Treasury bill · Matured

912797LE5

Original term
26-Week
Maturity
Nov 21, 2024
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Nov 20, 2024
Analyzed through
Nov 19, 2024

Still priced, no longer analyzed. Risk numbers below are as of Nov 19, 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 19, 2024

Yield to maturity
4.411%
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 0.05 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 23, 2024Nov 19, 2024May 23, 2024Yield to maturity5.392%May 29, 2024Yield to maturity5.388%Jun 3, 2024Yield to maturity5.362%Jun 6, 2024Yield to maturity5.349%Jun 11, 2024Yield to maturity5.367%Jun 14, 2024Yield to maturity5.331%Jun 20, 2024Yield to maturity5.360%Jun 25, 2024Yield to maturity5.345%Jun 28, 2024Yield to maturity5.320%Jul 3, 2024Yield to maturity5.317%Jul 9, 2024Yield to maturity5.313%Jul 12, 2024Yield to maturity5.278%Jul 17, 2024Yield to maturity5.296%Jul 22, 2024Yield to maturity5.261%Jul 25, 2024Yield to maturity5.259%Jul 30, 2024Yield to maturity5.244%Aug 2, 2024Yield to maturity5.105%Aug 7, 2024Yield to maturity5.134%Aug 12, 2024Yield to maturity5.151%Aug 15, 2024Yield to maturity5.191%Aug 20, 2024Yield to maturity5.177%Aug 23, 2024Yield to maturity5.142%Aug 28, 2024Yield to maturity5.129%Sep 3, 2024Yield to maturity5.125%Sep 6, 2024Yield to maturity5.090%Sep 11, 2024Yield to maturity5.006%Sep 16, 2024Yield to maturity4.920%Sep 19, 2024Yield to maturity4.732%Sep 24, 2024Yield to maturity4.657%Sep 27, 2024Yield to maturity4.716%Oct 2, 2024Yield to maturity4.755%Oct 7, 2024Yield to maturity4.813%Oct 10, 2024Yield to maturity4.801%Oct 16, 2024Yield to maturity4.777%Oct 21, 2024Yield to maturity4.743%Oct 24, 2024Yield to maturity4.741%Oct 29, 2024Yield to maturity4.759%Nov 1, 2024Yield to maturity4.654%Nov 6, 2024Yield to maturity4.591%Nov 12, 2024Yield to maturity4.526%Nov 15, 2024Yield to maturity4.463%Nov 19, 2024Yield to maturity4.411%

Price history

124 trading days to Nov 20, 2024

97.0097.5098.0098.5099.0099.50100.00May 23, 2024Nov 20, 2024May 23, 2024Close97.396May 29, 2024Close97.482Jun 3, 2024Close97.563Jun 6, 2024Close97.611Jun 11, 2024Close97.674Jun 14, 2024Close97.758Jun 20, 2024Close97.803Jun 25, 2024Close97.879Jun 28, 2024Close97.958Jul 3, 2024Close98.015Jul 9, 2024Close98.087Jul 12, 2024Close98.169Jul 17, 2024Close98.204Jul 22, 2024Close98.286Jul 25, 2024Close98.328Jul 30, 2024Close98.402Aug 2, 2024Close98.512Aug 7, 2024Close98.545Aug 12, 2024Close98.608Aug 15, 2024Close98.639Aug 20, 2024Close98.712Aug 23, 2024Close98.789Aug 28, 2024Close98.833Sep 3, 2024Close98.917Sep 6, 2024Close98.992Sep 11, 2024Close99.049Sep 16, 2024Close99.132Sep 19, 2024Close99.203Sep 24, 2024Close99.278Sep 27, 2024Close99.333Oct 2, 2024Close99.366Oct 7, 2024Close99.423Oct 10, 2024Close99.464Oct 16, 2024Close99.544Oct 21, 2024Close99.612Oct 24, 2024Close99.650Oct 29, 2024Close99.714Nov 1, 2024Close99.784Nov 6, 2024Close99.824Nov 12, 2024Close99.901Nov 15, 2024Close99.963Nov 20, 2024Close100.000
The most recent 20 trading days of prices for 912797LE5.
DateBidOfferClose
Nov 20, 2024–99.988100.000
Nov 19, 2024–99.97699.988
Nov 18, 2024–99.96399.976
Nov 15, 2024–99.92799.963
Nov 14, 202499.91499.91499.926
Nov 13, 202499.90199.90099.913
Nov 12, 202499.88899.88899.901
Nov 8, 202499.83999.83899.888
Nov 7, 202499.82599.82599.838
Nov 6, 202499.81199.81199.824
Nov 5, 202499.79899.79899.810
Nov 4, 202499.78499.78499.796
Nov 1, 202499.74599.74499.784
Oct 31, 202499.73099.72999.743
Oct 30, 202499.71599.71499.727
Oct 29, 202499.70399.70299.714
Oct 28, 202499.68999.68999.702
Oct 25, 202499.65099.65099.689
Oct 24, 202499.63999.63899.650
Oct 23, 202499.62599.62599.638

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 912797LE5.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
May 20, 2024May 23, 2024New issue$70.0bn$75.6bn2.92x–
Aug 19, 2024Aug 22, 2024Reopening$76.0bn$81.6bn3.12x–
Oct 8, 2024Oct 10, 2024Reopening$80.0bn$80.0bn2.96x–

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.