Treasury bill · Matured

912797FG7

Original term
17-Week
Maturity
May 30, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
May 26, 2023
Analyzed through
May 25, 2023

Still priced, no longer analyzed. Risk numbers below are as of May 25, 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 25, 2023

Yield to maturity
3.122%
Modified duration
0.011 yr
DV01
0.0001
Convexity
0.000
Dirty price
99.966

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 0.011 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 4.98 cents per 100 of face rich to the curve on that day.

Shown as a price rather than a yield. This bill is 5 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

2.50%3.00%3.50%4.00%4.50%5.00%Jan 31, 2023May 25, 2023Jan 31, 2023Yield to maturity4.735%Feb 2, 2023Yield to maturity4.682%Feb 6, 2023Yield to maturity4.711%Feb 8, 2023Yield to maturity4.762%Feb 10, 2023Yield to maturity4.801%Feb 14, 2023Yield to maturity4.810%Feb 16, 2023Yield to maturity4.819%Feb 21, 2023Yield to maturity4.826%Feb 23, 2023Yield to maturity4.804%Feb 27, 2023Yield to maturity4.812%Mar 1, 2023Yield to maturity4.814%Mar 3, 2023Yield to maturity4.770%Mar 7, 2023Yield to maturity4.851%Mar 9, 2023Yield to maturity4.902%Mar 13, 2023Yield to maturity4.723%Mar 15, 2023Yield to maturity4.660%Mar 17, 2023Yield to maturity4.502%Mar 21, 2023Yield to maturity4.491%Mar 23, 2023Yield to maturity4.459%Mar 27, 2023Yield to maturity4.425%Mar 29, 2023Yield to maturity4.373%Mar 31, 2023Yield to maturity4.804%Apr 4, 2023Yield to maturity4.761%Apr 6, 2023Yield to maturity4.709%Apr 10, 2023Yield to maturity4.675%Apr 12, 2023Yield to maturity4.499%Apr 14, 2023Yield to maturity4.466%Apr 18, 2023Yield to maturity4.075%Apr 20, 2023Yield to maturity3.838%Apr 24, 2023Yield to maturity3.837%Apr 26, 2023Yield to maturity3.918%Apr 28, 2023Yield to maturity4.213%May 2, 2023Yield to maturity4.417%May 4, 2023Yield to maturity4.528%May 8, 2023Yield to maturity4.424%May 10, 2023Yield to maturity3.708%May 12, 2023Yield to maturity3.462%May 16, 2023Yield to maturity3.573%May 18, 2023Yield to maturity3.644%May 22, 2023Yield to maturity3.398%May 24, 2023Yield to maturity2.939%May 25, 2023Yield to maturity3.122%

Price history

83 trading days to May 26, 2023

98.2598.5098.7599.0099.2599.5099.75100.00Jan 31, 2023May 26, 2023Jan 31, 2023Close98.492Feb 2, 2023Close98.534Feb 6, 2023Close98.575Feb 8, 2023Close98.585Feb 10, 2023Close98.625Feb 14, 2023Close98.648Feb 16, 2023Close98.671Feb 21, 2023Close98.734Feb 23, 2023Close98.765Feb 27, 2023Close98.814Mar 1, 2023Close98.843Mar 3, 2023Close98.904Mar 7, 2023Close98.912Mar 9, 2023Close98.927Mar 13, 2023Close99.016Mar 15, 2023Close99.054Mar 17, 2023Close99.134Mar 21, 2023Close99.160Mar 23, 2023Close99.190Mar 27, 2023Close99.244Mar 29, 2023Close99.276Mar 31, 2023Close99.257Apr 4, 2023Close99.290Apr 6, 2023Close99.323Apr 10, 2023Close99.378Apr 12, 2023Close99.426Apr 14, 2023Close99.478Apr 18, 2023Close99.546Apr 20, 2023Close99.593Apr 24, 2023Close99.634Apr 26, 2023Close99.648Apr 28, 2023Close99.667May 2, 2023Close99.675May 4, 2023Close99.692May 8, 2023Close99.747May 10, 2023Close99.808May 12, 2023Close99.858May 16, 2023Close99.873May 18, 2023Close99.891May 22, 2023Close99.935May 24, 2023Close99.960May 26, 2023Close100.000
The most recent 20 trading days of prices for 912797FG7.
DateBidOfferClose
May 26, 2023–99.967100.000
May 25, 2023–99.95699.966
May 24, 2023–99.94799.960
May 23, 202399.94499.94199.954
May 22, 202399.91299.91099.935
May 19, 202399.87999.87599.907
May 18, 202399.88299.87899.891
May 17, 202399.87099.86799.878
May 16, 202399.86899.86499.873
May 15, 202399.86099.85699.865
May 12, 202399.83299.82699.858
May 11, 202399.81599.81199.820
May 10, 202399.78499.78399.808
May 9, 202399.75599.75399.771
May 8, 202399.73399.73199.747
May 5, 202399.69499.69299.725
May 4, 202399.68199.67899.692
May 3, 202399.67799.67499.679
May 2, 202399.66899.66599.675
May 1, 202399.66099.65599.662

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 912797FG7.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Jan 25, 2023Jan 31, 2023New issue$36.0bn$36.4bn2.90x–
Mar 30, 2023Apr 4, 2023Reopening$50.0bn$51.1bn2.47x–
Apr 27, 2023May 2, 2023Reopening$50.0bn$51.2bn2.50x–

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.