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
-40.3 bp
Spread at auction
11.4 bp
Index rate
0.892%
Spread duration
0.003 yr
Spread DV01
0.0000
Clean price
100.001
Accrued
0.152
Dirty price
100.153
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 -4.52 standard deviations from its own typical margin.
Discount margin, 501 observations
Price history
502 trading days to Apr 29, 2022
The most recent 20 trading days of prices for 912828ZK9.
Date
Bid
Offer
Close
Apr 29, 2022
–
100.001
100.000
Apr 28, 2022
–
100.001
100.001
Apr 27, 2022
–
100.002
100.002
Apr 26, 2022
–
100.004
100.004
Apr 25, 2022
–
100.005
100.005
Apr 22, 2022
–
100.007
100.007
Apr 21, 2022
–
100.012
100.012
Apr 20, 2022
–
100.013
100.013
Apr 19, 2022
–
100.009
100.014
Apr 18, 2022
–
100.009
100.010
Apr 14, 2022
–
100.010
100.010
Apr 13, 2022
–
100.013
100.015
Apr 12, 2022
–
100.014
100.016
Apr 11, 2022
–
100.015
100.017
Apr 8, 2022
–
100.014
100.015
Apr 7, 2022
–
100.017
100.017
Apr 6, 2022
–
100.021
100.021
Apr 5, 2022
–
100.021
100.021
Apr 4, 2022
–
100.017
100.020
Apr 1, 2022
–
100.017
100.017
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.
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