Treasury bill · Matured

912797HL4

Original term
17-Week
Maturity
Nov 21, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Nov 20, 2023
Analyzed through
Nov 17, 2023

Still priced, no longer analyzed. Risk numbers below are as of Nov 17, 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 17, 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, 82 observations

5.00%5.50%6.00%6.50%7.00%7.50%Jul 25, 2023Nov 17, 2023Jul 25, 2023Yield to maturity5.463%Jul 27, 2023Yield to maturity5.471%Jul 31, 2023Yield to maturity5.458%Aug 2, 2023Yield to maturity5.456%Aug 4, 2023Yield to maturity5.442%Aug 8, 2023Yield to maturity5.441%Aug 10, 2023Yield to maturity5.450%Aug 14, 2023Yield to maturity5.436%Aug 16, 2023Yield to maturity5.434%Aug 18, 2023Yield to maturity5.431%Aug 22, 2023Yield to maturity5.440%Aug 24, 2023Yield to maturity5.438%Aug 28, 2023Yield to maturity5.466%Aug 30, 2023Yield to maturity5.454%Sep 1, 2023Yield to maturity5.450%Sep 6, 2023Yield to maturity5.428%Sep 8, 2023Yield to maturity5.424%Sep 12, 2023Yield to maturity5.413%Sep 14, 2023Yield to maturity5.411%Sep 18, 2023Yield to maturity5.428%Sep 20, 2023Yield to maturity5.427%Sep 22, 2023Yield to maturity5.434%Sep 26, 2023Yield to maturity5.443%Sep 28, 2023Yield to maturity5.441%Oct 2, 2023Yield to maturity5.448%Oct 4, 2023Yield to maturity5.446%Oct 6, 2023Yield to maturity5.442%Oct 11, 2023Yield to maturity5.472%Oct 13, 2023Yield to maturity5.448%Oct 17, 2023Yield to maturity5.436%Oct 19, 2023Yield to maturity5.424%Oct 23, 2023Yield to maturity5.431%Oct 25, 2023Yield to maturity5.399%Oct 27, 2023Yield to maturity5.396%Oct 31, 2023Yield to maturity5.404%Nov 2, 2023Yield to maturity5.392%Nov 6, 2023Yield to maturity5.389%Nov 8, 2023Yield to maturity5.357%Nov 10, 2023Yield to maturity5.354%Nov 14, 2023Yield to maturity5.342%Nov 16, 2023Yield to maturity5.351%Nov 17, 2023Yield to maturity5.359%

Price history

83 trading days to Nov 20, 2023

98.2598.5098.7599.0099.2599.5099.75100.00Jul 25, 2023Nov 20, 2023Jul 25, 2023Close98.269Jul 27, 2023Close98.295Jul 31, 2023Close98.357Aug 2, 2023Close98.387Aug 4, 2023Close98.448Aug 8, 2023Close98.478Aug 10, 2023Close98.504Aug 14, 2023Close98.565Aug 16, 2023Close98.595Aug 18, 2023Close98.653Aug 22, 2023Close98.680Aug 24, 2023Close98.709Aug 28, 2023Close98.761Aug 30, 2023Close98.793Sep 1, 2023Close98.866Sep 6, 2023Close98.900Sep 8, 2023Close98.959Sep 12, 2023Close98.990Sep 14, 2023Close99.019Sep 18, 2023Close99.074Sep 20, 2023Close99.104Sep 22, 2023Close99.161Sep 26, 2023Close99.189Sep 28, 2023Close99.218Oct 2, 2023Close99.276Oct 4, 2023Close99.305Oct 6, 2023Close99.379Oct 11, 2023Close99.406Oct 13, 2023Close99.467Oct 17, 2023Close99.498Oct 19, 2023Close99.528Oct 23, 2023Close99.586Oct 25, 2023Close99.618Oct 27, 2023Close99.677Oct 31, 2023Close99.706Nov 2, 2023Close99.736Nov 6, 2023Close99.794Nov 8, 2023Close99.825Nov 10, 2023Close99.883Nov 14, 2023Close99.912Nov 16, 2023Close99.942Nov 20, 2023Close100.000
The most recent 20 trading days of prices for 912797HL4.
DateBidOfferClose
Nov 20, 2023–99.985100.000
Nov 17, 2023–99.94299.985
Nov 16, 2023–99.92799.942
Nov 15, 2023–99.91299.927
Nov 14, 202399.89899.89899.912
Nov 13, 202399.88499.88399.898
Nov 10, 202399.84099.83999.883
Nov 9, 202399.82599.82499.839
Nov 8, 202399.81099.81099.825
Nov 7, 202399.79599.79499.809
Nov 6, 202399.78099.78099.794
Nov 3, 202399.73699.73699.780
Nov 2, 202399.72299.72199.736
Nov 1, 202399.70799.70799.721
Oct 31, 202399.69299.69199.706
Oct 30, 202399.67799.67799.691
Oct 27, 202399.63399.63399.677
Oct 26, 202399.61899.61799.633
Oct 25, 202399.60399.60399.618
Oct 24, 202399.58899.58899.603

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 912797HL4.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Jul 19, 2023Jul 25, 2023New issue$46.0bn$46.5bn3.29x–
Sep 21, 2023Sep 26, 2023Reopening$70.0bn$70.5bn2.58x–
Oct 19, 2023Oct 24, 2023Reopening$95.0bn$95.7bn2.98x–

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.

Free to benchmark against. Paid only to track. Measuring anything against these curves and indices is free. No license, no fee, no registration, and no permission needed to say that you did, including in a prospectus. A fee applies to one thing: launching a product that tracks an index.

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.