Treasury bill · Matured

912797GF8

Original term
17-Week
Maturity
Aug 8, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Aug 7, 2023
Analyzed through
Aug 4, 2023

Still priced, no longer analyzed. Risk numbers below are as of Aug 4, 2023, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, August 4, 2023

Yield to maturity
5.348%
Modified duration
0.003 yr
DV01
0.0000
Convexity
0.000
Dirty price
99.985

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

4.9%5.0%5.1%5.2%5.3%5.4%Apr 11, 2023Aug 4, 2023Apr 11, 2023Yield to maturity5.073%Apr 13, 2023Yield to maturity5.051%Apr 17, 2023Yield to maturity5.195%Apr 19, 2023Yield to maturity5.162%Apr 21, 2023Yield to maturity5.138%Apr 25, 2023Yield to maturity5.095%Apr 27, 2023Yield to maturity5.146%May 1, 2023Yield to maturity5.185%May 3, 2023Yield to maturity5.173%May 5, 2023Yield to maturity5.253%May 9, 2023Yield to maturity5.231%May 11, 2023Yield to maturity5.094%May 15, 2023Yield to maturity5.070%May 17, 2023Yield to maturity5.059%May 19, 2023Yield to maturity5.129%May 23, 2023Yield to maturity5.158%May 25, 2023Yield to maturity5.157%May 30, 2023Yield to maturity5.174%Jun 1, 2023Yield to maturity5.131%Jun 5, 2023Yield to maturity5.211%Jun 7, 2023Yield to maturity5.158%Jun 9, 2023Yield to maturity5.227%Jun 13, 2023Yield to maturity5.184%Jun 15, 2023Yield to maturity5.162%Jun 20, 2023Yield to maturity5.169%Jun 22, 2023Yield to maturity5.198%Jun 26, 2023Yield to maturity5.195%Jun 28, 2023Yield to maturity5.204%Jun 30, 2023Yield to maturity5.263%Jul 5, 2023Yield to maturity5.230%Jul 7, 2023Yield to maturity5.278%Jul 11, 2023Yield to maturity5.266%Jul 13, 2023Yield to maturity5.255%Jul 17, 2023Yield to maturity5.252%Jul 19, 2023Yield to maturity5.271%Jul 21, 2023Yield to maturity5.319%Jul 25, 2023Yield to maturity5.327%Jul 27, 2023Yield to maturity5.356%Jul 31, 2023Yield to maturity5.343%Aug 2, 2023Yield to maturity5.362%Aug 4, 2023Yield to maturity5.348%

Price history

82 trading days to Aug 7, 2023

98.2598.5098.7599.0099.2599.5099.75100.00Apr 11, 2023Aug 7, 2023Apr 11, 2023Close98.391Apr 13, 2023Close98.424Apr 17, 2023Close98.435Apr 19, 2023Close98.472Apr 21, 2023Close98.534Apr 25, 2023Close98.573Apr 27, 2023Close98.586May 1, 2023Close98.631May 3, 2023Close98.661May 5, 2023Close98.697May 9, 2023Close98.730May 11, 2023Close98.790May 15, 2023Close98.850May 17, 2023Close98.879May 19, 2023Close98.919May 23, 2023Close98.940May 25, 2023Close98.968May 30, 2023Close99.034Jun 1, 2023Close99.069Jun 5, 2023Close99.111Jun 7, 2023Close99.148Jun 9, 2023Close99.192Jun 13, 2023Close99.227Jun 15, 2023Close99.258Jun 20, 2023Close99.327Jun 22, 2023Close99.351Jun 26, 2023Close99.407Jun 28, 2023Close99.434Jun 30, 2023Close99.485Jul 5, 2023Close99.531Jul 7, 2023Close99.584Jul 11, 2023Close99.613Jul 13, 2023Close99.642Jul 17, 2023Close99.700Jul 19, 2023Close99.727Jul 21, 2023Close99.782Jul 25, 2023Close99.811Jul 27, 2023Close99.839Jul 31, 2023Close99.898Aug 2, 2023Close99.927Aug 4, 2023Close99.985Aug 7, 2023Close100.000
The most recent 20 trading days of prices for 912797GF8.
DateBidOfferClose
Aug 7, 2023–99.985100.000
Aug 4, 2023–99.94199.985
Aug 3, 2023–99.92799.942
Aug 2, 2023–99.91299.927
Aug 1, 202399.89899.89899.912
Jul 31, 202399.88599.88499.898
Jul 28, 202399.84199.84099.884
Jul 27, 202399.82699.82599.839
Jul 26, 202399.81299.81199.826
Jul 25, 202399.79899.79799.811
Jul 24, 202399.78499.78399.797
Jul 21, 202399.74299.74099.782
Jul 20, 202399.72899.72799.741
Jul 19, 202399.71499.71399.727
Jul 18, 202399.70099.70099.714
Jul 17, 202399.68699.68599.700
Jul 14, 202399.64299.64299.686
Jul 13, 202399.62899.62699.642
Jul 12, 202399.61599.61499.627
Jul 11, 202399.59999.59899.613

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 912797GF8.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Apr 5, 2023Apr 11, 2023New issue$36.0bn$36.8bn2.81x–
Jun 8, 2023Jun 13, 2023Reopening$50.0bn$50.7bn2.86x–
Jul 6, 2023Jul 11, 2023Reopening$70.0bn$70.8bn2.54x–

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.