Treasury bill · Matured

912797HS9

Original term
26-Week
Maturity
May 30, 2024
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
May 29, 2024
Analyzed through
May 28, 2024

Still priced, no longer analyzed. Risk numbers below are as of May 28, 2024, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, May 28, 2024

Yield to maturity
5.293%
Modified duration
0.003 yr
DV01
0.0000
Convexity
0.000
Dirty price
99.986

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 rich to the curve on that day.

Shown as a price rather than a yield. This bill is 2 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, 124 observations

5.10%5.15%5.20%5.25%5.30%5.35%5.40%5.45%Nov 30, 2023May 28, 2024Nov 30, 2023Yield to maturity5.407%Dec 5, 2023Yield to maturity5.360%Dec 8, 2023Yield to maturity5.356%Dec 13, 2023Yield to maturity5.301%Dec 18, 2023Yield to maturity5.329%Dec 21, 2023Yield to maturity5.284%Dec 27, 2023Yield to maturity5.269%Jan 2, 2024Yield to maturity5.243%Jan 5, 2024Yield to maturity5.292%Jan 10, 2024Yield to maturity5.300%Jan 16, 2024Yield to maturity5.296%Jan 19, 2024Yield to maturity5.313%Jan 24, 2024Yield to maturity5.342%Jan 29, 2024Yield to maturity5.318%Feb 1, 2024Yield to maturity5.315%Feb 6, 2024Yield to maturity5.332%Feb 9, 2024Yield to maturity5.328%Feb 14, 2024Yield to maturity5.337%Feb 20, 2024Yield to maturity5.322%Feb 23, 2024Yield to maturity5.370%Feb 28, 2024Yield to maturity5.395%Mar 4, 2024Yield to maturity5.370%Mar 7, 2024Yield to maturity5.357%Mar 12, 2024Yield to maturity5.374%Mar 15, 2024Yield to maturity5.359%Mar 20, 2024Yield to maturity5.357%Mar 25, 2024Yield to maturity5.343%Mar 28, 2024Yield to maturity5.119%Apr 2, 2024Yield to maturity5.368%Apr 5, 2024Yield to maturity5.364%Apr 10, 2024Yield to maturity5.372%Apr 15, 2024Yield to maturity5.388%Apr 18, 2024Yield to maturity5.396%Apr 23, 2024Yield to maturity5.392%Apr 26, 2024Yield to maturity5.388%May 1, 2024Yield to maturity5.375%May 6, 2024Yield to maturity5.361%May 9, 2024Yield to maturity5.349%May 14, 2024Yield to maturity5.335%May 17, 2024Yield to maturity5.290%May 22, 2024Yield to maturity5.308%May 28, 2024Yield to maturity5.293%

Price history

125 trading days to May 29, 2024

97.0097.5098.0098.5099.0099.50100.00Nov 30, 2023May 29, 2024Nov 30, 2023Close97.396Dec 5, 2023Close97.487Dec 8, 2023Close97.558Dec 13, 2023Close97.625Dec 18, 2023Close97.682Dec 21, 2023Close97.742Dec 27, 2023Close97.831Jan 2, 2024Close97.924Jan 5, 2024Close97.974Jan 10, 2024Close98.013Jan 16, 2024Close98.098Jan 19, 2024Close98.162Jan 24, 2024Close98.194Jan 29, 2024Close98.272Feb 1, 2024Close98.315Feb 6, 2024Close98.380Feb 9, 2024Close98.452Feb 14, 2024Close98.492Feb 20, 2024Close98.581Feb 23, 2024Close98.640Feb 28, 2024Close98.673Mar 4, 2024Close98.751Mar 7, 2024Close98.796Mar 12, 2024Close98.865Mar 15, 2024Close98.939Mar 20, 2024Close98.983Mar 25, 2024Close99.058Mar 28, 2024Close99.138Apr 2, 2024Close99.169Apr 5, 2024Close99.242Apr 10, 2024Close99.284Apr 15, 2024Close99.355Apr 18, 2024Close99.398Apr 23, 2024Close99.471Apr 26, 2024Close99.544May 1, 2024Close99.589May 6, 2024Close99.663May 9, 2024Close99.708May 14, 2024Close99.781May 17, 2024Close99.855May 22, 2024Close99.898May 28, 2024Close99.986May 29, 2024Close100.000
The most recent 20 trading days of prices for 912797HS9.
DateBidOfferClose
May 29, 2024–99.985100.000
May 28, 2024–99.97199.986
May 24, 2024–99.91399.971
May 23, 202499.89899.89899.913
May 22, 202499.88499.88499.898
May 21, 202499.87099.87099.884
May 20, 202499.85599.85599.870
May 17, 202499.81299.81199.855
May 16, 202499.79699.79699.811
May 15, 202499.78299.78199.796
May 14, 202499.76799.76799.781
May 13, 202499.75299.75299.766
May 10, 202499.70899.70899.752
May 9, 202499.69399.69399.708
May 8, 202499.67999.67899.693
May 7, 202499.66499.66499.678
May 6, 202499.65099.64999.663
May 3, 202499.60699.60699.649
May 2, 202499.59199.59099.605
May 1, 202499.57599.57299.589

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 912797HS9.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Nov 27, 2023Nov 30, 2023New issue$68.0bn$73.1bn3.01x–
Feb 26, 2024Feb 29, 2024Reopening$79.0bn$84.5bn2.93x–
Apr 16, 2024Apr 18, 2024Reopening$65.0bn$65.0bn2.79x–

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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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.