Treasury bill · Matured

912797HD2

Original term
17-Week
Maturity
Oct 31, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Oct 30, 2023
Analyzed through
Oct 27, 2023

Still priced, no longer analyzed. Risk numbers below are as of Oct 27, 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 27, 2023

Yield to maturity
5.359%
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

5.33%5.35%5.38%5.40%5.42%5.45%5.47%Jul 5, 2023Oct 27, 2023Jul 5, 2023Yield to maturity5.420%Jul 7, 2023Yield to maturity5.416%Jul 11, 2023Yield to maturity5.425%Jul 13, 2023Yield to maturity5.403%Jul 17, 2023Yield to maturity5.410%Jul 19, 2023Yield to maturity5.429%Jul 21, 2023Yield to maturity5.426%Jul 25, 2023Yield to maturity5.435%Jul 27, 2023Yield to maturity5.454%Jul 31, 2023Yield to maturity5.420%Aug 2, 2023Yield to maturity5.418%Aug 4, 2023Yield to maturity5.404%Aug 8, 2023Yield to maturity5.403%Aug 10, 2023Yield to maturity5.422%Aug 14, 2023Yield to maturity5.419%Aug 16, 2023Yield to maturity5.417%Aug 18, 2023Yield to maturity5.404%Aug 22, 2023Yield to maturity5.402%Aug 24, 2023Yield to maturity5.411%Aug 28, 2023Yield to maturity5.428%Aug 30, 2023Yield to maturity5.437%Sep 1, 2023Yield to maturity5.423%Sep 6, 2023Yield to maturity5.421%Sep 8, 2023Yield to maturity5.428%Sep 12, 2023Yield to maturity5.406%Sep 14, 2023Yield to maturity5.404%Sep 18, 2023Yield to maturity5.401%Sep 20, 2023Yield to maturity5.400%Sep 22, 2023Yield to maturity5.396%Sep 26, 2023Yield to maturity5.395%Sep 28, 2023Yield to maturity5.373%Oct 2, 2023Yield to maturity5.390%Oct 4, 2023Yield to maturity5.399%Oct 6, 2023Yield to maturity5.395%Oct 11, 2023Yield to maturity5.393%Oct 13, 2023Yield to maturity5.400%Oct 17, 2023Yield to maturity5.399%Oct 19, 2023Yield to maturity5.397%Oct 23, 2023Yield to maturity5.363%Oct 25, 2023Yield to maturity5.331%Oct 27, 2023Yield to maturity5.359%

Price history

82 trading days to Oct 30, 2023

98.2598.5098.7599.0099.2599.5099.75100.00Jul 5, 2023Oct 30, 2023Jul 5, 2023Close98.297Jul 7, 2023Close98.355Jul 11, 2023Close98.381Jul 13, 2023Close98.416Jul 17, 2023Close98.472Jul 19, 2023Close98.495Jul 21, 2023Close98.553Jul 25, 2023Close98.580Jul 27, 2023Close98.604Jul 31, 2023Close98.670Aug 2, 2023Close98.700Aug 4, 2023Close98.760Aug 8, 2023Close98.790Aug 10, 2023Close98.814Aug 14, 2023Close98.873Aug 16, 2023Close98.902Aug 18, 2023Close98.963Aug 22, 2023Close98.992Aug 24, 2023Close99.019Aug 28, 2023Close99.074Aug 30, 2023Close99.102Sep 1, 2023Close99.177Sep 6, 2023Close99.207Sep 8, 2023Close99.264Sep 12, 2023Close99.296Sep 14, 2023Close99.325Sep 18, 2023Close99.384Sep 20, 2023Close99.413Sep 22, 2023Close99.472Sep 26, 2023Close99.501Sep 28, 2023Close99.532Oct 2, 2023Close99.589Oct 4, 2023Close99.618Oct 6, 2023Close99.691Oct 11, 2023Close99.721Oct 13, 2023Close99.779Oct 17, 2023Close99.809Oct 19, 2023Close99.838Oct 23, 2023Close99.898Oct 25, 2023Close99.927Oct 27, 2023Close99.985Oct 30, 2023Close100.000
The most recent 20 trading days of prices for 912797HD2.
DateBidOfferClose
Oct 30, 2023–99.985100.000
Oct 27, 2023–99.94299.985
Oct 26, 2023–99.92799.942
Oct 25, 2023–99.91299.927
Oct 24, 202399.89899.89899.912
Oct 23, 202399.88399.88399.898
Oct 20, 202399.83999.83899.882
Oct 19, 202399.82499.82499.838
Oct 18, 202399.80999.80999.824
Oct 17, 202399.79499.79499.809
Oct 16, 202399.78099.77999.793
Oct 13, 202399.73699.73599.779
Oct 12, 202399.72199.72099.735
Oct 11, 202399.70699.70699.721
Oct 10, 202399.69199.69199.705
Oct 6, 202399.63499.63399.691
Oct 5, 202399.61999.61999.633
Oct 4, 202399.60499.60499.618
Oct 3, 202399.59099.58999.604
Oct 2, 202399.57599.57599.589

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 912797HD2.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Jun 28, 2023Jul 5, 2023New issue$46.0bn$46.5bn3.44x–
Aug 31, 2023Sep 5, 2023Reopening$70.0bn$70.4bn2.77x–
Sep 28, 2023Oct 3, 2023Reopening$85.0bn$85.7bn2.95x–

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.