Treasury bill · Matured

912797FK8

Original term
26-Week
Maturity
Nov 16, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Nov 15, 2023
Analyzed through
Nov 14, 2023

Still priced, no longer analyzed. Risk numbers below are as of Nov 14, 2023, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, November 14, 2023

Yield to maturity
5.328%
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 rich 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

5%6%7%8%9%10%11%May 18, 2023Nov 14, 2023May 18, 2023Yield to maturity5.354%May 23, 2023Yield to maturity5.307%May 26, 2023Yield to maturity5.388%Jun 1, 2023Yield to maturity5.396%Jun 6, 2023Yield to maturity5.424%Jun 9, 2023Yield to maturity5.399%Jun 14, 2023Yield to maturity5.354%Jun 20, 2023Yield to maturity5.317%Jun 23, 2023Yield to maturity5.335%Jun 28, 2023Yield to maturity5.375%Jul 3, 2023Yield to maturity5.402%Jul 7, 2023Yield to maturity5.387%Jul 12, 2023Yield to maturity5.427%Jul 17, 2023Yield to maturity5.433%Jul 20, 2023Yield to maturity5.441%Jul 25, 2023Yield to maturity5.469%Jul 28, 2023Yield to maturity5.465%Aug 2, 2023Yield to maturity5.431%Aug 7, 2023Yield to maturity5.458%Aug 10, 2023Yield to maturity5.456%Aug 15, 2023Yield to maturity5.441%Aug 18, 2023Yield to maturity5.437%Aug 23, 2023Yield to maturity5.445%Aug 28, 2023Yield to maturity5.473%Aug 31, 2023Yield to maturity5.439%Sep 6, 2023Yield to maturity5.424%Sep 11, 2023Yield to maturity5.420%Sep 14, 2023Yield to maturity5.417%Sep 19, 2023Yield to maturity5.424%Sep 22, 2023Yield to maturity5.409%Sep 27, 2023Yield to maturity5.417%Oct 2, 2023Yield to maturity5.423%Oct 5, 2023Yield to maturity5.462%Oct 11, 2023Yield to maturity5.457%Oct 16, 2023Yield to maturity5.433%Oct 19, 2023Yield to maturity5.410%Oct 24, 2023Yield to maturity5.385%Oct 27, 2023Yield to maturity5.381%Nov 1, 2023Yield to maturity5.379%Nov 6, 2023Yield to maturity5.365%Nov 9, 2023Yield to maturity10.725%Nov 14, 2023Yield to maturity5.328%

Price history

125 trading days to Nov 15, 2023

97.0097.5098.0098.5099.0099.50100.00May 18, 2023Nov 15, 2023May 18, 2023Close97.421May 23, 2023Close97.512May 26, 2023Close97.559Jun 1, 2023Close97.597Jun 6, 2023Close97.656Jun 9, 2023Close97.737Jun 14, 2023Close97.797Jun 20, 2023Close97.895Jun 23, 2023Close97.958Jun 28, 2023Close97.986Jul 3, 2023Close98.061Jul 7, 2023Close98.137Jul 12, 2023Close98.166Jul 17, 2023Close98.235Jul 20, 2023Close98.276Jul 25, 2023Close98.340Jul 28, 2023Close98.413Aug 2, 2023Close98.466Aug 7, 2023Close98.531Aug 10, 2023Close98.575Aug 15, 2023Close98.651Aug 18, 2023Close98.724Aug 23, 2023Close98.766Aug 28, 2023Close98.833Aug 31, 2023Close98.883Sep 6, 2023Close98.973Sep 11, 2023Close99.047Sep 14, 2023Close99.091Sep 19, 2023Close99.162Sep 22, 2023Close99.237Sep 27, 2023Close99.280Oct 2, 2023Close99.352Oct 5, 2023Close99.392Oct 11, 2023Close99.481Oct 16, 2023Close99.557Oct 19, 2023Close99.603Oct 24, 2023Close99.677Oct 27, 2023Close99.751Nov 1, 2023Close99.795Nov 6, 2023Close99.868Nov 9, 2023Close99.912Nov 14, 2023Close99.985Nov 15, 2023Close100.000
The most recent 20 trading days of prices for 912797FK8.
DateBidOfferClose
Nov 15, 2023–99.985100.000
Nov 14, 2023–99.97199.985
Nov 13, 2023–99.95699.971
Nov 10, 2023–99.91299.956
Nov 9, 202399.89899.89899.912
Nov 8, 202399.88399.88399.898
Nov 7, 202399.86899.86899.883
Nov 6, 202399.85399.85399.868
Nov 3, 202399.81099.80999.853
Nov 2, 202399.79599.79599.810
Nov 1, 202399.78199.78099.795
Oct 31, 202399.76699.76699.780
Oct 30, 202399.75199.75199.766
Oct 27, 202399.70799.70699.751
Oct 26, 202399.69399.69299.706
Oct 25, 202399.67899.67799.692
Oct 24, 202399.66399.66399.677
Oct 23, 202399.64899.64799.663
Oct 20, 202399.60499.60399.648
Oct 19, 202399.58999.58899.603

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 912797FK8.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
May 15, 2023May 18, 2023New issue$51.0bn$57.7bn2.61x–
Aug 14, 2023Aug 17, 2023Reopening$69.0bn$76.1bn3.12x–
Oct 3, 2023Oct 5, 2023Reopening$65.0bn$65.0bn2.46x–

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.

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.