Treasury bill · Matured

912797FL6

Original term
26-Week
Maturity
Nov 24, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Nov 22, 2023
Analyzed through
Nov 21, 2023

Still priced, no longer analyzed. Risk numbers below are as of Nov 21, 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 21, 2023

Yield to maturity
5.370%
Modified duration
0.005 yr
DV01
0.0001
Convexity
0.000
Dirty price
99.971

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 0.005 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 0.03 cents per 100 of face cheap to the curve on that day.

Shown as a price rather than a yield. This bill is 3 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

5.25%5.50%5.75%6.00%6.25%6.50%6.75%7.00%May 25, 2023Nov 21, 2023May 25, 2023Yield to maturity5.429%May 31, 2023Yield to maturity5.425%Jun 5, 2023Yield to maturity5.463%Jun 8, 2023Yield to maturity5.407%Jun 13, 2023Yield to maturity5.361%Jun 16, 2023Yield to maturity5.345%Jun 22, 2023Yield to maturity5.333%Jun 27, 2023Yield to maturity5.350%Jun 30, 2023Yield to maturity5.399%Jul 6, 2023Yield to maturity5.396%Jul 11, 2023Yield to maturity5.424%Jul 14, 2023Yield to maturity5.420%Jul 19, 2023Yield to maturity5.428%Jul 24, 2023Yield to maturity5.434%Jul 27, 2023Yield to maturity5.474%Aug 1, 2023Yield to maturity5.438%Aug 4, 2023Yield to maturity5.445%Aug 9, 2023Yield to maturity5.442%Aug 14, 2023Yield to maturity5.449%Aug 17, 2023Yield to maturity5.436%Aug 22, 2023Yield to maturity5.463%Aug 25, 2023Yield to maturity5.501%Aug 30, 2023Yield to maturity5.477%Sep 5, 2023Yield to maturity5.462%Sep 8, 2023Yield to maturity5.448%Sep 13, 2023Yield to maturity5.456%Sep 18, 2023Yield to maturity5.441%Sep 21, 2023Yield to maturity5.439%Sep 26, 2023Yield to maturity5.435%Sep 29, 2023Yield to maturity5.441%Oct 4, 2023Yield to maturity5.449%Oct 10, 2023Yield to maturity5.485%Oct 13, 2023Yield to maturity5.440%Oct 18, 2023Yield to maturity5.427%Oct 23, 2023Yield to maturity5.434%Oct 26, 2023Yield to maturity5.400%Oct 31, 2023Yield to maturity5.396%Nov 3, 2023Yield to maturity5.392%Nov 8, 2023Yield to maturity5.380%Nov 13, 2023Yield to maturity5.376%Nov 16, 2023Yield to maturity5.343%Nov 21, 2023Yield to maturity5.370%

Price history

125 trading days to Nov 22, 2023

97.0097.5098.0098.5099.0099.50100.00May 25, 2023Nov 22, 2023May 25, 2023Close97.371May 31, 2023Close97.458Jun 5, 2023Close97.511Jun 8, 2023Close97.578Jun 13, 2023Close97.668Jun 16, 2023Close97.758Jun 22, 2023Close97.805Jun 27, 2023Close97.868Jun 30, 2023Close97.920Jul 6, 2023Close97.978Jul 11, 2023Close98.039Jul 14, 2023Close98.111Jul 19, 2023Close98.151Jul 24, 2023Close98.221Jul 27, 2023Close98.251Aug 1, 2023Close98.334Aug 4, 2023Close98.404Aug 9, 2023Close98.448Aug 14, 2023Close98.519Aug 17, 2023Close98.565Aug 22, 2023Close98.631Aug 25, 2023Close98.695Aug 30, 2023Close98.744Sep 5, 2023Close98.835Sep 8, 2023Close98.911Sep 13, 2023Close98.953Sep 18, 2023Close99.028Sep 21, 2023Close99.073Sep 26, 2023Close99.146Sep 29, 2023Close99.218Oct 4, 2023Close99.261Oct 10, 2023Close99.345Oct 13, 2023Close99.424Oct 18, 2023Close99.469Oct 23, 2023Close99.542Oct 26, 2023Close99.589Oct 31, 2023Close99.662Nov 3, 2023Close99.736Nov 8, 2023Close99.780Nov 13, 2023Close99.853Nov 16, 2023Close99.898Nov 21, 2023Close99.971Nov 22, 2023Close100.000
The most recent 20 trading days of prices for 912797FL6.
DateBidOfferClose
Nov 22, 2023–99.971100.000
Nov 21, 2023–99.95699.971
Nov 20, 2023–99.94299.956
Nov 17, 202399.89899.89899.941
Nov 16, 202399.88399.88399.898
Nov 15, 202399.86899.86899.883
Nov 14, 202399.85499.85399.868
Nov 13, 202399.83999.83999.853
Nov 10, 202399.79599.79599.839
Nov 9, 202399.78099.78099.795
Nov 8, 202399.76699.76599.780
Nov 7, 202399.75199.75199.765
Nov 6, 202399.73699.73699.751
Nov 3, 202399.69299.69199.736
Nov 2, 202399.67799.67799.691
Nov 1, 202399.66299.66199.677
Oct 31, 202399.64899.64799.662
Oct 30, 202399.63399.63399.647
Oct 27, 202399.58999.58999.633
Oct 26, 202399.57499.57399.589

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.

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 912797FL6.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
May 22, 2023May 25, 2023New issue$54.0bn$59.5bn2.96x–
Aug 21, 2023Aug 24, 2023Reopening$69.0bn$74.7bn2.96x–
Oct 10, 2023Oct 12, 2023Reopening$70.0bn$70.0bn2.74x–

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.