Treasury bill · Matured

912797HC4

Original term
17-Week
Maturity
Oct 24, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Oct 23, 2023
Analyzed through
Oct 20, 2023

Still priced, no longer analyzed. Risk numbers below are as of Oct 20, 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 20, 2023

Yield to maturity
5.379%
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

5.37%5.38%5.39%5.40%5.41%5.42%5.43%5.44%Jun 27, 2023Oct 20, 2023Jun 27, 2023Yield to maturity5.389%Jun 29, 2023Yield to maturity5.398%Jul 3, 2023Yield to maturity5.394%Jul 6, 2023Yield to maturity5.403%Jul 10, 2023Yield to maturity5.410%Jul 12, 2023Yield to maturity5.398%Jul 14, 2023Yield to maturity5.416%Jul 18, 2023Yield to maturity5.414%Jul 20, 2023Yield to maturity5.402%Jul 24, 2023Yield to maturity5.409%Jul 26, 2023Yield to maturity5.429%Jul 28, 2023Yield to maturity5.415%Aug 1, 2023Yield to maturity5.403%Aug 3, 2023Yield to maturity5.401%Aug 7, 2023Yield to maturity5.419%Aug 9, 2023Yield to maturity5.417%Aug 11, 2023Yield to maturity5.404%Aug 15, 2023Yield to maturity5.402%Aug 17, 2023Yield to maturity5.401%Aug 21, 2023Yield to maturity5.408%Aug 23, 2023Yield to maturity5.416%Aug 25, 2023Yield to maturity5.434%Aug 29, 2023Yield to maturity5.422%Aug 31, 2023Yield to maturity5.410%Sep 5, 2023Yield to maturity5.406%Sep 7, 2023Yield to maturity5.404%Sep 11, 2023Yield to maturity5.391%Sep 13, 2023Yield to maturity5.410%Sep 15, 2023Yield to maturity5.396%Sep 19, 2023Yield to maturity5.405%Sep 21, 2023Yield to maturity5.383%Sep 25, 2023Yield to maturity5.411%Sep 27, 2023Yield to maturity5.409%Sep 29, 2023Yield to maturity5.385%Oct 3, 2023Yield to maturity5.394%Oct 5, 2023Yield to maturity5.382%Oct 10, 2023Yield to maturity5.399%Oct 12, 2023Yield to maturity5.387%Oct 16, 2023Yield to maturity5.374%Oct 18, 2023Yield to maturity5.392%Oct 20, 2023Yield to maturity5.379%

Price history

82 trading days to Oct 23, 2023

98.2598.5098.7599.0099.2599.5099.75100.00Jun 27, 2023Oct 23, 2023Jun 27, 2023Close98.292Jun 29, 2023Close98.318Jul 3, 2023Close98.391Jul 6, 2023Close98.416Jul 10, 2023Close98.472Jul 12, 2023Close98.504Jul 14, 2023Close98.556Jul 18, 2023Close98.585Jul 20, 2023Close98.617Jul 24, 2023Close98.673Jul 26, 2023Close98.697Jul 28, 2023Close98.758Aug 1, 2023Close98.790Aug 3, 2023Close98.819Aug 7, 2023Close98.873Aug 9, 2023Close98.902Aug 11, 2023Close98.963Aug 15, 2023Close98.992Aug 17, 2023Close99.021Aug 21, 2023Close99.078Aug 23, 2023Close99.105Aug 25, 2023Close99.161Aug 29, 2023Close99.192Aug 31, 2023Close99.223Sep 5, 2023Close99.296Sep 7, 2023Close99.325Sep 11, 2023Close99.385Sep 13, 2023Close99.412Sep 15, 2023Close99.472Sep 19, 2023Close99.500Sep 21, 2023Close99.532Sep 25, 2023Close99.588Sep 27, 2023Close99.617Sep 29, 2023Close99.677Oct 3, 2023Close99.706Oct 5, 2023Close99.736Oct 10, 2023Close99.809Oct 12, 2023Close99.838Oct 16, 2023Close99.897Oct 18, 2023Close99.926Oct 20, 2023Close99.985Oct 23, 2023Close100.000
The most recent 20 trading days of prices for 912797HC4.
DateBidOfferClose
Oct 23, 2023–99.985100.000
Oct 20, 2023–99.94199.985
Oct 19, 2023–99.92799.941
Oct 18, 2023–99.91299.926
Oct 17, 202399.89899.89799.912
Oct 16, 202399.88399.88299.897
Oct 13, 202399.83899.83899.882
Oct 12, 202399.82499.82499.838
Oct 11, 202399.81099.80999.824
Oct 10, 202399.79499.79499.809
Oct 6, 202399.73699.73699.794
Oct 5, 202399.72199.72199.736
Oct 4, 202399.70699.70699.720
Oct 3, 202399.69299.69299.706
Oct 2, 202399.67899.67799.692
Sep 29, 202399.63499.63399.677
Sep 28, 202399.61899.61899.633
Sep 27, 202399.60499.60399.617
Sep 26, 202399.58899.58799.603
Sep 25, 202399.57599.57599.588

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 912797HC4.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Jun 21, 2023Jun 27, 2023New issue$46.0bn$46.5bn3.27x–
Aug 24, 2023Aug 29, 2023Reopening$70.0bn$70.8bn2.82x–
Sep 21, 2023Sep 26, 2023Reopening$80.0bn$80.5bn2.80x–

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.