Treasury bill · Matured

912797FA0

Original term
26-Week
Maturity
Oct 12, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Oct 11, 2023
Analyzed through
Oct 10, 2023

Still priced, no longer analyzed. Risk numbers below are as of Oct 10, 2023, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, October 10, 2023

Yield to maturity
5.369%
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 0.00 cents per 100 of face cheap to the curve on that day.

Shown as a price rather than a yield. This bill is 2 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, 124 observations

4.9%5.0%5.1%5.2%5.3%5.4%5.5%Apr 13, 2023Oct 10, 2023Apr 13, 2023Yield to maturity4.947%Apr 18, 2023Yield to maturity5.083%Apr 21, 2023Yield to maturity5.058%Apr 26, 2023Yield to maturity5.002%May 1, 2023Yield to maturity5.073%May 4, 2023Yield to maturity5.039%May 9, 2023Yield to maturity5.174%May 12, 2023Yield to maturity5.276%May 17, 2023Yield to maturity5.263%May 22, 2023Yield to maturity5.344%May 25, 2023Yield to maturity5.395%May 31, 2023Yield to maturity5.443%Jun 5, 2023Yield to maturity5.428%Jun 8, 2023Yield to maturity5.373%Jun 13, 2023Yield to maturity5.327%Jun 16, 2023Yield to maturity5.312%Jun 22, 2023Yield to maturity5.352%Jun 27, 2023Yield to maturity5.358%Jun 30, 2023Yield to maturity5.365%Jul 6, 2023Yield to maturity5.383%Jul 11, 2023Yield to maturity5.421%Jul 14, 2023Yield to maturity5.406%Jul 19, 2023Yield to maturity5.404%Jul 24, 2023Yield to maturity5.421%Jul 27, 2023Yield to maturity5.429%Aug 1, 2023Yield to maturity5.414%Aug 4, 2023Yield to maturity5.431%Aug 9, 2023Yield to maturity5.408%Aug 14, 2023Yield to maturity5.404%Aug 17, 2023Yield to maturity5.422%Aug 22, 2023Yield to maturity5.408%Aug 25, 2023Yield to maturity5.424%Aug 30, 2023Yield to maturity5.432%Sep 5, 2023Yield to maturity5.396%Sep 8, 2023Yield to maturity5.403%Sep 13, 2023Yield to maturity5.400%Sep 18, 2023Yield to maturity5.386%Sep 21, 2023Yield to maturity5.384%Sep 26, 2023Yield to maturity5.380%Sep 29, 2023Yield to maturity5.366%Oct 4, 2023Yield to maturity5.363%Oct 10, 2023Yield to maturity5.369%

Price history

125 trading days to Oct 11, 2023

97.5098.0098.5099.0099.50100.00Apr 13, 2023Oct 11, 2023Apr 13, 2023Close97.612Apr 18, 2023Close97.614Apr 21, 2023Close97.692Apr 26, 2023Close97.755May 1, 2023Close97.790May 4, 2023Close97.844May 9, 2023Close97.856May 12, 2023Close97.883May 17, 2023Close97.930May 22, 2023Close97.969May 25, 2023Close97.992May 31, 2023Close98.060Jun 5, 2023Close98.137Jun 8, 2023Close98.198Jun 13, 2023Close98.283Jun 16, 2023Close98.372Jun 22, 2023Close98.403Jun 27, 2023Close98.472Jun 30, 2023Close98.541Jul 6, 2023Close98.594Jul 11, 2023Close98.656Jul 14, 2023Close98.731Jul 19, 2023Close98.775Jul 24, 2023Close98.844Jul 27, 2023Close98.885Aug 1, 2023Close98.961Aug 4, 2023Close99.030Aug 9, 2023Close99.078Aug 14, 2023Close99.151Aug 17, 2023Close99.192Aug 22, 2023Close99.267Aug 25, 2023Close99.338Aug 30, 2023Close99.380Sep 5, 2023Close99.472Sep 8, 2023Close99.544Sep 13, 2023Close99.589Sep 18, 2023Close99.663Sep 21, 2023Close99.707Sep 26, 2023Close99.780Sep 29, 2023Close99.854Oct 4, 2023Close99.898Oct 10, 2023Close99.985Oct 11, 2023Close100.000
The most recent 20 trading days of prices for 912797FA0.
DateBidOfferClose
Oct 11, 2023–99.985100.000
Oct 10, 2023–99.97199.985
Oct 6, 2023–99.91299.971
Oct 5, 202399.89899.89899.912
Oct 4, 202399.88399.88399.898
Oct 3, 202399.86899.86899.882
Oct 2, 202399.85399.85399.868
Sep 29, 202399.81099.80999.854
Sep 28, 202399.79599.79499.809
Sep 27, 202399.78099.78099.795
Sep 26, 202399.76699.76599.780
Sep 25, 202399.75199.75099.765
Sep 22, 202399.70799.70799.751
Sep 21, 202399.69399.69299.707
Sep 20, 202399.67899.67799.691
Sep 19, 202399.66399.66399.677
Sep 18, 202399.64899.64799.663
Sep 15, 202399.60599.60499.647
Sep 14, 202399.58999.58999.604
Sep 13, 202399.57599.57399.589

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.

4 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 912797FA0.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Apr 10, 2023Apr 13, 2023New issue$48.0bn$52.8bn2.70x–
May 11, 2023May 16, 2023Reopening$45.0bn$45.0bn2.33x–
Jul 10, 2023Jul 13, 2023Reopening$65.0bn$70.1bn3.12x–
Aug 29, 2023Aug 31, 2023Reopening$60.0bn$60.0bn2.81x–

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.