Treasury bill · Matured

912796ZZ5

Original term
26-Week
Maturity
Jul 20, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Jul 19, 2023
Analyzed through
Jul 18, 2023

Still priced, no longer analyzed. Risk numbers below are as of Jul 18, 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 18, 2023

Yield to maturity
5.094%
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 0.01 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, 125 observations

4.6%4.8%5.0%5.2%5.4%Jan 19, 2023Jul 18, 2023Jan 19, 2023Yield to maturity4.827%Jan 24, 2023Yield to maturity4.835%Jan 27, 2023Yield to maturity4.810%Feb 1, 2023Yield to maturity4.745%Feb 6, 2023Yield to maturity4.805%Feb 9, 2023Yield to maturity4.856%Feb 14, 2023Yield to maturity4.906%Feb 17, 2023Yield to maturity4.955%Feb 23, 2023Yield to maturity4.889%Feb 28, 2023Yield to maturity4.963%Mar 3, 2023Yield to maturity4.970%Mar 8, 2023Yield to maturity5.095%Mar 13, 2023Yield to maturity4.807%Mar 16, 2023Yield to maturity4.868%Mar 21, 2023Yield to maturity4.896%Mar 24, 2023Yield to maturity4.694%Mar 29, 2023Yield to maturity4.797%Apr 3, 2023Yield to maturity4.867%Apr 6, 2023Yield to maturity4.917%Apr 11, 2023Yield to maturity5.008%Apr 14, 2023Yield to maturity5.098%Apr 19, 2023Yield to maturity5.169%Apr 24, 2023Yield to maturity5.072%Apr 27, 2023Yield to maturity5.070%May 2, 2023Yield to maturity5.087%May 5, 2023Yield to maturity5.187%May 10, 2023Yield to maturity5.195%May 15, 2023Yield to maturity5.140%May 18, 2023Yield to maturity5.138%May 23, 2023Yield to maturity5.207%May 26, 2023Yield to maturity5.130%Jun 1, 2023Yield to maturity5.262%Jun 6, 2023Yield to maturity5.196%Jun 9, 2023Yield to maturity5.193%Jun 14, 2023Yield to maturity5.139%Jun 20, 2023Yield to maturity5.114%Jun 23, 2023Yield to maturity5.100%Jun 28, 2023Yield to maturity5.139%Jul 3, 2023Yield to maturity5.135%Jul 7, 2023Yield to maturity5.131%Jul 12, 2023Yield to maturity5.129%Jul 17, 2023Yield to maturity5.105%Jul 18, 2023Yield to maturity5.094%

Price history

126 trading days to Jul 19, 2023

97.5098.0098.5099.0099.50100.00Jan 19, 2023Jul 19, 2023Jan 19, 2023Close97.662Jan 24, 2023Close97.722Jan 27, 2023Close97.796Feb 1, 2023Close97.863Feb 6, 2023Close97.899Feb 9, 2023Close97.916Feb 14, 2023Close97.959Feb 17, 2023Close98.017Feb 23, 2023Close98.082Feb 28, 2023Close98.124Mar 3, 2023Close98.187Mar 8, 2023Close98.182Mar 13, 2023Close98.347Mar 16, 2023Close98.365Mar 21, 2023Close98.420Mar 24, 2023Close98.547Mar 29, 2023Close98.553Apr 3, 2023Close98.597Apr 6, 2023Close98.622Apr 11, 2023Close98.663Apr 14, 2023Close98.707Apr 19, 2023Close98.731Apr 24, 2023Close98.822Apr 27, 2023Close98.863May 2, 2023Close98.927May 5, 2023Close98.976May 10, 2023Close99.016May 15, 2023Close99.095May 18, 2023Close99.137May 23, 2023Close99.196May 26, 2023Close99.290Jun 1, 2023Close99.315Jun 6, 2023Close99.393Jun 9, 2023Close99.464Jun 14, 2023Close99.511Jun 20, 2023Close99.596Jun 23, 2023Close99.667Jun 28, 2023Close99.706Jul 3, 2023Close99.790Jul 7, 2023Close99.860Jul 12, 2023Close99.902Jul 17, 2023Close99.972Jul 19, 2023Close100.000
The most recent 20 trading days of prices for 912796ZZ5.
DateBidOfferClose
Jul 19, 2023–99.986100.000
Jul 18, 2023–99.97299.986
Jul 17, 2023–99.95899.972
Jul 14, 2023–99.91699.958
Jul 13, 202399.90299.90299.916
Jul 12, 202399.88899.88899.902
Jul 11, 202399.87499.87499.888
Jul 10, 202399.86199.86099.874
Jul 7, 202399.81999.81899.860
Jul 6, 202399.80599.80499.818
Jul 5, 202399.79199.79099.804
Jul 3, 202399.76399.76299.790
Jun 30, 202399.72299.72199.762
Jun 29, 202399.70799.70699.719
Jun 28, 202399.69699.69499.706
Jun 27, 202399.68299.68199.695
Jun 26, 202399.66899.66799.681
Jun 23, 202399.62799.62699.667
Jun 22, 202399.61399.61299.625
Jun 21, 202399.59899.59699.610

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 912796ZZ5.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Jan 17, 2023Jan 19, 2023New issue$48.0bn$53.2bn2.68x–
Apr 17, 2023Apr 20, 2023Reopening$57.0bn$63.6bn2.59x–
Jun 5, 2023Jun 6, 2023Reopening$50.0bn$50.0bn3.19x–

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.