Treasury bill · Matured

912796ZY8

Original term
52-Week
Maturity
Jan 25, 2024
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Jan 24, 2024
Analyzed through
Jan 23, 2024

Still priced, no longer analyzed. Risk numbers below are as of Jan 23, 2024, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, January 23, 2024

Yield to maturity
5.328%
Modified duration
0.003 yr
DV01
0.0000
Convexity
0.000
Dirty price
99.985

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, 249 observations

4.00%4.25%4.50%4.75%5.00%5.25%5.50%5.75%Jan 26, 2023Jan 23, 2024Jan 26, 2023Yield to maturity4.680%Feb 3, 2023Yield to maturity4.795%Feb 13, 2023Yield to maturity4.922%Feb 22, 2023Yield to maturity5.037%Mar 2, 2023Yield to maturity4.971%Mar 10, 2023Yield to maturity4.890%Mar 20, 2023Yield to maturity4.423%Mar 28, 2023Yield to maturity4.592%Apr 5, 2023Yield to maturity4.482%Apr 13, 2023Yield to maturity4.748%Apr 21, 2023Yield to maturity4.776%May 1, 2023Yield to maturity4.763%May 9, 2023Yield to maturity4.750%May 17, 2023Yield to maturity4.704%May 25, 2023Yield to maturity5.045%Jun 5, 2023Yield to maturity5.052%Jun 13, 2023Yield to maturity5.050%Jun 22, 2023Yield to maturity5.123%Jun 30, 2023Yield to maturity5.261%Jul 11, 2023Yield to maturity5.345%Jul 19, 2023Yield to maturity5.387%Jul 27, 2023Yield to maturity5.525%Aug 4, 2023Yield to maturity5.485%Aug 14, 2023Yield to maturity5.499%Aug 22, 2023Yield to maturity5.504%Aug 30, 2023Yield to maturity5.497%Sep 8, 2023Yield to maturity5.477%Sep 18, 2023Yield to maturity5.471%Sep 26, 2023Yield to maturity5.485%Oct 4, 2023Yield to maturity5.479%Oct 13, 2023Yield to maturity5.501%Oct 23, 2023Yield to maturity5.463%Oct 31, 2023Yield to maturity5.477%Nov 8, 2023Yield to maturity5.419%Nov 16, 2023Yield to maturity5.392%Nov 27, 2023Yield to maturity5.393%Dec 5, 2023Yield to maturity5.387%Dec 13, 2023Yield to maturity5.401%Dec 21, 2023Yield to maturity5.364%Jan 2, 2024Yield to maturity5.396%Jan 10, 2024Yield to maturity5.359%Jan 19, 2024Yield to maturity5.319%Jan 23, 2024Yield to maturity5.328%

Price history

250 trading days to Jan 24, 2024

9596979899100Jan 26, 2023Jan 24, 2024Jan 26, 2023Close95.503Feb 3, 2023Close95.519Feb 13, 2023Close95.505Feb 22, 2023Close95.520Mar 2, 2023Close95.690Mar 10, 2023Close95.884Mar 20, 2023Close96.358Mar 28, 2023Close96.317Apr 5, 2023Close96.496Apr 13, 2023Close96.393Apr 21, 2023Close96.496May 1, 2023Close96.605May 9, 2023Close96.714May 17, 2023Close96.843May 25, 2023Close96.726Jun 5, 2023Close96.867Jun 13, 2023Close96.975Jun 22, 2023Close97.054Jun 30, 2023Close97.116Jul 11, 2023Close97.198Jul 19, 2023Close97.291Jul 27, 2023Close97.340Aug 4, 2023Close97.501Aug 14, 2023Close97.609Aug 22, 2023Close97.722Aug 30, 2023Close97.840Sep 8, 2023Close98.005Sep 18, 2023Close98.123Sep 26, 2023Close98.233Oct 4, 2023Close98.351Oct 13, 2023Close98.505Oct 23, 2023Close98.631Oct 31, 2023Close98.744Nov 8, 2023Close98.873Nov 16, 2023Close98.994Nov 27, 2023Close99.153Dec 5, 2023Close99.269Dec 13, 2023Close99.384Dec 21, 2023Close99.504Jan 2, 2024Close99.677Jan 10, 2024Close99.795Jan 19, 2024Close99.956Jan 24, 2024Close100.000
The most recent 20 trading days of prices for 912796ZY8.
DateBidOfferClose
Jan 24, 2024–99.985100.000
Jan 23, 2024–99.97199.985
Jan 22, 2024–99.95699.971
Jan 19, 2024–99.91399.956
Jan 18, 202499.89899.89899.912
Jan 17, 202499.88399.88399.898
Jan 16, 202499.86999.86999.884
Jan 12, 202499.81099.81099.868
Jan 11, 202499.79599.79599.810
Jan 10, 202499.78199.78099.795
Jan 9, 202499.76699.76699.780
Jan 8, 202499.75199.75199.766
Jan 5, 202499.70799.70799.751
Jan 4, 202499.69399.69299.707
Jan 3, 202499.67899.67799.691
Jan 2, 202499.66299.66199.677
Dec 29, 202399.60699.60499.661
Dec 28, 202399.59199.58999.605
Dec 27, 202399.57799.57699.591
Dec 26, 202399.56399.56399.577

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.

4 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 912796ZY8.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Jan 24, 2023Jan 26, 2023New issue$34.0bn$37.6bn2.87x–
Jul 24, 2023Jul 27, 2023Reopening$58.0bn$62.5bn2.89x–
Oct 23, 2023Oct 26, 2023Reopening$75.0bn$79.6bn2.85x–
Dec 12, 2023Dec 14, 2023Reopening$70.0bn$70.0bn2.85x–

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.