A floating-rate note resets quarterly against the 13-week bill, so it has no yield to maturity: the cashflow schedule a yield would describe does not exist. What it has instead is a spread, the margin a buyer earns over that reference rate, and a sensitivity to that spread rather than to the level of rates.
Discount margin
27.7 bp
Spread at auction
6.9 bp
Index rate
0.250%
Spread duration
0.003 yr
Spread DV01
0.0000
Clean price
99.999
Accrued
0.090
Dirty price
100.089
Rate duration
0.0000 yr
Rate duration is almost zero, and that is the instrument rather than a missing number: because the coupon resets, the price barely moves when the level of rates moves. Spread duration is the one that matters here. It says how much the price moves if the market demands a wider margin.
Its current margin is 15.00 standard deviations from its own typical margin.
Discount margin, 371 observations
Price history
372 trading days to Apr 29, 2016
The most recent 20 trading days of prices for 912828D31.
Date
Bid
Offer
Close
Apr 29, 2016
–
100.000
100.000
Apr 28, 2016
–
99.999
99.999
Apr 27, 2016
–
99.999
100.000
Apr 26, 2016
–
100.000
100.000
Apr 25, 2016
–
100.000
100.000
Apr 22, 2016
–
100.000
100.000
Apr 21, 2016
–
100.000
100.000
Apr 20, 2016
–
100.000
100.000
Apr 19, 2016
–
100.000
100.000
Apr 18, 2016
–
100.000
100.001
Apr 15, 2016
–
100.000
100.001
Apr 14, 2016
–
100.000
100.001
Apr 13, 2016
–
100.001
100.001
Apr 12, 2016
–
100.001
100.001
Apr 11, 2016
–
100.001
100.001
Apr 8, 2016
–
100.001
100.001
Apr 7, 2016
–
100.002
100.001
Apr 6, 2016
–
100.002
100.002
Apr 5, 2016
–
100.002
100.003
Apr 4, 2016
–
100.003
100.004
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.
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.