Treasury bill · Matured

912796ZT9

Original term
119-Day
Maturity
Feb 7, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Feb 6, 2023
Analyzed through
Feb 3, 2023

Still priced, no longer analyzed. Risk numbers below are as of Feb 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, February 3, 2023

Yield to maturity
4.401%
Modified duration
0.003 yr
DV01
0.0000
Convexity
0.000
Dirty price
99.988

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 rich to the curve on that day.

Shown as a price rather than a yield. This bill is 4 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, 79 observations

3.8%3.9%4.0%4.1%4.2%4.3%4.4%4.5%Oct 11, 2022Feb 3, 2023Oct 11, 2022Yield to maturity3.860%Oct 13, 2022Yield to maturity4.004%Oct 17, 2022Yield to maturity3.992%Oct 19, 2022Yield to maturity4.137%Oct 21, 2022Yield to maturity4.125%Oct 25, 2022Yield to maturity4.155%Oct 27, 2022Yield to maturity4.133%Oct 31, 2022Yield to maturity4.183%Nov 2, 2022Yield to maturity4.203%Nov 4, 2022Yield to maturity4.160%Nov 8, 2022Yield to maturity4.179%Nov 10, 2022Yield to maturity4.156%Nov 15, 2022Yield to maturity4.155%Nov 17, 2022Yield to maturity4.134%Nov 21, 2022Yield to maturity4.194%Nov 23, 2022Yield to maturity4.192%Nov 28, 2022Yield to maturity4.211%Nov 30, 2022Yield to maturity4.220%Dec 2, 2022Yield to maturity4.146%Dec 6, 2022Yield to maturity4.073%Dec 8, 2022Yield to maturity3.836%Dec 12, 2022Yield to maturity4.050%Dec 14, 2022Yield to maturity4.008%Dec 16, 2022Yield to maturity4.027%Dec 20, 2022Yield to maturity4.016%Dec 22, 2022Yield to maturity3.984%Dec 27, 2022Yield to maturity3.921%Dec 29, 2022Yield to maturity3.869%Jan 3, 2023Yield to maturity4.020%Jan 5, 2023Yield to maturity4.090%Jan 9, 2023Yield to maturity4.252%Jan 11, 2023Yield to maturity4.271%Jan 13, 2023Yield to maturity4.269%Jan 18, 2023Yield to maturity4.278%Jan 20, 2023Yield to maturity4.286%Jan 24, 2023Yield to maturity4.204%Jan 26, 2023Yield to maturity4.284%Jan 30, 2023Yield to maturity4.272%Feb 1, 2023Yield to maturity4.312%Feb 3, 2023Yield to maturity4.401%

Price history

80 trading days to Feb 6, 2023

98.5098.7599.0099.2599.5099.75100.00Oct 11, 2022Feb 6, 2023Oct 11, 2022Close98.768Oct 13, 2022Close98.743Oct 17, 2022Close98.790Oct 19, 2022Close98.769Oct 21, 2022Close98.816Oct 25, 2022Close98.830Oct 27, 2022Close98.858Oct 31, 2022Close98.889Nov 2, 2022Close98.907Nov 4, 2022Close98.962Nov 8, 2022Close98.980Nov 10, 2022Close99.041Nov 15, 2022Close99.064Nov 17, 2022Close99.091Nov 21, 2022Close99.123Nov 23, 2022Close99.157Nov 28, 2022Close99.199Nov 30, 2022Close99.220Dec 2, 2022Close99.278Dec 6, 2022Close99.313Dec 8, 2022Close99.373Dec 12, 2022Close99.382Dec 14, 2022Close99.410Dec 16, 2022Close99.451Dec 20, 2022Close99.475Dec 22, 2022Close99.500Dec 27, 2022Close99.562Dec 29, 2022Close99.588Jan 3, 2023Close99.627Jan 5, 2023Close99.643Jan 9, 2023Close99.675Jan 11, 2023Close99.697Jan 13, 2023Close99.755Jan 18, 2023Close99.778Jan 20, 2023Close99.824Jan 24, 2023Close99.850Jan 26, 2023Close99.871Jan 30, 2023Close99.918Feb 1, 2023Close99.941Feb 3, 2023Close99.988Feb 6, 2023Close100.000
The most recent 20 trading days of prices for 912796ZT9.
DateBidOfferClose
Feb 6, 2023–99.988100.000
Feb 3, 2023–99.95399.988
Feb 2, 2023–99.94199.952
Feb 1, 2023–99.93099.941
Jan 31, 202399.91999.91899.930
Jan 30, 202399.90799.90699.918
Jan 27, 202399.87299.87199.905
Jan 26, 202399.86299.86199.871
Jan 25, 202399.85199.85099.861
Jan 24, 202399.83999.83899.850
Jan 23, 202399.82699.82499.838
Jan 20, 202399.79099.78899.824
Jan 19, 202399.77999.77799.787
Jan 18, 202399.76999.76699.778
Jan 17, 202399.75599.75499.764
Jan 13, 202399.71399.70999.755
Jan 12, 202399.70099.69899.710
Jan 11, 202399.68999.68799.697
Jan 10, 202399.67499.67399.685
Jan 9, 202399.66499.66399.675

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.

3 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 912796ZT9.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Oct 5, 2022Oct 11, 2022New issue$30.0bn$30.0bn3.19x–
Dec 8, 2022Dec 13, 2022Reopening$45.0bn$46.5bn2.94x–
Jan 5, 2023Jan 10, 2023Reopening$45.0bn$46.1bn2.79x–

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.