Treasury bill · Matured

912797LD7

Original term
26-Week
Maturity
Nov 14, 2024
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Nov 13, 2024
Analyzed through
Nov 12, 2024

Still priced, no longer analyzed. Risk numbers below are as of Nov 12, 2024, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, November 12, 2024

Yield to maturity
4.482%
Modified duration
0.003 yr
DV01
0.0000
Convexity
0.000
Dirty price
99.988

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 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, 123 observations

4.4%4.6%4.8%5.0%5.2%5.4%May 16, 2024Nov 12, 2024May 16, 2024Yield to maturity5.371%May 21, 2024Yield to maturity5.378%May 24, 2024Yield to maturity5.384%May 30, 2024Yield to maturity5.381%Jun 4, 2024Yield to maturity5.367%Jun 7, 2024Yield to maturity5.373%Jun 12, 2024Yield to maturity5.350%Jun 17, 2024Yield to maturity5.346%Jun 21, 2024Yield to maturity5.341%Jun 26, 2024Yield to maturity5.349%Jul 1, 2024Yield to maturity5.345%Jul 5, 2024Yield to maturity5.320%Jul 10, 2024Yield to maturity5.349%Jul 15, 2024Yield to maturity5.272%Jul 18, 2024Yield to maturity5.280%Jul 23, 2024Yield to maturity5.265%Jul 26, 2024Yield to maturity5.262%Jul 31, 2024Yield to maturity5.238%Aug 5, 2024Yield to maturity5.130%Aug 8, 2024Yield to maturity5.170%Aug 13, 2024Yield to maturity5.187%Aug 16, 2024Yield to maturity5.215%Aug 21, 2024Yield to maturity5.160%Aug 26, 2024Yield to maturity5.136%Aug 29, 2024Yield to maturity5.134%Sep 4, 2024Yield to maturity5.109%Sep 9, 2024Yield to maturity5.064%Sep 12, 2024Yield to maturity5.041%Sep 17, 2024Yield to maturity4.904%Sep 20, 2024Yield to maturity4.746%Sep 25, 2024Yield to maturity4.652%Sep 30, 2024Yield to maturity4.783%Oct 3, 2024Yield to maturity4.801%Oct 8, 2024Yield to maturity4.839%Oct 11, 2024Yield to maturity4.804%Oct 17, 2024Yield to maturity4.752%Oct 22, 2024Yield to maturity4.748%Oct 25, 2024Yield to maturity4.756%Oct 30, 2024Yield to maturity4.774%Nov 4, 2024Yield to maturity4.669%Nov 7, 2024Yield to maturity4.556%Nov 12, 2024Yield to maturity4.482%

Price history

124 trading days to Nov 13, 2024

97.0097.5098.0098.5099.0099.50100.00May 16, 2024Nov 13, 2024May 16, 2024Close97.406May 21, 2024Close97.472May 24, 2024Close97.554May 30, 2024Close97.597Jun 4, 2024Close97.674Jun 7, 2024Close97.741Jun 12, 2024Close97.793Jun 17, 2024Close97.864Jun 21, 2024Close97.950Jun 26, 2024Close97.989Jul 1, 2024Close98.061Jul 5, 2024Close98.155Jul 10, 2024Close98.187Jul 15, 2024Close98.282Jul 18, 2024Close98.322Jul 23, 2024Close98.396Jul 26, 2024Close98.467Jul 31, 2024Close98.515Aug 5, 2024Close98.614Aug 8, 2024Close98.645Aug 13, 2024Close98.709Aug 16, 2024Close98.772Aug 21, 2024Close98.826Aug 26, 2024Close98.901Aug 29, 2024Close98.942Sep 4, 2024Close99.030Sep 9, 2024Close99.106Sep 12, 2024Close99.151Sep 17, 2024Close99.240Sep 20, 2024Close99.328Sep 25, 2024Close99.379Sep 30, 2024Close99.427Oct 3, 2024Close99.464Oct 8, 2024Close99.525Oct 11, 2024Close99.607Oct 17, 2024Close99.650Oct 22, 2024Close99.715Oct 25, 2024Close99.779Oct 30, 2024Close99.817Nov 4, 2024Close99.885Nov 7, 2024Close99.925Nov 13, 2024Close100.000
The most recent 20 trading days of prices for 912797LD7.
DateBidOfferClose
Nov 13, 2024–99.988100.000
Nov 12, 2024–99.97599.988
Nov 8, 2024–99.92599.975
Nov 7, 202499.91399.91399.925
Nov 6, 202499.90099.90099.913
Nov 5, 202499.88699.88599.899
Nov 4, 202499.87299.87299.885
Nov 1, 202499.83399.83399.871
Oct 31, 202499.81999.81899.832
Oct 30, 202499.80599.80599.817
Oct 29, 202499.79399.79299.805
Oct 28, 202499.78099.77999.792
Oct 25, 202499.74199.74099.779
Oct 24, 202499.72999.72899.741
Oct 23, 202499.71699.71599.728
Oct 22, 202499.70299.70199.715
Oct 21, 202499.68999.68899.702
Oct 18, 202499.65099.64999.688
Oct 17, 202499.63699.63699.650
Oct 16, 202499.62399.62299.635

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 912797LD7.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
May 13, 2024May 16, 2024New issue$70.0bn$77.0bn3.02x–
Aug 12, 2024Aug 15, 2024Reopening$76.0bn$83.0bn2.95x–
Oct 1, 2024Oct 3, 2024Reopening$70.0bn$70.0bn2.64x–

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.