Treasury bill · Matured

912797FV4

Original term
26-Week
Maturity
Dec 21, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Dec 20, 2023
Analyzed through
Dec 19, 2023

Still priced, no longer analyzed. Risk numbers below are as of Dec 19, 2023, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, December 19, 2023

Yield to maturity
5.389%
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 0.04 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, 125 observations

5.3%5.4%5.5%5.6%5.7%5.8%5.9%Jun 22, 2023Dec 19, 2023Jun 22, 2023Yield to maturity5.407%Jun 27, 2023Yield to maturity5.435%Jun 30, 2023Yield to maturity5.463%Jul 6, 2023Yield to maturity5.460%Jul 11, 2023Yield to maturity5.488%Jul 14, 2023Yield to maturity5.463%Jul 19, 2023Yield to maturity5.449%Jul 24, 2023Yield to maturity5.467%Jul 27, 2023Yield to maturity5.496%Aug 1, 2023Yield to maturity5.471%Aug 4, 2023Yield to maturity5.456%Aug 9, 2023Yield to maturity5.464%Aug 14, 2023Yield to maturity5.450%Aug 17, 2023Yield to maturity5.458%Aug 22, 2023Yield to maturity5.443%Aug 25, 2023Yield to maturity5.460%Aug 30, 2023Yield to maturity5.479%Sep 5, 2023Yield to maturity5.463%Sep 8, 2023Yield to maturity5.459%Sep 13, 2023Yield to maturity5.467%Sep 18, 2023Yield to maturity5.453%Sep 21, 2023Yield to maturity5.492%Sep 26, 2023Yield to maturity5.488%Sep 29, 2023Yield to maturity5.463%Oct 4, 2023Yield to maturity5.471%Oct 10, 2023Yield to maturity5.466%Oct 13, 2023Yield to maturity5.472%Oct 18, 2023Yield to maturity5.449%Oct 23, 2023Yield to maturity5.466%Oct 26, 2023Yield to maturity5.443%Oct 31, 2023Yield to maturity5.439%Nov 3, 2023Yield to maturity5.414%Nov 8, 2023Yield to maturity5.412%Nov 13, 2023Yield to maturity5.397%Nov 16, 2023Yield to maturity5.405%Nov 21, 2023Yield to maturity5.370%Nov 27, 2023Yield to maturity5.386%Nov 30, 2023Yield to maturity5.374%Dec 5, 2023Yield to maturity5.380%Dec 8, 2023Yield to maturity5.376%Dec 13, 2023Yield to maturity5.384%Dec 18, 2023Yield to maturity5.359%Dec 19, 2023Yield to maturity5.389%

Price history

126 trading days to Dec 20, 2023

97.0097.5098.0098.5099.0099.50100.00Jun 22, 2023Dec 20, 2023Jun 22, 2023Close97.396Jun 27, 2023Close97.453Jun 30, 2023Close97.511Jul 6, 2023Close97.569Jul 11, 2023Close97.629Jul 14, 2023Close97.710Jul 19, 2023Close97.758Jul 24, 2023Close97.823Jul 27, 2023Close97.855Aug 1, 2023Close97.936Aug 4, 2023Close98.013Aug 9, 2023Close98.053Aug 14, 2023Close98.130Aug 17, 2023Close98.170Aug 22, 2023Close98.247Aug 25, 2023Close98.313Aug 30, 2023Close98.351Sep 5, 2023Close98.442Sep 8, 2023Close98.516Sep 13, 2023Close98.557Sep 18, 2023Close98.633Sep 21, 2023Close98.668Sep 26, 2023Close98.742Sep 29, 2023Close98.820Oct 4, 2023Close98.862Oct 10, 2023Close98.951Oct 13, 2023Close99.023Oct 18, 2023Close99.071Oct 23, 2023Close99.141Oct 26, 2023Close99.189Oct 31, 2023Close99.263Nov 3, 2023Close99.339Nov 8, 2023Close99.383Nov 13, 2023Close99.457Nov 16, 2023Close99.500Nov 21, 2023Close99.576Nov 27, 2023Close99.663Nov 30, 2023Close99.707Dec 5, 2023Close99.780Dec 8, 2023Close99.853Dec 13, 2023Close99.897Dec 18, 2023Close99.971Dec 20, 2023Close100.000
The most recent 20 trading days of prices for 912797FV4.
DateBidOfferClose
Dec 20, 2023–99.985100.000
Dec 19, 2023–99.97199.985
Dec 18, 2023–99.95699.971
Dec 15, 2023–99.91299.956
Dec 14, 202399.89899.89799.912
Dec 13, 202399.88399.88399.897
Dec 12, 202399.86899.86899.883
Dec 11, 202399.85399.85399.868
Dec 8, 202399.80999.80999.853
Dec 7, 202399.79599.79599.809
Dec 6, 202399.78099.78099.794
Dec 5, 202399.76699.76599.780
Dec 4, 202399.75199.75199.765
Dec 1, 202399.70799.70799.751
Nov 30, 202399.69399.69299.707
Nov 29, 202399.67999.67899.692
Nov 28, 202399.66499.66399.677
Nov 27, 202399.64999.64899.663
Nov 24, 202399.60499.60399.647
Nov 22, 202399.57599.57599.603

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 912797FV4.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Jun 20, 2023Jun 22, 2023New issue$58.0bn$59.2bn2.65x–
Sep 18, 2023Sep 21, 2023Reopening$69.0bn$69.7bn2.86x–
Nov 7, 2023Nov 9, 2023Reopening$75.0bn$75.0bn2.84x–

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.