Treasury bill · Matured

912797HK6

Original term
17-Week
Maturity
Nov 14, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Nov 13, 2023
Analyzed through
Nov 10, 2023

Still priced, no longer analyzed. Risk numbers below are as of Nov 10, 2023, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, November 10, 2023

Yield to maturity
5.348%
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 0.00 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, 82 observations

5.0%7.5%10.0%12.5%15.0%17.5%20.0%22.5%Jul 18, 2023Nov 10, 2023Jul 18, 2023Yield to maturity5.441%Jul 20, 2023Yield to maturity5.440%Jul 24, 2023Yield to maturity5.447%Jul 26, 2023Yield to maturity5.456%Jul 28, 2023Yield to maturity5.453%Aug 1, 2023Yield to maturity5.441%Aug 3, 2023Yield to maturity5.429%Aug 7, 2023Yield to maturity5.436%Aug 9, 2023Yield to maturity5.434%Aug 11, 2023Yield to maturity5.431%Aug 15, 2023Yield to maturity5.429%Aug 17, 2023Yield to maturity5.417%Aug 21, 2023Yield to maturity5.425%Aug 23, 2023Yield to maturity5.433%Aug 25, 2023Yield to maturity5.430%Aug 29, 2023Yield to maturity5.429%Aug 31, 2023Yield to maturity5.458%Sep 5, 2023Yield to maturity5.423%Sep 7, 2023Yield to maturity5.421%Sep 11, 2023Yield to maturity5.418%Sep 13, 2023Yield to maturity5.416%Sep 15, 2023Yield to maturity5.413%Sep 19, 2023Yield to maturity5.432%Sep 21, 2023Yield to maturity5.431%Sep 25, 2023Yield to maturity5.417%Sep 27, 2023Yield to maturity5.416%Sep 29, 2023Yield to maturity5.412%Oct 3, 2023Yield to maturity5.411%Oct 5, 2023Yield to maturity5.430%Oct 10, 2023Yield to maturity5.446%Oct 12, 2023Yield to maturity5.424%Oct 16, 2023Yield to maturity5.431%Oct 18, 2023Yield to maturity5.409%Oct 20, 2023Yield to maturity5.396%Oct 24, 2023Yield to maturity5.394%Oct 26, 2023Yield to maturity5.403%Oct 30, 2023Yield to maturity5.389%Nov 1, 2023Yield to maturity5.388%Nov 3, 2023Yield to maturity5.374%Nov 7, 2023Yield to maturity5.373%Nov 9, 2023Yield to maturity21.444%Nov 10, 2023Yield to maturity5.348%

Price history

83 trading days to Nov 13, 2023

98.2598.5098.7599.0099.2599.5099.75100.00Jul 18, 2023Nov 13, 2023Jul 18, 2023Close98.276Jul 20, 2023Close98.305Jul 24, 2023Close98.360Jul 26, 2023Close98.387Jul 28, 2023Close98.445Aug 1, 2023Close98.478Aug 3, 2023Close98.510Aug 7, 2023Close98.565Aug 9, 2023Close98.595Aug 11, 2023Close98.653Aug 15, 2023Close98.683Aug 17, 2023Close98.714Aug 21, 2023Close98.770Aug 23, 2023Close98.797Aug 25, 2023Close98.856Aug 29, 2023Close98.885Aug 31, 2023Close98.909Sep 5, 2023Close98.988Sep 7, 2023Close99.017Sep 11, 2023Close99.076Sep 13, 2023Close99.105Sep 15, 2023Close99.164Sep 19, 2023Close99.190Sep 21, 2023Close99.220Sep 25, 2023Close99.280Sep 27, 2023Close99.309Sep 29, 2023Close99.368Oct 3, 2023Close99.398Oct 5, 2023Close99.425Oct 10, 2023Close99.497Oct 12, 2023Close99.528Oct 16, 2023Close99.586Oct 18, 2023Close99.617Oct 20, 2023Close99.677Oct 24, 2023Close99.706Oct 26, 2023Close99.735Oct 30, 2023Close99.794Nov 1, 2023Close99.824Nov 3, 2023Close99.883Nov 7, 2023Close99.912Nov 9, 2023Close99.941Nov 13, 2023Close100.000
The most recent 20 trading days of prices for 912797HK6.
DateBidOfferClose
Nov 13, 2023–99.985100.000
Nov 10, 2023–99.94199.985
Nov 9, 2023–99.92799.941
Nov 8, 2023–99.91299.927
Nov 7, 202399.89899.89799.912
Nov 6, 202399.88399.88399.898
Nov 3, 202399.83999.83899.883
Nov 2, 202399.82499.82499.839
Nov 1, 202399.81099.80999.824
Oct 31, 202399.79599.79499.809
Oct 30, 202399.78099.78099.794
Oct 27, 202399.73699.73699.780
Oct 26, 202399.72199.72199.735
Oct 25, 202399.70799.70799.721
Oct 24, 202399.69299.69199.706
Oct 23, 202399.67799.67699.691
Oct 20, 202399.63299.63299.677
Oct 19, 202399.61799.61699.631
Oct 18, 202399.60399.60399.617
Oct 17, 202399.58899.58799.602

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 912797HK6.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Jul 12, 2023Jul 18, 2023New issue$46.0bn$46.5bn3.13x–
Sep 14, 2023Sep 19, 2023Reopening$70.0bn$70.4bn2.77x–
Oct 12, 2023Oct 17, 2023Reopening$95.0bn$95.7bn2.79x–

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.