Treasury bill · Matured

912796ZU6

Original term
119-Day
Maturity
Feb 14, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Feb 13, 2023
Analyzed through
Feb 10, 2023

Still priced, no longer analyzed. Risk numbers below are as of Feb 10, 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 10, 2023

Yield to maturity
4.604%
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 0.05 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

4.0%4.1%4.2%4.3%4.4%4.5%4.6%4.7%Oct 18, 2022Feb 10, 2023Oct 18, 2022Yield to maturity4.141%Oct 20, 2022Yield to maturity4.192%Oct 24, 2022Yield to maturity4.200%Oct 26, 2022Yield to maturity4.158%Oct 28, 2022Yield to maturity4.197%Nov 1, 2022Yield to maturity4.238%Nov 3, 2022Yield to maturity4.258%Nov 7, 2022Yield to maturity4.204%Nov 9, 2022Yield to maturity4.161%Nov 14, 2022Yield to maturity4.149%Nov 16, 2022Yield to maturity4.168%Nov 18, 2022Yield to maturity4.229%Nov 22, 2022Yield to maturity4.238%Nov 25, 2022Yield to maturity4.256%Nov 29, 2022Yield to maturity4.307%Dec 1, 2022Yield to maturity4.192%Dec 5, 2022Yield to maturity4.201%Dec 7, 2022Yield to maturity4.056%Dec 9, 2022Yield to maturity4.033%Dec 13, 2022Yield to maturity4.012%Dec 15, 2022Yield to maturity4.042%Dec 19, 2022Yield to maturity4.112%Dec 21, 2022Yield to maturity4.090%Dec 23, 2022Yield to maturity4.078%Dec 28, 2022Yield to maturity4.077%Dec 30, 2022Yield to maturity4.116%Jan 4, 2023Yield to maturity4.125%Jan 6, 2023Yield to maturity4.184%Jan 10, 2023Yield to maturity4.408%Jan 12, 2023Yield to maturity4.356%Jan 17, 2023Yield to maturity4.476%Jan 19, 2023Yield to maturity4.454%Jan 23, 2023Yield to maturity4.452%Jan 25, 2023Yield to maturity4.431%Jan 27, 2023Yield to maturity4.429%Jan 31, 2023Yield to maturity4.377%Feb 2, 2023Yield to maturity4.477%Feb 6, 2023Yield to maturity4.485%Feb 8, 2023Yield to maturity4.555%Feb 10, 2023Yield to maturity4.604%

Price history

80 trading days to Feb 13, 2023

98.5098.7599.0099.2599.5099.75100.00Oct 18, 2022Feb 13, 2023Oct 18, 2022Close98.679Oct 20, 2022Close98.685Oct 24, 2022Close98.728Oct 26, 2022Close98.763Oct 28, 2022Close98.796Nov 1, 2022Close98.807Nov 3, 2022Close98.824Nov 7, 2022Close98.884Nov 9, 2022Close98.917Nov 14, 2022Close98.976Nov 16, 2022Close98.994Nov 18, 2022Close99.025Nov 22, 2022Close99.046Nov 25, 2022Close99.099Nov 29, 2022Close99.111Dec 1, 2022Close99.157Dec 5, 2022Close99.201Dec 7, 2022Close99.250Dec 9, 2022Close99.298Dec 13, 2022Close99.323Dec 15, 2022Close99.340Dec 19, 2022Close99.373Dec 21, 2022Close99.398Dec 23, 2022Close99.456Dec 28, 2022Close99.478Dec 30, 2022Close99.529Jan 4, 2023Close99.550Jan 6, 2023Close99.589Jan 10, 2023Close99.591Jan 12, 2023Close99.620Jan 17, 2023Close99.670Jan 19, 2023Close99.696Jan 23, 2023Close99.745Jan 25, 2023Close99.770Jan 27, 2023Close99.818Jan 31, 2023Close99.844Feb 2, 2023Close99.865Feb 6, 2023Close99.914Feb 8, 2023Close99.938Feb 10, 2023Close99.987Feb 13, 2023Close100.000
The most recent 20 trading days of prices for 912796ZU6.
DateBidOfferClose
Feb 13, 2023–99.987100.000
Feb 10, 2023–99.95099.987
Feb 9, 2023–99.93799.950
Feb 8, 2023–99.92699.938
Feb 7, 202399.91599.91499.926
Feb 6, 202399.90399.90299.914
Feb 3, 202399.86799.86699.901
Feb 2, 202399.85599.85499.865
Feb 1, 202399.84699.84499.855
Jan 31, 202399.83299.83199.844
Jan 30, 202399.82199.82099.830
Jan 27, 202399.78299.78099.818
Jan 26, 202399.77399.77199.782
Jan 25, 202399.75999.75799.770
Jan 24, 202399.74599.74599.757
Jan 23, 202399.73399.73299.745
Jan 20, 202399.69799.69499.731
Jan 19, 202399.68499.68499.696
Jan 18, 202399.67299.67199.683
Jan 17, 202399.65799.65599.670

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 912796ZU6.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Oct 12, 2022Oct 18, 2022New issue$33.0bn$33.0bn3.23x–
Dec 15, 2022Dec 20, 2022Reopening$45.0bn$46.2bn2.72x–
Jan 12, 2023Jan 17, 2023Reopening$60.0bn$61.0bn2.76x–

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.