Treasury bill · Matured

912797HP5

Original term
52-Week
Maturity
Nov 29, 2024
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Nov 27, 2024
Analyzed through
Nov 26, 2024

Still priced, no longer analyzed. Risk numbers below are as of Nov 26, 2024, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, November 26, 2024

Yield to maturity
4.604%
Modified duration
0.005 yr
DV01
0.0001
Convexity
0.000
Dirty price
99.975

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 0.005 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 0.05 cents per 100 of face rich to the curve on that day.

Shown as a price rather than a yield. This bill is 3 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, 249 observations

4.4%4.6%4.8%5.0%5.2%5.4%Nov 30, 2023Nov 26, 2024Nov 30, 2023Yield to maturity5.153%Dec 8, 2023Yield to maturity5.136%Dec 18, 2023Yield to maturity4.979%Dec 27, 2023Yield to maturity4.812%Jan 5, 2024Yield to maturity4.840%Jan 16, 2024Yield to maturity4.749%Jan 24, 2024Yield to maturity4.908%Feb 1, 2024Yield to maturity4.818%Feb 9, 2024Yield to maturity4.976%Feb 20, 2024Yield to maturity5.091%Feb 28, 2024Yield to maturity5.128%Mar 7, 2024Yield to maturity5.103%Mar 15, 2024Yield to maturity5.174%Mar 25, 2024Yield to maturity5.096%Apr 2, 2024Yield to maturity5.137%Apr 10, 2024Yield to maturity5.220%Apr 18, 2024Yield to maturity5.293%Apr 26, 2024Yield to maturity5.322%May 6, 2024Yield to maturity5.257%May 14, 2024Yield to maturity5.288%May 22, 2024Yield to maturity5.255%May 31, 2024Yield to maturity5.380%Jun 10, 2024Yield to maturity5.363%Jun 18, 2024Yield to maturity5.335%Jun 27, 2024Yield to maturity5.318%Jul 8, 2024Yield to maturity5.288%Jul 16, 2024Yield to maturity5.261%Jul 24, 2024Yield to maturity5.255%Aug 1, 2024Yield to maturity5.186%Aug 9, 2024Yield to maturity5.147%Aug 19, 2024Yield to maturity5.131%Aug 27, 2024Yield to maturity5.094%Sep 5, 2024Yield to maturity5.088%Sep 13, 2024Yield to maturity4.926%Sep 23, 2024Yield to maturity4.662%Oct 1, 2024Yield to maturity4.760%Oct 9, 2024Yield to maturity4.766%Oct 18, 2024Yield to maturity4.749%Oct 28, 2024Yield to maturity4.744%Nov 5, 2024Yield to maturity4.616%Nov 14, 2024Yield to maturity4.570%Nov 22, 2024Yield to maturity4.585%Nov 26, 2024Yield to maturity4.604%

Price history

250 trading days to Nov 27, 2024

9596979899100Nov 30, 2023Nov 27, 2024Nov 30, 2023Close95.066Dec 8, 2023Close95.211Dec 18, 2023Close95.454Dec 27, 2023Close95.713Jan 5, 2024Close95.825Jan 16, 2024Close96.011Jan 24, 2024Close95.983Feb 1, 2024Close96.154Feb 9, 2024Close96.160Feb 20, 2024Close96.193Feb 28, 2024Close96.263Mar 7, 2024Close96.387Mar 15, 2024Close96.473Mar 25, 2024Close96.631Apr 2, 2024Close96.713Apr 10, 2024Close96.771Apr 18, 2024Close96.839Apr 26, 2024Close96.962May 6, 2024Close97.110May 14, 2024Close97.206May 22, 2024Close97.335May 31, 2024Close97.429Jun 10, 2024Close97.549Jun 18, 2024Close97.687Jun 27, 2024Close97.805Jul 8, 2024Close97.970Jul 16, 2024Close98.091Jul 24, 2024Close98.204Aug 1, 2024Close98.337Aug 9, 2024Close98.486Aug 19, 2024Close98.600Aug 27, 2024Close98.719Sep 5, 2024Close98.843Sep 13, 2024Close99.011Sep 23, 2024Close99.164Oct 1, 2024Close99.249Oct 9, 2024Close99.351Oct 18, 2024Close99.495Oct 28, 2024Close99.599Nov 5, 2024Close99.710Nov 14, 2024Close99.825Nov 22, 2024Close99.950Nov 27, 2024Close100.000
The most recent 20 trading days of prices for 912797HP5.
DateBidOfferClose
Nov 27, 2024–99.975100.000
Nov 26, 2024–99.96299.975
Nov 25, 2024–99.95099.962
Nov 22, 202499.91299.91299.950
Nov 21, 202499.90199.90099.912
Nov 20, 202499.88899.88899.900
Nov 19, 202499.87799.87699.888
Nov 18, 202499.86399.86399.876
Nov 15, 202499.82699.82599.862
Nov 14, 202499.81499.81399.825
Nov 13, 202499.80199.80099.813
Nov 12, 202499.78899.78899.801
Nov 8, 202499.73999.73899.788
Nov 7, 202499.72699.72599.738
Nov 6, 202499.71199.71199.724
Nov 5, 202499.69899.69799.710
Nov 4, 202499.68499.68399.696
Nov 1, 202499.64499.64399.683
Oct 31, 202499.62899.62799.642
Oct 30, 202499.61499.61399.627

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.

4 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 912797HP5.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Nov 28, 2023Nov 30, 2023New issue$44.0bn$47.3bn3.56x–
May 28, 2024May 30, 2024Reopening$70.0bn$75.3bn3.06x–
Aug 26, 2024Aug 29, 2024Reopening$76.0bn$81.3bn3.03x–
Oct 15, 2024Oct 17, 2024Reopening$80.0bn$80.0bn2.62x–

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.