Treasury bill · Matured

912797FM4

Original term
17-Week
Maturity
Jun 6, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Jun 5, 2023
Analyzed through
Jun 2, 2023

Still priced, no longer analyzed. Risk numbers below are as of Jun 2, 2023, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, June 2, 2023

Yield to maturity
5.176%
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 0.05 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

4.50%5.00%5.50%6.00%6.50%7.00%Feb 7, 2023Jun 2, 2023Feb 7, 2023Yield to maturity4.777%Feb 9, 2023Yield to maturity4.807%Feb 13, 2023Yield to maturity4.836%Feb 15, 2023Yield to maturity4.845%Feb 17, 2023Yield to maturity4.852%Feb 22, 2023Yield to maturity4.861%Feb 24, 2023Yield to maturity4.838%Feb 28, 2023Yield to maturity4.840%Mar 2, 2023Yield to maturity4.849%Mar 6, 2023Yield to maturity4.846%Mar 8, 2023Yield to maturity4.991%Mar 10, 2023Yield to maturity4.946%Mar 14, 2023Yield to maturity4.841%Mar 16, 2023Yield to maturity4.736%Mar 20, 2023Yield to maturity4.599%Mar 22, 2023Yield to maturity4.680%Mar 24, 2023Yield to maturity4.637%Mar 28, 2023Yield to maturity4.563%Mar 30, 2023Yield to maturity4.686%Apr 3, 2023Yield to maturity4.735%Apr 5, 2023Yield to maturity4.775%Apr 7, 2023Yield to maturity4.814%Apr 11, 2023Yield to maturity4.792%Apr 13, 2023Yield to maturity4.739%Apr 17, 2023Yield to maturity4.747%Apr 19, 2023Yield to maturity4.787%Apr 21, 2023Yield to maturity4.867%Apr 25, 2023Yield to maturity4.886%Apr 27, 2023Yield to maturity4.834%May 1, 2023Yield to maturity4.852%May 3, 2023Yield to maturity5.528%May 5, 2023Yield to maturity5.422%May 9, 2023Yield to maturity5.512%May 11, 2023Yield to maturity5.541%May 15, 2023Yield to maturity5.528%May 17, 2023Yield to maturity5.639%May 19, 2023Yield to maturity5.605%May 23, 2023Yield to maturity6.297%May 25, 2023Yield to maturity6.805%May 30, 2023Yield to maturity5.403%Jun 1, 2023Yield to maturity5.554%Jun 2, 2023Yield to maturity5.176%

Price history

83 trading days to Jun 5, 2023

98.2598.5098.7599.0099.2599.5099.75100.00Feb 7, 2023Jun 5, 2023Feb 7, 2023Close98.479Feb 9, 2023Close98.495Feb 13, 2023Close98.538Feb 15, 2023Close98.561Feb 17, 2023Close98.623Feb 22, 2023Close98.647Feb 24, 2023Close98.705Feb 28, 2023Close98.734Mar 2, 2023Close98.757Mar 6, 2023Close98.809Mar 8, 2023Close98.801Mar 10, 2023Close98.864Mar 14, 2023Close98.914Mar 16, 2023Close98.963Mar 20, 2023Close99.042Mar 22, 2023Close99.050Mar 24, 2023Close99.109Mar 28, 2023Close99.147Mar 30, 2023Close99.149Apr 3, 2023Close99.192Apr 5, 2023Close99.210Apr 7, 2023Close99.256Apr 11, 2023Close99.285Apr 13, 2023Close99.318Apr 17, 2023Close99.368Apr 19, 2023Close99.389Apr 21, 2023Close99.431Apr 25, 2023Close99.456Apr 27, 2023Close99.488May 1, 2023Close99.538May 3, 2023Close99.504May 5, 2023Close99.572May 9, 2023Close99.595May 11, 2023Close99.623May 15, 2023Close99.684May 17, 2023Close99.708May 19, 2023Close99.771May 23, 2023Close99.777May 25, 2023Close99.796May 30, 2023Close99.912Jun 1, 2023Close99.939Jun 5, 2023Close100.000
The most recent 20 trading days of prices for 912797FM4.
DateBidOfferClose
Jun 5, 2023–99.986100.000
Jun 2, 2023–99.94299.986
Jun 1, 2023–99.92799.939
May 31, 2023–99.91399.927
May 30, 202399.90099.89999.912
May 26, 202399.83299.83099.891
May 25, 202399.78499.77999.796
May 24, 202399.77399.77099.773
May 23, 202399.77299.77099.777
May 22, 202399.76699.76499.772
May 19, 202399.72999.72599.771
May 18, 202399.71199.70899.726
May 17, 202399.69599.69499.708
May 16, 202399.68899.68499.696
May 15, 202399.67399.66999.684
May 12, 202399.62399.61899.672
May 11, 202399.61099.60999.623
May 10, 202399.59399.59199.611
May 9, 202399.58299.58099.595
May 8, 202399.57699.57499.586

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 912797FM4.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Feb 1, 2023Feb 7, 2023New issue$36.0bn$36.6bn2.86x–
Apr 6, 2023Apr 11, 2023Reopening$50.0bn$51.0bn2.50x–
May 4, 2023May 9, 2023Reopening$50.0bn$51.2bn2.51x–
Jun 2, 2023Jun 5, 2023Reopening$15.0bn$15.0bn4.11x–

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.