun 28, 2023Yield to maturity5.119%Jul 3, 2023Yield to maturity5.104%

Price history

125 trading days to Jul 5, 2023

97.5098.0098.5099.0099.50100.00Jan 5, 2023Jul 5, 2023Jan 5, 2023Close97.647Jan 10, 2023Close97.717Jan 13, 2023Close97.832Jan 19, 2023Close97.875Jan 24, 2023Close97.944Jan 27, 2023Close98.011Feb 1, 2023Close98.045Feb 6, 2023Close98.088Feb 9, 2023Close98.114Feb 14, 2023Close98.167Feb 17, 2023Close98.222Feb 23, 2023Close98.269Feb 28, 2023Close98.317Mar 3, 2023Close98.377Mar 8, 2023Close98.367Mar 13, 2023Close98.515Mar 16, 2023Close98.545Mar 21, 2023Close98.619Mar 24, 2023Close98.715Mar 29, 2023Close98.748Apr 3, 2023Close98.786Apr 6, 2023Close98.808Apr 11, 2023Close98.853Apr 14, 2023Close98.918Apr 19, 2023Close98.956Apr 24, 2023Close99.022Apr 27, 2023Close99.061May 2, 2023Close99.113May 5, 2023Close99.171May 10, 2023Close99.242May 15, 2023Close99.319May 18, 2023Close99.372May 23, 2023Close99.448May 26, 2023Close99.529Jun 1, 2023Close99.529Jun 6, 2023Close99.597Jun 9, 2023Close99.667Jun 14, 2023Close99.710Jun 20, 2023Close99.794Jun 23, 2023Close99.865Jun 28, 2023Close99.902Jul 3, 2023Close99.986Jul 5, 2023Close100.000
The most recent 20 trading days of prices for 912796ZS1.
DateBidOfferClose
Jul 5, 2023–99.986100.000
Jul 3, 2023–99.95899.986
Jun 30, 2023–99.91799.958
Jun 29, 202399.90399.90299.916
Jun 28, 202399.89199.89099.902
Jun 27, 202399.87899.87799.889
Jun 26, 202399.86599.86599.877
Jun 23, 202399.82599.82499.865
Jun 22, 202399.81099.80999.822
Jun 21, 202399.79599.79599.808
Jun 20, 202399.78299.78199.794
Jun 16, 202399.72799.72699.779
Jun 15, 202399.71499.71399.727
Jun 14, 202399.69999.69699.710
Jun 13, 202399.68499.68299.697
Jun 12, 202399.67099.66899.681
Jun 9, 202399.63099.62699.667
Jun 8, 202399.61699.61399.626
Jun 7, 202399.60499.60099.616
Jun 6, 202399.58299.58099.597

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 912796ZS1.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Jan 3, 2023Jan 5, 2023New issue$45.0bn$50.8bn2.78x–
Apr 3, 2023Apr 6, 2023Reopening$57.0bn$63.6bn2.49x–

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.