Treasury bill · Matured

912797JE8

Original term
17-Week
Maturity
Feb 20, 2024
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Feb 16, 2024
Analyzed through
Feb 15, 2024

Still priced, no longer analyzed. Risk numbers below are as of Feb 15, 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 15, 2024

Yield to maturity
5.320%
Modified duration
0.011 yr
DV01
0.0001
Convexity
0.000
Dirty price
99.942

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 0.011 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 rich to the curve on that day.

Shown as a price rather than a yield. This bill is 5 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, 79 observations

5.30%5.35%5.40%5.45%5.50%5.55%5.60%5.65%Oct 24, 2023Feb 15, 2024Oct 24, 2023Yield to maturity5.515%Oct 26, 2023Yield to maturity5.503%Oct 30, 2023Yield to maturity5.500%Nov 1, 2023Yield to maturity5.498%Nov 3, 2023Yield to maturity5.463%Nov 7, 2023Yield to maturity5.451%Nov 9, 2023Yield to maturity5.604%Nov 13, 2023Yield to maturity5.436%Nov 15, 2023Yield to maturity5.424%Nov 17, 2023Yield to maturity5.400%Nov 21, 2023Yield to maturity5.408%Nov 24, 2023Yield to maturity5.415%Nov 28, 2023Yield to maturity5.403%Nov 30, 2023Yield to maturity5.391%Dec 4, 2023Yield to maturity5.398%Dec 6, 2023Yield to maturity5.376%Dec 8, 2023Yield to maturity5.383%Dec 12, 2023Yield to maturity5.392%Dec 14, 2023Yield to maturity5.390%Dec 18, 2023Yield to maturity5.377%Dec 20, 2023Yield to maturity5.375%Dec 22, 2023Yield to maturity5.402%Dec 27, 2023Yield to maturity5.421%Dec 29, 2023Yield to maturity5.397%Jan 3, 2024Yield to maturity5.405%Jan 5, 2024Yield to maturity5.392%Jan 9, 2024Yield to maturity5.390%Jan 11, 2024Yield to maturity5.378%Jan 16, 2024Yield to maturity5.385%Jan 18, 2024Yield to maturity5.373%Jan 22, 2024Yield to maturity5.390%Jan 24, 2024Yield to maturity5.378%Jan 26, 2024Yield to maturity5.365%Jan 30, 2024Yield to maturity5.363%Feb 1, 2024Yield to maturity5.372%Feb 5, 2024Yield to maturity5.369%Feb 7, 2024Yield to maturity5.357%Feb 9, 2024Yield to maturity5.364%Feb 13, 2024Yield to maturity5.342%Feb 15, 2024Yield to maturity5.320%

Price history

80 trading days to Feb 16, 2024

98.2598.5098.7599.0099.2599.5099.75100.00Oct 24, 2023Feb 16, 2024Oct 24, 2023Close98.253Oct 26, 2023Close98.286Oct 30, 2023Close98.345Nov 1, 2023Close98.374Nov 3, 2023Close98.442Nov 7, 2023Close98.475Nov 9, 2023Close98.507Nov 13, 2023Close98.565Nov 15, 2023Close98.597Nov 17, 2023Close98.661Nov 21, 2023Close98.688Nov 24, 2023Close98.758Nov 28, 2023Close98.790Nov 30, 2023Close98.821Dec 4, 2023Close98.877Dec 6, 2023Close98.910Dec 8, 2023Close98.967Dec 12, 2023Close98.994Dec 14, 2023Close99.023Dec 18, 2023Close99.083Dec 20, 2023Close99.112Dec 22, 2023Close99.180Dec 27, 2023Close99.207Dec 29, 2023Close99.283Jan 3, 2024Close99.311Jan 5, 2024Close99.371Jan 9, 2024Close99.400Jan 11, 2024Close99.430Jan 16, 2024Close99.502Jan 18, 2024Close99.532Jan 22, 2024Close99.589Jan 24, 2024Close99.619Jan 26, 2024Close99.679Jan 30, 2024Close99.708Feb 1, 2024Close99.737Feb 5, 2024Close99.795Feb 7, 2024Close99.825Feb 9, 2024Close99.883Feb 13, 2024Close99.912Feb 15, 2024Close99.942Feb 16, 2024Close100.000
The most recent 20 trading days of prices for 912797JE8.
DateBidOfferClose
Feb 16, 2024–99.942100.000
Feb 15, 2024–99.92799.942
Feb 14, 2024–99.91299.927
Feb 13, 202499.89899.89899.912
Feb 12, 202499.88399.88399.898
Feb 9, 202499.83999.83999.883
Feb 8, 202499.82599.82599.839
Feb 7, 202499.81099.81099.825
Feb 6, 202499.79599.79599.810
Feb 5, 202499.78199.78099.795
Feb 2, 202499.73799.73799.780
Feb 1, 202499.72299.72199.737
Jan 31, 202499.70899.70899.723
Jan 30, 202499.69399.69399.708
Jan 29, 202499.67999.67999.693
Jan 26, 202499.63599.63599.679
Jan 25, 202499.62099.62099.635
Jan 24, 202499.60699.60599.619
Jan 23, 202499.59099.58999.604
Jan 22, 202499.57599.57499.589

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 912797JE8.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Oct 18, 2023Oct 24, 2023New issue$56.0bn$56.4bn3.27x–
Dec 21, 2023Dec 26, 2023Reopening$80.0bn$80.4bn2.74x–
Jan 18, 2024Jan 23, 2024Reopening$85.0bn$85.4bn2.81x–

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.