Treasury bill · Matured

912797FX0

Original term
17-Week
Maturity
Jul 11, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Jul 10, 2023
Analyzed through
Jul 7, 2023

Still priced, no longer analyzed. Risk numbers below are as of Jul 7, 2023, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, July 7, 2023

Yield to maturity
5.104%
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 0.01 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, 81 observations

4.7%4.8%4.9%5.0%5.1%5.2%5.3%Mar 14, 2023Jul 7, 2023Mar 14, 2023Yield to maturity4.958%Mar 16, 2023Yield to maturity4.915%Mar 20, 2023Yield to maturity4.881%Mar 22, 2023Yield to maturity4.837%Mar 24, 2023Yield to maturity4.762%Mar 28, 2023Yield to maturity4.855%Mar 30, 2023Yield to maturity4.874%Apr 3, 2023Yield to maturity4.872%Apr 5, 2023Yield to maturity4.849%Apr 7, 2023Yield to maturity4.920%Apr 11, 2023Yield to maturity5.012%Apr 13, 2023Yield to maturity4.980%Apr 17, 2023Yield to maturity5.102%Apr 19, 2023Yield to maturity4.996%Apr 21, 2023Yield to maturity4.973%Apr 25, 2023Yield to maturity5.003%Apr 27, 2023Yield to maturity5.022%May 1, 2023Yield to maturity4.998%May 3, 2023Yield to maturity5.153%May 5, 2023Yield to maturity5.201%May 9, 2023Yield to maturity5.283%May 11, 2023Yield to maturity4.826%May 15, 2023Yield to maturity4.896%May 17, 2023Yield to maturity4.988%May 19, 2023Yield to maturity5.170%May 23, 2023Yield to maturity5.066%May 25, 2023Yield to maturity5.085%May 30, 2023Yield to maturity5.226%Jun 1, 2023Yield to maturity5.173%Jun 5, 2023Yield to maturity5.211%Jun 7, 2023Yield to maturity5.107%Jun 9, 2023Yield to maturity5.135%Jun 13, 2023Yield to maturity5.133%Jun 15, 2023Yield to maturity5.081%Jun 20, 2023Yield to maturity5.097%Jun 22, 2023Yield to maturity5.076%Jun 26, 2023Yield to maturity5.083%Jun 28, 2023Yield to maturity5.143%Jun 30, 2023Yield to maturity5.109%Jul 5, 2023Yield to maturity5.138%Jul 7, 2023Yield to maturity5.104%

Price history

82 trading days to Jul 10, 2023

98.2598.5098.7599.0099.2599.5099.75100.00Mar 14, 2023Jul 10, 2023Mar 14, 2023Close98.427Mar 16, 2023Close98.466Mar 20, 2023Close98.528Mar 22, 2023Close98.567Mar 24, 2023Close98.640Mar 28, 2023Close98.639Mar 30, 2023Close98.660Apr 3, 2023Close98.712Apr 5, 2023Close98.744Apr 7, 2023Close98.778Apr 11, 2023Close98.782Apr 13, 2023Close98.817Apr 17, 2023Close98.843Apr 19, 2023Close98.893Apr 21, 2023Close98.951Apr 25, 2023Close98.972Apr 27, 2023Close98.995May 1, 2023Close99.053May 3, 2023Close99.052May 5, 2023Close99.099May 9, 2023Close99.113May 11, 2023Close99.215May 15, 2023Close99.256May 17, 2023Close99.269May 19, 2023Close99.299May 23, 2023Close99.340May 25, 2023Close99.365May 30, 2023Close99.418Jun 1, 2023Close99.452Jun 5, 2023Close99.504Jun 7, 2023Close99.542Jun 9, 2023Close99.595Jun 13, 2023Close99.623Jun 15, 2023Close99.654Jun 20, 2023Close99.722Jun 22, 2023Close99.751Jun 26, 2023Close99.806Jun 28, 2023Close99.832Jun 30, 2023Close99.888Jul 5, 2023Close99.930Jul 7, 2023Close99.986Jul 10, 2023Close100.000
The most recent 20 trading days of prices for 912797FX0.
DateBidOfferClose
Jul 10, 2023–99.986100.000
Jul 7, 2023–99.94499.986
Jul 6, 2023–99.93099.944
Jul 5, 202399.91699.91699.930
Jul 3, 202399.88999.88899.916
Jun 30, 202399.84899.84799.888
Jun 29, 202399.83399.83399.846
Jun 28, 202399.82199.82099.832
Jun 27, 202399.80799.80699.819
Jun 26, 202399.79499.79399.806
Jun 23, 202399.75299.75299.793
Jun 22, 202399.73899.73799.751
Jun 21, 202399.72499.72299.738
Jun 20, 202399.71099.71099.722
Jun 16, 202399.65599.65399.709
Jun 15, 202399.64099.63999.654
Jun 14, 202399.62599.62499.638
Jun 13, 202399.61099.60999.623
Jun 12, 202399.59299.59199.605
Jun 9, 202399.55599.55399.595

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 912797FX0.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Mar 8, 2023Mar 14, 2023New issue$36.0bn$36.7bn2.62x–
May 11, 2023May 16, 2023Reopening$35.0bn$36.0bn3.04x–
Jun 8, 2023Jun 13, 2023Reopening$60.0bn$60.8bn2.49x–

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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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.