Treasury bill · Matured

912797FR3

Original term
17-Week
Maturity
Jul 5, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Jul 3, 2023
Analyzed through
Jun 30, 2023

Still priced, no longer analyzed. Risk numbers below are as of Jun 30, 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 30, 2023

Yield to maturity
5.034%
Modified duration
0.005 yr
DV01
0.0001
Convexity
0.000
Dirty price
99.972

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 0.005 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 0.01 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

4.5%4.6%4.7%4.8%4.9%5.0%5.1%5.2%Mar 7, 2023Jun 30, 2023Mar 7, 2023Yield to maturity5.127%Mar 9, 2023Yield to maturity5.157%Mar 13, 2023Yield to maturity4.860%Mar 15, 2023Yield to maturity4.870%Mar 17, 2023Yield to maturity4.773%Mar 21, 2023Yield to maturity4.845%Mar 23, 2023Yield to maturity4.791%Mar 27, 2023Yield to maturity4.799%Mar 29, 2023Yield to maturity4.819%Mar 31, 2023Yield to maturity4.920%Apr 4, 2023Yield to maturity4.867%Apr 6, 2023Yield to maturity4.980%Apr 10, 2023Yield to maturity5.030%Apr 12, 2023Yield to maturity4.966%Apr 14, 2023Yield to maturity5.025%Apr 18, 2023Yield to maturity4.993%Apr 20, 2023Yield to maturity4.940%Apr 24, 2023Yield to maturity5.010%Apr 26, 2023Yield to maturity4.987%Apr 28, 2023Yield to maturity4.995%May 2, 2023Yield to maturity5.066%May 4, 2023Yield to maturity5.137%May 8, 2023Yield to maturity5.124%May 10, 2023Yield to maturity4.926%May 12, 2023Yield to maturity4.759%May 16, 2023Yield to maturity4.789%May 18, 2023Yield to maturity4.787%May 22, 2023Yield to maturity4.723%May 24, 2023Yield to maturity4.588%May 26, 2023Yield to maturity4.544%May 31, 2023Yield to maturity4.974%Jun 2, 2023Yield to maturity5.166%Jun 6, 2023Yield to maturity5.093%Jun 8, 2023Yield to maturity5.102%Jun 12, 2023Yield to maturity5.099%Jun 14, 2023Yield to maturity5.067%Jun 16, 2023Yield to maturity5.063%Jun 21, 2023Yield to maturity5.031%Jun 23, 2023Yield to maturity5.008%Jun 27, 2023Yield to maturity5.048%Jun 29, 2023Yield to maturity5.117%Jun 30, 2023Yield to maturity5.034%

Price history

83 trading days to Jul 3, 2023

98.2598.5098.7599.0099.2599.5099.75100.00Mar 7, 2023Jul 3, 2023Mar 7, 2023Close98.360Mar 9, 2023Close98.378Mar 13, 2023Close98.522Mar 15, 2023Close98.545Mar 17, 2023Close98.624Mar 21, 2023Close98.629Mar 23, 2023Close98.670Mar 27, 2023Close98.719Mar 29, 2023Close98.739Mar 31, 2023Close98.765Apr 4, 2023Close98.804Apr 6, 2023Close98.803Apr 10, 2023Close98.845Apr 12, 2023Close98.886Apr 14, 2023Close98.927Apr 18, 2023Close98.960Apr 20, 2023Close98.998Apr 24, 2023Close99.038Apr 26, 2023Close99.069Apr 28, 2023Close99.121May 2, 2023Close99.135May 4, 2023Close99.151May 8, 2023Close99.208May 10, 2023Close99.265May 12, 2023Close99.341May 16, 2023Close99.363May 18, 2023Close99.389May 22, 2023Close99.448May 24, 2023Close99.489May 26, 2023Close99.555May 31, 2023Close99.540Jun 2, 2023Close99.578Jun 6, 2023Close99.612Jun 8, 2023Close99.639Jun 12, 2023Close99.694Jun 14, 2023Close99.724Jun 16, 2023Close99.793Jun 21, 2023Close99.822Jun 23, 2023Close99.877Jun 27, 2023Close99.904Jun 29, 2023Close99.930Jul 3, 2023Close100.000
The most recent 20 trading days of prices for 912797FR3.
DateBidOfferClose
Jul 3, 2023–99.973100.000
Jun 30, 2023–99.93199.972
Jun 29, 2023–99.91799.930
Jun 28, 202399.90599.90499.916
Jun 27, 202399.89199.89099.904
Jun 26, 202399.87899.87799.890
Jun 23, 202399.83699.83599.877
Jun 22, 202399.82399.82299.834
Jun 21, 202399.80899.80699.822
Jun 20, 202399.79599.79499.807
Jun 16, 202399.73999.73899.793
Jun 15, 202399.72899.72699.737
Jun 14, 202399.71299.71099.724
Jun 13, 202399.69999.69799.709
Jun 12, 202399.68399.68199.694
Jun 9, 202399.64299.64099.682
Jun 8, 202399.62899.62699.639
Jun 7, 202399.61999.61799.632
Jun 6, 202399.59599.59499.612
Jun 5, 202399.57599.57499.590

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 912797FR3.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Mar 1, 2023Mar 7, 2023New issue$36.0bn$36.6bn2.92x–
May 4, 2023May 9, 2023Reopening$45.0bn$46.1bn2.93x–
Jun 1, 2023Jun 6, 2023Reopening$35.0bn$35.7bn2.85x–

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.