Treasury bill · Matured

912797GP6

Original term
26-Week
Maturity
Feb 29, 2024
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Feb 28, 2024
Analyzed through
Feb 27, 2024

Still priced, no longer analyzed. Risk numbers below are as of Feb 27, 2024, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, February 27, 2024

Yield to maturity
5.287%
Modified duration
0.003 yr
DV01
0.0000
Convexity
0.000
Dirty price
99.986

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 0.02 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, 122 observations

5.25%5.30%5.35%5.40%5.45%5.50%5.55%5.60%Aug 31, 2023Feb 27, 2024Aug 31, 2023Yield to maturity5.514%Sep 6, 2023Yield to maturity5.531%Sep 11, 2023Yield to maturity5.516%Sep 14, 2023Yield to maturity5.524%Sep 19, 2023Yield to maturity5.520%Sep 22, 2023Yield to maturity5.516%Sep 27, 2023Yield to maturity5.524%Oct 2, 2023Yield to maturity5.530%Oct 5, 2023Yield to maturity5.517%Oct 11, 2023Yield to maturity5.523%Oct 16, 2023Yield to maturity5.540%Oct 19, 2023Yield to maturity5.537%Oct 24, 2023Yield to maturity5.502%Oct 27, 2023Yield to maturity5.497%Nov 1, 2023Yield to maturity5.495%Nov 6, 2023Yield to maturity5.470%Nov 9, 2023Yield to maturity5.598%Nov 14, 2023Yield to maturity5.411%Nov 17, 2023Yield to maturity5.407%Nov 22, 2023Yield to maturity5.414%Nov 28, 2023Yield to maturity5.431%Dec 1, 2023Yield to maturity5.385%Dec 6, 2023Yield to maturity5.383%Dec 11, 2023Yield to maturity5.400%Dec 14, 2023Yield to maturity5.366%Dec 19, 2023Yield to maturity5.383%Dec 22, 2023Yield to maturity5.389%Dec 28, 2023Yield to maturity5.376%Jan 3, 2024Yield to maturity5.412%Jan 8, 2024Yield to maturity5.398%Jan 11, 2024Yield to maturity5.396%Jan 17, 2024Yield to maturity5.401%Jan 22, 2024Yield to maturity5.387%Jan 25, 2024Yield to maturity5.374%Jan 30, 2024Yield to maturity5.370%Feb 2, 2024Yield to maturity5.366%Feb 7, 2024Yield to maturity5.364%Feb 12, 2024Yield to maturity5.360%Feb 15, 2024Yield to maturity5.348%Feb 21, 2024Yield to maturity5.333%Feb 26, 2024Yield to maturity5.288%Feb 27, 2024Yield to maturity5.287%

Price history

123 trading days to Feb 28, 2024

97.0097.5098.0098.5099.0099.50100.00Aug 31, 2023Feb 28, 2024Aug 31, 2023Close97.345Sep 6, 2023Close97.424Sep 11, 2023Close97.502Sep 14, 2023Close97.541Sep 19, 2023Close97.615Sep 22, 2023Close97.689Sep 27, 2023Close97.728Oct 2, 2023Close97.798Oct 5, 2023Close97.847Oct 11, 2023Close97.931Oct 16, 2023Close97.998Oct 19, 2023Close98.042Oct 24, 2023Close98.127Oct 27, 2023Close98.201Nov 1, 2023Close98.245Nov 6, 2023Close98.325Nov 9, 2023Close98.375Nov 14, 2023Close98.457Nov 17, 2023Close98.530Nov 22, 2023Close98.585Nov 28, 2023Close98.653Dec 1, 2023Close98.736Dec 6, 2023Close98.780Dec 11, 2023Close98.848Dec 14, 2023Close98.898Dec 19, 2023Close98.967Dec 22, 2023Close99.052Dec 28, 2023Close99.098Jan 3, 2024Close99.179Jan 8, 2024Close99.253Jan 11, 2024Close99.297Jan 17, 2024Close99.384Jan 22, 2024Close99.458Jan 25, 2024Close99.503Jan 30, 2024Close99.576Feb 2, 2024Close99.649Feb 7, 2024Close99.693Feb 12, 2024Close99.766Feb 15, 2024Close99.810Feb 21, 2024Close99.898Feb 26, 2024Close99.971Feb 28, 2024Close100.000
The most recent 20 trading days of prices for 912797GP6.
DateBidOfferClose
Feb 28, 2024–99.985100.000
Feb 27, 2024–99.97199.986
Feb 26, 2024–99.95799.971
Feb 23, 2024–99.91399.957
Feb 22, 202499.89999.89899.913
Feb 21, 202499.88499.88499.898
Feb 20, 202499.86999.86999.884
Feb 16, 202499.81199.81099.869
Feb 15, 202499.79699.79599.810
Feb 14, 202499.78199.78199.796
Feb 13, 202499.76699.76699.781
Feb 12, 202499.75299.75299.766
Feb 9, 202499.70999.70899.752
Feb 8, 202499.69399.69399.707
Feb 7, 202499.67999.67899.693
Feb 6, 202499.66499.66399.679
Feb 5, 202499.65099.64999.664
Feb 2, 202499.60699.60699.649
Feb 1, 202499.59199.59099.606
Jan 31, 202499.57799.57699.591

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 912797GP6.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Aug 28, 2023Aug 31, 2023New issue$62.0bn$66.7bn3.17x–
Nov 27, 2023Nov 30, 2023Reopening$75.0bn$80.6bn2.87x–
Jan 16, 2024Jan 18, 2024Reopening$70.0bn$70.0bn2.89x–

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.