Treasury bill · Matured

912797HV2

Original term
17-Week
Maturity
Dec 19, 2023
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Dec 18, 2023
Analyzed through
Dec 15, 2023

Still priced, no longer analyzed. Risk numbers below are as of Dec 15, 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 15, 2023

Yield to maturity
5.369%
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 0.02 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%Aug 22, 2023Dec 15, 2023Aug 22, 2023Yield to maturity5.494%Aug 24, 2023Yield to maturity5.514%Aug 28, 2023Yield to maturity5.531%Aug 30, 2023Yield to maturity5.498%Sep 1, 2023Yield to maturity5.483%Sep 6, 2023Yield to maturity5.503%Sep 8, 2023Yield to maturity5.499%Sep 12, 2023Yield to maturity5.477%Sep 14, 2023Yield to maturity5.465%Sep 18, 2023Yield to maturity5.462%Sep 20, 2023Yield to maturity5.470%Sep 22, 2023Yield to maturity5.477%Sep 26, 2023Yield to maturity5.465%Sep 28, 2023Yield to maturity5.464%Oct 2, 2023Yield to maturity5.471%Oct 4, 2023Yield to maturity5.459%Oct 6, 2023Yield to maturity5.496%Oct 11, 2023Yield to maturity5.484%Oct 13, 2023Yield to maturity5.481%Oct 17, 2023Yield to maturity5.469%Oct 19, 2023Yield to maturity5.457%Oct 23, 2023Yield to maturity5.474%Oct 25, 2023Yield to maturity5.463%Oct 27, 2023Yield to maturity5.439%Oct 31, 2023Yield to maturity5.447%Nov 2, 2023Yield to maturity5.425%Nov 6, 2023Yield to maturity5.412%Nov 8, 2023Yield to maturity5.400%Nov 10, 2023Yield to maturity5.396%Nov 14, 2023Yield to maturity5.385%Nov 16, 2023Yield to maturity5.393%Nov 20, 2023Yield to maturity5.400%Nov 22, 2023Yield to maturity5.398%Nov 27, 2023Yield to maturity5.395%Nov 29, 2023Yield to maturity5.383%Dec 1, 2023Yield to maturity5.380%Dec 5, 2023Yield to maturity5.378%Dec 7, 2023Yield to maturity5.377%Dec 11, 2023Yield to maturity5.363%Dec 13, 2023Yield to maturity5.341%Dec 15, 2023Yield to maturity5.369%

Price history

82 trading days to Dec 18, 2023

98.2598.5098.7599.0099.2599.5099.75100.00Aug 22, 2023Dec 18, 2023Aug 22, 2023Close98.260Aug 24, 2023Close98.283Aug 28, 2023Close98.336Aug 30, 2023Close98.374Sep 1, 2023Close98.451Sep 6, 2023Close98.475Sep 8, 2023Close98.534Sep 12, 2023Close98.569Sep 14, 2023Close98.601Sep 18, 2023Close98.660Sep 20, 2023Close98.687Sep 22, 2023Close98.744Sep 26, 2023Close98.776Sep 28, 2023Close98.805Oct 2, 2023Close98.862Oct 4, 2023Close98.894Oct 6, 2023Close98.960Oct 11, 2023Close98.991Oct 13, 2023Close99.051Oct 17, 2023Close99.082Oct 19, 2023Close99.113Oct 23, 2023Close99.169Oct 25, 2023Close99.201Oct 27, 2023Close99.263Oct 31, 2023Close99.291Nov 2, 2023Close99.323Nov 6, 2023Close99.383Nov 8, 2023Close99.413Nov 10, 2023Close99.472Nov 14, 2023Close99.502Nov 16, 2023Close99.531Nov 20, 2023Close99.589Nov 22, 2023Close99.633Nov 27, 2023Close99.691Nov 29, 2023Close99.721Dec 1, 2023Close99.780Dec 5, 2023Close99.809Dec 7, 2023Close99.839Dec 11, 2023Close99.898Dec 13, 2023Close99.927Dec 15, 2023Close99.985Dec 18, 2023Close100.000
The most recent 20 trading days of prices for 912797HV2.
DateBidOfferClose
Dec 18, 2023–99.985100.000
Dec 15, 2023–99.94199.985
Dec 14, 2023–99.92799.941
Dec 13, 2023–99.91399.927
Dec 12, 202399.89899.89899.912
Dec 11, 202399.88399.88399.898
Dec 8, 202399.83999.83999.883
Dec 7, 202399.82499.82499.839
Dec 6, 202399.81099.80999.824
Dec 5, 202399.79599.79599.809
Dec 4, 202399.78099.78099.795
Dec 1, 202399.73799.73699.780
Nov 30, 202399.72199.72199.736
Nov 29, 202399.70799.70799.721
Nov 28, 202399.69399.69299.707
Nov 27, 202399.67899.67799.691
Nov 24, 202399.63399.63399.677
Nov 22, 202399.60499.60399.633
Nov 21, 202399.58999.58999.604
Nov 20, 202399.57799.57799.589

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 912797HV2.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Aug 16, 2023Aug 22, 2023New issue$50.0bn$50.6bn3.02x–
Oct 19, 2023Oct 24, 2023Reopening$85.0bn$85.6bn2.63x–
Nov 16, 2023Nov 21, 2023Reopening$95.0bn$95.7bn2.75x–

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.