Treasury bill · Matured

912797HU4

Original term
17-Week
Maturity
Dec 12, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Dec 11, 2023
Analyzed through
Dec 8, 2023

Still priced, no longer analyzed. Risk numbers below are as of Dec 8, 2023, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, December 8, 2023

Yield to maturity
5.328%
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, 81 observations

5.3%5.4%5.5%5.6%5.7%5.8%5.9%6.0%Aug 15, 2023Dec 8, 2023Aug 15, 2023Yield to maturity5.463%Aug 17, 2023Yield to maturity5.471%Aug 21, 2023Yield to maturity5.468%Aug 23, 2023Yield to maturity5.477%Aug 25, 2023Yield to maturity5.495%Aug 29, 2023Yield to maturity5.493%Aug 31, 2023Yield to maturity5.481%Sep 5, 2023Yield to maturity5.477%Sep 7, 2023Yield to maturity5.465%Sep 11, 2023Yield to maturity5.451%Sep 13, 2023Yield to maturity5.470%Sep 15, 2023Yield to maturity5.446%Sep 19, 2023Yield to maturity5.455%Sep 21, 2023Yield to maturity5.453%Sep 25, 2023Yield to maturity5.440%Sep 27, 2023Yield to maturity5.448%Sep 29, 2023Yield to maturity5.445%Oct 3, 2023Yield to maturity5.444%Oct 5, 2023Yield to maturity5.452%Oct 10, 2023Yield to maturity5.469%Oct 12, 2023Yield to maturity5.478%Oct 16, 2023Yield to maturity5.474%Oct 18, 2023Yield to maturity5.442%Oct 20, 2023Yield to maturity5.428%Oct 24, 2023Yield to maturity5.416%Oct 26, 2023Yield to maturity5.415%Oct 30, 2023Yield to maturity5.412%Nov 1, 2023Yield to maturity5.410%Nov 3, 2023Yield to maturity5.407%Nov 7, 2023Yield to maturity5.385%Nov 9, 2023Yield to maturity5.951%Nov 13, 2023Yield to maturity5.400%Nov 15, 2023Yield to maturity5.389%Nov 17, 2023Yield to maturity5.385%Nov 21, 2023Yield to maturity5.384%Nov 24, 2023Yield to maturity5.370%Nov 28, 2023Yield to maturity5.368%Nov 30, 2023Yield to maturity5.366%Dec 4, 2023Yield to maturity5.374%Dec 6, 2023Yield to maturity5.372%Dec 8, 2023Yield to maturity5.328%

Price history

82 trading days to Dec 11, 2023

98.2598.5098.7599.0099.2599.5099.75100.00Aug 15, 2023Dec 11, 2023Aug 15, 2023Close98.269Aug 17, 2023Close98.295Aug 21, 2023Close98.354Aug 23, 2023Close98.381Aug 25, 2023Close98.434Aug 29, 2023Close98.463Aug 31, 2023Close98.496Sep 5, 2023Close98.569Sep 7, 2023Close98.601Sep 11, 2023Close98.663Sep 13, 2023Close98.687Sep 15, 2023Close98.751Sep 19, 2023Close98.778Sep 21, 2023Close98.808Sep 25, 2023Close98.869Sep 27, 2023Close98.896Sep 29, 2023Close98.955Oct 3, 2023Close98.984Oct 5, 2023Close99.012Oct 10, 2023Close99.082Oct 12, 2023Close99.110Oct 16, 2023Close99.169Oct 18, 2023Close99.204Oct 20, 2023Close99.264Oct 24, 2023Close99.295Oct 26, 2023Close99.324Oct 30, 2023Close99.383Nov 1, 2023Close99.412Nov 3, 2023Close99.471Nov 7, 2023Close99.502Nov 9, 2023Close99.531Nov 13, 2023Close99.589Nov 15, 2023Close99.619Nov 17, 2023Close99.677Nov 21, 2023Close99.707Nov 24, 2023Close99.780Nov 28, 2023Close99.810Nov 30, 2023Close99.839Dec 4, 2023Close99.897Dec 6, 2023Close99.927Dec 8, 2023Close99.985Dec 11, 2023Close100.000
The most recent 20 trading days of prices for 912797HU4.
DateBidOfferClose
Dec 11, 2023–99.985100.000
Dec 8, 2023–99.94199.985
Dec 7, 2023–99.92799.941
Dec 6, 2023–99.91299.927
Dec 5, 202399.89899.89899.912
Dec 4, 202399.88399.88399.897
Dec 1, 202399.83999.83999.882
Nov 30, 202399.82499.82499.839
Nov 29, 202399.81099.80999.824
Nov 28, 202399.79599.79599.810
Nov 27, 202399.78199.78099.795
Nov 24, 202399.73799.73799.780
Nov 22, 202399.70799.70799.736
Nov 21, 202399.69399.69399.707
Nov 20, 202399.67899.67799.692
Nov 17, 202399.63499.63399.677
Nov 16, 202399.61999.61999.633
Nov 15, 202399.60799.60699.619
Nov 14, 202399.59099.58999.604
Nov 13, 202399.57499.57499.589

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 912797HU4.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Aug 9, 2023Aug 15, 2023New issue$48.0bn$48.6bn3.19x–
Oct 12, 2023Oct 17, 2023Reopening$85.0bn$85.6bn2.88x–
Nov 9, 2023Nov 14, 2023Reopening$95.0bn$95.7bn2.57x–

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.