Treasury bill · Matured

912797HB6

Original term
17-Week
Maturity
Oct 17, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Oct 16, 2023
Analyzed through
Oct 13, 2023

Still priced, no longer analyzed. Risk numbers below are as of Oct 13, 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 13, 2023

Yield to maturity
5.369%
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 0.01 cents per 100 of face cheap to the curve on that day.

Shown as a price rather than a yield. This bill is 4 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, 81 observations

5.34%5.36%5.38%5.40%5.42%5.44%5.46%Jun 20, 2023Oct 13, 2023Jun 20, 2023Yield to maturity5.347%Jun 22, 2023Yield to maturity5.356%Jun 26, 2023Yield to maturity5.363%Jun 28, 2023Yield to maturity5.362%Jun 30, 2023Yield to maturity5.369%Jul 5, 2023Yield to maturity5.377%Jul 7, 2023Yield to maturity5.395%Jul 11, 2023Yield to maturity5.404%Jul 13, 2023Yield to maturity5.392%Jul 17, 2023Yield to maturity5.399%Jul 19, 2023Yield to maturity5.397%Jul 21, 2023Yield to maturity5.404%Jul 25, 2023Yield to maturity5.434%Jul 27, 2023Yield to maturity5.433%Jul 31, 2023Yield to maturity5.419%Aug 2, 2023Yield to maturity5.407%Aug 4, 2023Yield to maturity5.393%Aug 8, 2023Yield to maturity5.413%Aug 10, 2023Yield to maturity5.401%Aug 14, 2023Yield to maturity5.418%Aug 16, 2023Yield to maturity5.396%Aug 18, 2023Yield to maturity5.413%Aug 22, 2023Yield to maturity5.422%Aug 24, 2023Yield to maturity5.410%Aug 28, 2023Yield to maturity5.417%Aug 30, 2023Yield to maturity5.426%Sep 1, 2023Yield to maturity5.401%Sep 6, 2023Yield to maturity5.400%Sep 8, 2023Yield to maturity5.396%Sep 12, 2023Yield to maturity5.395%Sep 14, 2023Yield to maturity5.393%Sep 18, 2023Yield to maturity5.400%Sep 20, 2023Yield to maturity5.399%Sep 22, 2023Yield to maturity5.396%Sep 26, 2023Yield to maturity5.404%Sep 28, 2023Yield to maturity5.382%Oct 2, 2023Yield to maturity5.379%Oct 4, 2023Yield to maturity5.388%Oct 6, 2023Yield to maturity5.394%Oct 11, 2023Yield to maturity5.392%Oct 13, 2023Yield to maturity5.369%

Price history

82 trading days to Oct 16, 2023

98.2598.5098.7599.0099.2599.5099.75100.00Jun 20, 2023Oct 16, 2023Jun 20, 2023Close98.305Jun 22, 2023Close98.331Jun 26, 2023Close98.385Jun 28, 2023Close98.414Jun 30, 2023Close98.469Jul 5, 2023Close98.509Jul 7, 2023Close98.562Jul 11, 2023Close98.588Jul 13, 2023Close98.620Jul 17, 2023Close98.675Jul 19, 2023Close98.705Jul 21, 2023Close98.760Jul 25, 2023Close98.783Jul 27, 2023Close98.812Jul 31, 2023Close98.873Aug 2, 2023Close98.904Aug 4, 2023Close98.965Aug 8, 2023Close98.990Aug 10, 2023Close99.021Aug 14, 2023Close99.076Aug 16, 2023Close99.109Aug 18, 2023Close99.164Aug 22, 2023Close99.192Aug 24, 2023Close99.223Aug 28, 2023Close99.280Aug 30, 2023Close99.308Sep 1, 2023Close99.384Sep 6, 2023Close99.413Sep 8, 2023Close99.472Sep 12, 2023Close99.501Sep 14, 2023Close99.531Sep 18, 2023Close99.589Sep 20, 2023Close99.618Sep 22, 2023Close99.677Sep 26, 2023Close99.706Sep 28, 2023Close99.736Oct 2, 2023Close99.795Oct 4, 2023Close99.824Oct 6, 2023Close99.897Oct 11, 2023Close99.926Oct 13, 2023Close99.985Oct 16, 2023Close100.000
The most recent 20 trading days of prices for 912797HB6.
DateBidOfferClose
Oct 16, 2023–99.985100.000
Oct 13, 2023–99.94199.985
Oct 12, 2023–99.92699.941
Oct 11, 2023–99.91299.926
Oct 10, 202399.89799.89799.912
Oct 6, 202399.83899.83899.897
Oct 5, 202399.82499.82499.839
Oct 4, 202399.81099.80999.824
Oct 3, 202399.79599.79499.809
Oct 2, 202399.78099.78099.795
Sep 29, 202399.73699.73699.780
Sep 28, 202399.72199.72199.736
Sep 27, 202399.70799.70699.720
Sep 26, 202399.69199.69099.706
Sep 25, 202399.67899.67799.692
Sep 22, 202399.63499.63399.677
Sep 21, 202399.61999.61999.633
Sep 20, 202399.60499.60399.618
Sep 19, 202399.58999.58999.603
Sep 18, 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 912797HB6.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Jun 14, 2023Jun 20, 2023New issue$46.0bn$46.6bn3.18x–
Aug 17, 2023Aug 22, 2023Reopening$70.0bn$70.8bn2.89x–
Sep 14, 2023Sep 19, 2023Reopening$80.0bn$80.5bn2.66x–

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.