Treasury bill · Matured

912797FP7

Original term
17-Week
Maturity
Jun 20, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Jun 16, 2023
Analyzed through
Jun 15, 2023

Still priced, no longer analyzed. Risk numbers below are as of Jun 15, 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 15, 2023

Yield to maturity
5.066%
Modified duration
0.011 yr
DV01
0.0001
Convexity
0.000
Dirty price
99.945

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 0.16 cents per 100 of face cheap 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

4.50%4.75%5.00%5.25%5.50%5.75%Feb 21, 2023Jun 15, 2023Feb 21, 2023Yield to maturity4.944%Feb 23, 2023Yield to maturity4.912%Feb 27, 2023Yield to maturity4.930%Mar 1, 2023Yield to maturity4.942%Mar 3, 2023Yield to maturity4.919%Mar 7, 2023Yield to maturity5.022%Mar 9, 2023Yield to maturity5.062%Mar 13, 2023Yield to maturity4.830%Mar 15, 2023Yield to maturity4.756%Mar 17, 2023Yield to maturity4.524%Mar 21, 2023Yield to maturity4.648%Mar 23, 2023Yield to maturity4.667%Mar 27, 2023Yield to maturity4.748%Mar 29, 2023Yield to maturity4.799%Mar 31, 2023Yield to maturity4.869%Apr 4, 2023Yield to maturity4.785%Apr 6, 2023Yield to maturity4.877%Apr 10, 2023Yield to maturity4.885%Apr 12, 2023Yield to maturity4.883%Apr 14, 2023Yield to maturity4.901%Apr 18, 2023Yield to maturity4.776%Apr 20, 2023Yield to maturity4.919%Apr 24, 2023Yield to maturity4.989%Apr 26, 2023Yield to maturity4.936%Apr 28, 2023Yield to maturity4.944%May 2, 2023Yield to maturity5.334%May 4, 2023Yield to maturity5.291%May 8, 2023Yield to maturity5.278%May 10, 2023Yield to maturity5.245%May 12, 2023Yield to maturity5.222%May 16, 2023Yield to maturity5.405%May 18, 2023Yield to maturity5.393%May 22, 2023Yield to maturity5.605%May 24, 2023Yield to maturity5.737%May 26, 2023Yield to maturity5.599%May 31, 2023Yield to maturity5.209%Jun 2, 2023Yield to maturity5.114%Jun 6, 2023Yield to maturity5.001%Jun 8, 2023Yield to maturity5.040%Jun 12, 2023Yield to maturity4.997%Jun 14, 2023Yield to maturity5.087%Jun 15, 2023Yield to maturity5.066%

Price history

83 trading days to Jun 16, 2023

98.2598.5098.7599.0099.2599.5099.75100.00Feb 21, 2023Jun 16, 2023Feb 21, 2023Close98.427Feb 23, 2023Close98.463Feb 27, 2023Close98.510Mar 1, 2023Close98.536Mar 3, 2023Close98.596Mar 7, 2023Close98.593Mar 9, 2023Close98.609Mar 13, 2023Close98.723Mar 15, 2023Close98.768Mar 17, 2023Close98.876Mar 21, 2023Close98.870Mar 23, 2023Close98.890Mar 27, 2023Close98.922Mar 29, 2023Close98.936Mar 31, 2023Close98.973Apr 4, 2023Close99.016Apr 6, 2023Close99.024Apr 10, 2023Close99.074Apr 12, 2023Close99.101Apr 14, 2023Close99.150Apr 18, 2023Close99.197Apr 20, 2023Close99.200Apr 24, 2023Close99.242Apr 26, 2023Close99.277Apr 28, 2023Close99.329May 2, 2023Close99.305May 4, 2023Close99.339May 8, 2023Close99.398May 10, 2023Close99.430May 12, 2023Close99.489May 16, 2023Close99.500May 18, 2023Close99.531May 22, 2023Close99.573May 24, 2023Close99.594May 26, 2023Close99.680May 31, 2023Close99.730Jun 2, 2023Close99.791Jun 6, 2023Close99.823Jun 8, 2023Close99.849Jun 12, 2023Close99.905Jun 14, 2023Close99.931Jun 16, 2023Close100.000
The most recent 20 trading days of prices for 912797FP7.
DateBidOfferClose
Jun 16, 2023–99.945100.000
Jun 15, 2023–99.93199.945
Jun 14, 2023–99.91799.931
Jun 13, 202399.90599.90499.918
Jun 12, 202399.89199.89099.905
Jun 9, 202399.84999.84799.890
Jun 8, 202399.83599.83399.849
Jun 7, 202399.82499.82299.835
Jun 6, 202399.80899.80699.823
Jun 5, 202399.79299.79099.803
Jun 2, 202399.75199.74999.791
Jun 1, 202399.73299.73099.743
May 31, 202399.71899.71599.730
May 30, 202399.69999.69799.711
May 26, 202399.62299.61899.680
May 25, 202399.59899.59599.615
May 24, 202399.58799.58399.594
May 23, 202399.58599.58199.587
May 22, 202399.56099.55799.573
May 19, 202399.52899.52499.568

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 912797FP7.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Feb 15, 2023Feb 21, 2023New issue$36.0bn$36.7bn2.93x–
Apr 20, 2023Apr 25, 2023Reopening$45.0bn$46.1bn2.47x–
May 18, 2023May 23, 2023Reopening$35.0bn$35.9bn3.15x–

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.