Treasury bill · Matured

912797HA8

Original term
17-Week
Maturity
Oct 10, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Oct 6, 2023
Analyzed through
Oct 5, 2023

Still priced, no longer analyzed. Risk numbers below are as of Oct 5, 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 5, 2023

Yield to maturity
5.371%
Modified duration
0.011 yr
DV01
0.0001
Convexity
0.000
Dirty price
99.941

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 0.011 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 5 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, 80 observations

5.28%5.30%5.33%5.35%5.38%5.40%5.42%5.45%Jun 13, 2023Oct 5, 2023Jun 13, 2023Yield to maturity5.326%Jun 15, 2023Yield to maturity5.282%Jun 20, 2023Yield to maturity5.289%Jun 22, 2023Yield to maturity5.308%Jun 26, 2023Yield to maturity5.305%Jun 28, 2023Yield to maturity5.325%Jun 30, 2023Yield to maturity5.353%Jul 5, 2023Yield to maturity5.361%Jul 7, 2023Yield to maturity5.379%Jul 11, 2023Yield to maturity5.388%Jul 13, 2023Yield to maturity5.386%Jul 17, 2023Yield to maturity5.393%Jul 19, 2023Yield to maturity5.392%Jul 21, 2023Yield to maturity5.399%Jul 25, 2023Yield to maturity5.429%Jul 27, 2023Yield to maturity5.427%Jul 31, 2023Yield to maturity5.403%Aug 2, 2023Yield to maturity5.391%Aug 4, 2023Yield to maturity5.398%Aug 8, 2023Yield to maturity5.386%Aug 10, 2023Yield to maturity5.395%Aug 14, 2023Yield to maturity5.423%Aug 16, 2023Yield to maturity5.411%Aug 18, 2023Yield to maturity5.397%Aug 22, 2023Yield to maturity5.406%Aug 24, 2023Yield to maturity5.415%Aug 28, 2023Yield to maturity5.412%Aug 30, 2023Yield to maturity5.420%Sep 1, 2023Yield to maturity5.396%Sep 6, 2023Yield to maturity5.394%Sep 8, 2023Yield to maturity5.391%Sep 12, 2023Yield to maturity5.389%Sep 14, 2023Yield to maturity5.388%Sep 18, 2023Yield to maturity5.395%Sep 20, 2023Yield to maturity5.393%Sep 22, 2023Yield to maturity5.390%Sep 26, 2023Yield to maturity5.378%Sep 28, 2023Yield to maturity5.366%Oct 2, 2023Yield to maturity5.384%Oct 4, 2023Yield to maturity5.382%Oct 5, 2023Yield to maturity5.371%

Price history

81 trading days to Oct 6, 2023

98.2598.5098.7599.0099.2599.5099.75100.00Jun 13, 2023Oct 6, 2023Jun 13, 2023Close98.312Jun 15, 2023Close98.353Jun 20, 2023Close98.421Jun 22, 2023Close98.444Jun 26, 2023Close98.501Jun 28, 2023Close98.524Jun 30, 2023Close98.573Jul 5, 2023Close98.613Jul 7, 2023Close98.666Jul 11, 2023Close98.692Jul 13, 2023Close98.722Jul 17, 2023Close98.777Jul 19, 2023Close98.806Jul 21, 2023Close98.862Jul 25, 2023Close98.885Jul 27, 2023Close98.915Jul 31, 2023Close98.977Aug 2, 2023Close99.008Aug 4, 2023Close99.065Aug 8, 2023Close99.096Aug 10, 2023Close99.123Aug 14, 2023Close99.177Aug 16, 2023Close99.208Aug 18, 2023Close99.268Aug 22, 2023Close99.296Aug 24, 2023Close99.324Aug 28, 2023Close99.383Aug 30, 2023Close99.411Sep 1, 2023Close99.487Sep 6, 2023Close99.516Sep 8, 2023Close99.575Sep 12, 2023Close99.604Sep 14, 2023Close99.633Sep 18, 2023Close99.691Sep 20, 2023Close99.721Sep 22, 2023Close99.780Sep 26, 2023Close99.809Sep 28, 2023Close99.839Oct 2, 2023Close99.897Oct 4, 2023Close99.927Oct 6, 2023Close100.000
The most recent 20 trading days of prices for 912797HA8.
DateBidOfferClose
Oct 6, 2023–99.942100.000
Oct 5, 2023–99.92799.941
Oct 4, 2023–99.91299.927
Oct 3, 202399.89899.89799.912
Oct 2, 202399.88399.88399.897
Sep 29, 202399.83999.83999.883
Sep 28, 202399.82499.82499.839
Sep 27, 202399.81099.81099.824
Sep 26, 202399.79499.79499.809
Sep 25, 202399.78199.78099.794
Sep 22, 202399.73799.73699.780
Sep 21, 202399.72299.72199.736
Sep 20, 202399.70799.70799.721
Sep 19, 202399.69299.69199.707
Sep 18, 202399.67799.67799.691
Sep 15, 202399.63499.63399.677
Sep 14, 202399.61899.61899.633
Sep 13, 202399.60499.60399.619
Sep 12, 202399.58999.58999.604
Sep 11, 202399.57499.57499.589

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 912797HA8.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Jun 7, 2023Jun 13, 2023New issue$46.0bn$46.6bn3.36x–
Aug 10, 2023Aug 15, 2023Reopening$65.0bn$65.8bn2.96x–
Sep 7, 2023Sep 12, 2023Reopening$80.0bn$80.5bn2.70x–

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.