Treasury bill · Matured

912797FQ5

Original term
17-Week
Maturity
Jun 27, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Jun 26, 2023
Analyzed through
Jun 23, 2023

Still priced, no longer analyzed. Risk numbers below are as of Jun 23, 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 23, 2023

Yield to maturity
5.064%
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 0.04 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%4.75%5.00%5.25%5.50%5.75%6.00%Feb 28, 2023Jun 23, 2023Feb 28, 2023Yield to maturity4.979%Mar 2, 2023Yield to maturity4.988%Mar 6, 2023Yield to maturity5.006%Mar 8, 2023Yield to maturity5.131%Mar 10, 2023Yield to maturity5.065%Mar 14, 2023Yield to maturity4.949%Mar 16, 2023Yield to maturity4.780%Mar 20, 2023Yield to maturity4.632%Mar 22, 2023Yield to maturity4.714%Mar 24, 2023Yield to maturity4.701%Mar 28, 2023Yield to maturity4.783%Mar 30, 2023Yield to maturity4.855%Apr 3, 2023Yield to maturity4.696%Apr 5, 2023Yield to maturity4.664%Apr 7, 2023Yield to maturity4.755%Apr 11, 2023Yield to maturity4.837%Apr 13, 2023Yield to maturity4.815%Apr 17, 2023Yield to maturity4.936%Apr 19, 2023Yield to maturity4.863%Apr 21, 2023Yield to maturity4.870%Apr 25, 2023Yield to maturity4.848%Apr 27, 2023Yield to maturity4.899%May 1, 2023Yield to maturity5.082%May 3, 2023Yield to maturity5.277%May 5, 2023Yield to maturity5.274%May 9, 2023Yield to maturity5.324%May 11, 2023Yield to maturity5.178%May 15, 2023Yield to maturity5.278%May 17, 2023Yield to maturity5.359%May 19, 2023Yield to maturity5.479%May 23, 2023Yield to maturity5.426%May 25, 2023Yield to maturity5.681%May 30, 2023Yield to maturity5.225%Jun 1, 2023Yield to maturity5.214%Jun 5, 2023Yield to maturity5.149%Jun 7, 2023Yield to maturity5.056%Jun 9, 2023Yield to maturity5.094%Jun 13, 2023Yield to maturity5.082%Jun 15, 2023Yield to maturity5.030%Jun 20, 2023Yield to maturity5.016%Jun 22, 2023Yield to maturity5.056%Jun 23, 2023Yield to maturity5.064%

Price history

83 trading days to Jun 26, 2023

98.2598.5098.7599.0099.2599.5099.75100.00Feb 28, 2023Jun 26, 2023Feb 28, 2023Close98.420Mar 2, 2023Close98.444Mar 6, 2023Close98.491Mar 8, 2023Close98.481Mar 10, 2023Close98.554Mar 14, 2023Close98.613Mar 16, 2023Close98.685Mar 20, 2023Close98.775Mar 22, 2023Close98.779Mar 24, 2023Close98.832Mar 28, 2023Close98.838Mar 30, 2023Close98.846Apr 3, 2023Close98.934Apr 5, 2023Close98.966Apr 7, 2023Close98.997Apr 11, 2023Close99.006Apr 13, 2023Close99.036Apr 17, 2023Close99.065Apr 19, 2023Close99.105Apr 21, 2023Close99.156Apr 25, 2023Close99.185Apr 27, 2023Close99.203May 1, 2023Close99.228May 3, 2023Close99.228May 5, 2023Close99.285May 9, 2023Close99.307May 11, 2023Close99.353May 15, 2023Close99.398May 17, 2023Close99.418May 19, 2023Close99.464May 23, 2023Close99.499May 25, 2023Close99.506May 30, 2023Close99.616Jun 1, 2023Close99.645Jun 5, 2023Close99.705Jun 7, 2023Close99.738Jun 9, 2023Close99.792Jun 13, 2023Close99.820Jun 15, 2023Close99.849Jun 20, 2023Close99.918Jun 22, 2023Close99.945Jun 26, 2023Close100.000
The most recent 20 trading days of prices for 912797FQ5.
DateBidOfferClose
Jun 26, 2023–99.986100.000
Jun 23, 2023–99.94499.986
Jun 22, 2023–99.93199.945
Jun 21, 2023–99.91799.931
Jun 20, 202399.90599.90499.918
Jun 16, 202399.85099.85099.903
Jun 15, 202399.83799.83699.849
Jun 14, 202399.82199.82099.834
Jun 13, 202399.80899.80699.820
Jun 12, 202399.79499.79399.806
Jun 9, 202399.75299.74999.792
Jun 8, 202399.73899.73699.751
Jun 7, 202399.72699.72499.738
Jun 6, 202399.70999.70899.724
Jun 5, 202399.69399.69199.705
Jun 2, 202399.65199.64999.690
Jun 1, 202399.63399.63299.645
May 31, 202399.62599.62499.633
May 30, 202399.60299.60199.616
May 26, 202399.51699.51499.572

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 912797FQ5.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Feb 22, 2023Feb 28, 2023New issue$36.0bn$36.6bn2.93x–
Apr 27, 2023May 2, 2023Reopening$45.0bn$46.0bn2.70x–
May 25, 2023May 30, 2023Reopening$35.0bn$35.8bn2.79x–

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.

Free to benchmark against. Paid only to track. Measuring anything against these curves and indices is free. No license, no fee, no registration, and no permission needed to say that you did, including in a prospectus. A fee applies to one thing: launching a product that tracks an index.

Safe Rate™, Safe Rate Indices™ and the Safe Rate US Treasury Index™ are trademarks of Safe Rate, claimed through use in commerce and not registered. Third-party marks are the property of their owners, which are not affiliated with and do not endorse this data.

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.