Treasury bill · Matured

912797JC2

Original term
17-Week
Maturity
Feb 6, 2024
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Feb 5, 2024
Analyzed through
Feb 2, 2024

Still priced, no longer analyzed. Risk numbers below are as of Feb 2, 2024, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, February 2, 2024

Yield to maturity
5.348%
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, 80 observations

5.2%5.3%5.4%5.5%5.6%5.7%Oct 10, 2023Feb 2, 2024Oct 10, 2023Yield to maturity5.547%Oct 12, 2023Yield to maturity5.545%Oct 16, 2023Yield to maturity5.531%Oct 18, 2023Yield to maturity5.519%Oct 20, 2023Yield to maturity5.495%Oct 24, 2023Yield to maturity5.493%Oct 26, 2023Yield to maturity5.481%Oct 30, 2023Yield to maturity5.478%Nov 1, 2023Yield to maturity5.466%Nov 3, 2023Yield to maturity5.441%Nov 7, 2023Yield to maturity5.429%Nov 9, 2023Yield to maturity5.619%Nov 13, 2023Yield to maturity5.404%Nov 15, 2023Yield to maturity5.402%Nov 17, 2023Yield to maturity5.378%Nov 21, 2023Yield to maturity5.397%Nov 24, 2023Yield to maturity5.393%Nov 28, 2023Yield to maturity5.392%Nov 30, 2023Yield to maturity5.390%Dec 4, 2023Yield to maturity5.397%Dec 6, 2023Yield to maturity5.396%Dec 8, 2023Yield to maturity5.382%Dec 12, 2023Yield to maturity5.412%Dec 14, 2023Yield to maturity5.389%Dec 18, 2023Yield to maturity5.376%Dec 20, 2023Yield to maturity5.374%Dec 22, 2023Yield to maturity5.370%Dec 27, 2023Yield to maturity5.400%Dec 29, 2023Yield to maturity5.396%Jan 3, 2024Yield to maturity5.404%Jan 5, 2024Yield to maturity5.381%Jan 9, 2024Yield to maturity5.389%Jan 11, 2024Yield to maturity5.378%Jan 16, 2024Yield to maturity5.374%Jan 18, 2024Yield to maturity5.372%Jan 22, 2024Yield to maturity5.359%Jan 24, 2024Yield to maturity5.347%Jan 26, 2024Yield to maturity5.313%Jan 30, 2024Yield to maturity5.291%Feb 1, 2024Yield to maturity5.351%Feb 2, 2024Yield to maturity5.348%

Price history

81 trading days to Feb 5, 2024

98.0098.5099.0099.50100.00Oct 10, 2023Feb 5, 2024Oct 10, 2023Close98.243Oct 12, 2023Close98.273Oct 16, 2023Close98.336Oct 18, 2023Close98.368Oct 20, 2023Close98.434Oct 24, 2023Close98.463Oct 26, 2023Close98.496Oct 30, 2023Close98.555Nov 1, 2023Close98.587Nov 3, 2023Close98.651Nov 7, 2023Close98.683Nov 9, 2023Close98.712Nov 13, 2023Close98.775Nov 15, 2023Close98.804Nov 17, 2023Close98.867Nov 21, 2023Close98.892Nov 24, 2023Close98.965Nov 28, 2023Close98.994Nov 30, 2023Close99.023Dec 4, 2023Close99.079Dec 6, 2023Close99.109Dec 8, 2023Close99.169Dec 12, 2023Close99.193Dec 14, 2023Close99.226Dec 18, 2023Close99.285Dec 20, 2023Close99.315Dec 22, 2023Close99.388Dec 27, 2023Close99.413Dec 29, 2023Close99.487Jan 3, 2024Close99.515Jan 5, 2024Close99.575Jan 9, 2024Close99.604Jan 11, 2024Close99.634Jan 16, 2024Close99.707Jan 18, 2024Close99.737Jan 22, 2024Close99.795Jan 24, 2024Close99.825Jan 26, 2024Close99.884Jan 30, 2024Close99.913Feb 1, 2024Close99.942Feb 5, 2024Close100.000
The most recent 20 trading days of prices for 912797JC2.
DateBidOfferClose
Feb 5, 2024–99.985100.000
Feb 2, 2024–99.94299.985
Feb 1, 2024–99.92799.942
Jan 31, 2024–99.91399.927
Jan 30, 202499.90099.89999.913
Jan 29, 202499.88599.88499.899
Jan 26, 202499.84099.84099.884
Jan 25, 202499.82599.82599.840
Jan 24, 202499.81199.81099.825
Jan 23, 202499.79699.79599.810
Jan 22, 202499.78199.78099.795
Jan 19, 202499.73799.73799.781
Jan 18, 202499.72299.72299.737
Jan 17, 202499.70899.70799.722
Jan 16, 202499.69399.69399.707
Jan 12, 202499.63499.63399.693
Jan 11, 202499.62099.61999.634
Jan 10, 202499.60599.60599.619
Jan 9, 202499.59099.58999.604
Jan 8, 202499.57599.57599.589

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 912797JC2.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Oct 4, 2023Oct 10, 2023New issue$54.0bn$54.4bn2.96x–
Dec 7, 2023Dec 12, 2023Reopening$80.0bn$80.4bn2.82x–
Jan 4, 2024Jan 9, 2024Reopening$80.0bn$80.4bn2.96x–

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.