Treasury bill · Matured

912797FD4

Original term
17-Week
Maturity
May 9, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
May 8, 2023
Analyzed through
May 5, 2023

Still priced, no longer analyzed. Risk numbers below are as of May 5, 2023, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, May 5, 2023

Yield to maturity
4.993%
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 0.65 cents per 100 of face cheap 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, 82 observations

3.50%3.75%4.00%4.25%4.50%4.75%5.00%Jan 10, 2023May 5, 2023Jan 10, 2023Yield to maturity4.777%Jan 12, 2023Yield to maturity4.692%Jan 17, 2023Yield to maturity4.710%Jan 19, 2023Yield to maturity4.709%Jan 23, 2023Yield to maturity4.696%Jan 25, 2023Yield to maturity4.695%Jan 27, 2023Yield to maturity4.692%Jan 31, 2023Yield to maturity4.691%Feb 2, 2023Yield to maturity4.659%Feb 6, 2023Yield to maturity4.688%Feb 8, 2023Yield to maturity4.676%Feb 10, 2023Yield to maturity4.736%Feb 14, 2023Yield to maturity4.755%Feb 16, 2023Yield to maturity4.775%Feb 21, 2023Yield to maturity4.782%Feb 23, 2023Yield to maturity4.770%Feb 27, 2023Yield to maturity4.716%Mar 1, 2023Yield to maturity4.759%Mar 3, 2023Yield to maturity4.757%Mar 7, 2023Yield to maturity4.786%Mar 9, 2023Yield to maturity4.868%Mar 13, 2023Yield to maturity4.772%Mar 15, 2023Yield to maturity4.482%Mar 17, 2023Yield to maturity4.419%Mar 21, 2023Yield to maturity4.417%Mar 23, 2023Yield to maturity4.396%Mar 27, 2023Yield to maturity4.209%Mar 29, 2023Yield to maturity4.259%Mar 31, 2023Yield to maturity4.729%Apr 4, 2023Yield to maturity4.615%Apr 6, 2023Yield to maturity4.532%Apr 10, 2023Yield to maturity4.499%Apr 12, 2023Yield to maturity4.119%Apr 14, 2023Yield to maturity4.056%Apr 18, 2023Yield to maturity3.780%Apr 20, 2023Yield to maturity3.534%Apr 24, 2023Yield to maturity3.522%Apr 26, 2023Yield to maturity4.123%Apr 28, 2023Yield to maturity4.254%May 2, 2023Yield to maturity4.477%May 4, 2023Yield to maturity4.974%May 5, 2023Yield to maturity4.993%

Price history

83 trading days to May 8, 2023

98.2598.5098.7599.0099.2599.5099.75100.00Jan 10, 2023May 8, 2023Jan 10, 2023Close98.479Jan 12, 2023Close98.531Jan 17, 2023Close98.588Jan 19, 2023Close98.613Jan 23, 2023Close98.667Jan 25, 2023Close98.692Jan 27, 2023Close98.743Jan 31, 2023Close98.769Feb 2, 2023Close98.802Feb 6, 2023Close98.845Feb 8, 2023Close98.873Feb 10, 2023Close98.909Feb 14, 2023Close98.930Feb 16, 2023Close98.951Feb 21, 2023Close99.014Feb 23, 2023Close99.042Feb 27, 2023Close99.104Mar 1, 2023Close99.124Mar 3, 2023Close99.175Mar 7, 2023Close99.196Mar 9, 2023Close99.208Mar 13, 2023Close99.275Mar 15, 2023Close99.343Mar 17, 2023Close99.400Mar 21, 2023Close99.424Mar 23, 2023Close99.451Mar 27, 2023Close99.519Mar 29, 2023Close99.537Mar 31, 2023Close99.537Apr 4, 2023Close99.573Apr 6, 2023Close99.605Apr 10, 2023Close99.657Apr 12, 2023Close99.708Apr 14, 2023Close99.757Apr 18, 2023Close99.794Apr 20, 2023Close99.826Apr 24, 2023Close99.865Apr 26, 2023Close99.865Apr 28, 2023Close99.907May 2, 2023Close99.927May 4, 2023Close99.946May 8, 2023Close100.000
The most recent 20 trading days of prices for 912797FD4.
DateBidOfferClose
May 8, 2023–99.986100.000
May 5, 2023–99.94699.986
May 4, 2023–99.93799.946
May 3, 2023–99.92799.938
May 2, 202399.91899.91799.927
May 1, 202399.90299.90099.913
Apr 28, 202399.87399.87199.907
Apr 27, 202399.86899.86799.871
Apr 26, 202399.86199.85899.865
Apr 25, 202399.86399.86199.858
Apr 24, 202399.85799.85399.865
Apr 21, 202399.82399.82299.856
Apr 20, 202399.82099.81599.826
Apr 19, 202399.79999.79799.807
Apr 18, 202399.78599.77899.794
Apr 17, 202399.76199.75699.774
Apr 14, 202399.73099.72699.757
Apr 13, 202399.72299.71399.733
Apr 12, 202399.69899.69599.708
Apr 11, 202399.67399.67199.693

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 912797FD4.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Jan 4, 2023Jan 10, 2023New issue$33.0bn$33.8bn3.10x–
Mar 9, 2023Mar 14, 2023Reopening$55.0bn$56.0bn2.30x–
Apr 6, 2023Apr 11, 2023Reopening$60.0bn$61.3bn2.81x–

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.