Treasury bill · Matured

912797FF9

Original term
17-Week
Maturity
May 23, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
May 22, 2023
Analyzed through
May 19, 2023

Still priced, no longer analyzed. Risk numbers below are as of May 19, 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 19, 2023

Yield to maturity
4.769%
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 0.34 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, 83 observations

3.25%3.50%3.75%4.00%4.25%4.50%4.75%5.00%Jan 24, 2023May 19, 2023Jan 24, 2023Yield to maturity4.756%Jan 26, 2023Yield to maturity4.734%Jan 30, 2023Yield to maturity4.732%Feb 1, 2023Yield to maturity4.710%Feb 3, 2023Yield to maturity4.728%Feb 7, 2023Yield to maturity4.727%Feb 9, 2023Yield to maturity4.757%Feb 13, 2023Yield to maturity4.785%Feb 15, 2023Yield to maturity4.784%Feb 17, 2023Yield to maturity4.802%Feb 22, 2023Yield to maturity4.801%Feb 24, 2023Yield to maturity4.829%Feb 28, 2023Yield to maturity4.800%Mar 2, 2023Yield to maturity4.777%Mar 6, 2023Yield to maturity4.775%Mar 8, 2023Yield to maturity4.867%Mar 10, 2023Yield to maturity4.885%Mar 14, 2023Yield to maturity4.718%Mar 16, 2023Yield to maturity4.634%Mar 20, 2023Yield to maturity4.580%Mar 22, 2023Yield to maturity4.538%Mar 24, 2023Yield to maturity4.412%Mar 28, 2023Yield to maturity4.298%Mar 30, 2023Yield to maturity4.667%Apr 3, 2023Yield to maturity4.696%Apr 5, 2023Yield to maturity4.653%Apr 7, 2023Yield to maturity4.579%Apr 11, 2023Yield to maturity4.486%Apr 13, 2023Yield to maturity4.290%Apr 17, 2023Yield to maturity4.113%Apr 19, 2023Yield to maturity3.805%Apr 21, 2023Yield to maturity3.343%Apr 25, 2023Yield to maturity3.997%Apr 27, 2023Yield to maturity4.201%May 1, 2023Yield to maturity4.505%May 3, 2023Yield to maturity4.320%May 5, 2023Yield to maturity4.390%May 9, 2023Yield to maturity4.062%May 11, 2023Yield to maturity4.000%May 15, 2023Yield to maturity4.508%May 17, 2023Yield to maturity4.557%May 19, 2023Yield to maturity4.769%

Price history

84 trading days to May 22, 2023

98.2598.5098.7599.0099.2599.5099.75100.00Jan 24, 2023May 22, 2023Jan 24, 2023Close98.486Jan 26, 2023Close98.518Jan 30, 2023Close98.569Feb 1, 2023Close98.601Feb 3, 2023Close98.646Feb 7, 2023Close98.671Feb 9, 2023Close98.688Feb 13, 2023Close98.731Feb 15, 2023Close98.757Feb 17, 2023Close98.817Feb 22, 2023Close98.843Feb 24, 2023Close98.888Feb 28, 2023Close98.923Mar 2, 2023Close98.954Mar 6, 2023Close99.005Mar 8, 2023Close99.013Mar 10, 2023Close99.061Mar 14, 2023Close99.118Mar 16, 2023Close99.159Mar 20, 2023Close99.218Mar 22, 2023Close99.249Mar 24, 2023Close99.318Mar 28, 2023Close99.358Mar 30, 2023Close99.329Apr 3, 2023Close99.375Apr 5, 2023Close99.406Apr 7, 2023Close99.465Apr 11, 2023Close99.500Apr 13, 2023Close99.545Apr 17, 2023Close99.608Apr 19, 2023Close99.658Apr 21, 2023Close99.736Apr 25, 2023Close99.706Apr 27, 2023Close99.714May 1, 2023Close99.742May 3, 2023Close99.776May 5, 2023Close99.820May 9, 2023Close99.856May 11, 2023Close99.880May 15, 2023Close99.914May 17, 2023Close99.938May 19, 2023Close99.987May 22, 2023Close100.000
The most recent 20 trading days of prices for 912797FF9.
DateBidOfferClose
May 22, 2023–99.987100.000
May 19, 2023–99.94999.987
May 18, 2023–99.93999.951
May 17, 2023–99.92599.938
May 16, 202399.91499.91399.926
May 15, 202399.90699.90499.914
May 12, 202399.87999.87799.912
May 11, 202399.88599.88499.880
May 10, 202399.85599.85399.866
May 9, 202399.84699.84499.856
May 8, 202399.82499.82299.834
May 5, 202399.78799.78499.820
May 4, 202399.77499.77299.787
May 3, 202399.76799.76399.776
May 2, 202399.75099.74999.763
May 1, 202399.73899.73199.742
Apr 28, 202399.71799.71599.740
Apr 27, 202399.73099.72899.714
Apr 26, 202399.72799.72599.738
Apr 25, 202399.72999.72799.706

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 912797FF9.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Jan 18, 2023Jan 24, 2023New issue$36.0bn$36.6bn2.97x–
Mar 23, 2023Mar 28, 2023Reopening$50.0bn$51.0bn2.97x–
Apr 20, 2023Apr 25, 2023Reopening$50.0bn$51.2bn3.01x–

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.