Treasury bill · Matured

912797LS4

Original term
17-Week
Maturity
Oct 8, 2024
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Oct 7, 2024
Analyzed through
Oct 4, 2024

Still priced, no longer analyzed. Risk numbers below are as of Oct 4, 2024, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, October 4, 2024

Yield to maturity
4.766%
Modified duration
0.003 yr
DV01
0.0000
Convexity
0.000
Dirty price
99.987

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 0.03 cents per 100 of face rich 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

4.4%4.6%4.8%5.0%5.2%5.4%Jun 11, 2024Oct 4, 2024Jun 11, 2024Yield to maturity5.395%Jun 13, 2024Yield to maturity5.383%Jun 17, 2024Yield to maturity5.390%Jun 20, 2024Yield to maturity5.388%Jun 24, 2024Yield to maturity5.374%Jun 26, 2024Yield to maturity5.373%Jun 28, 2024Yield to maturity5.359%Jul 2, 2024Yield to maturity5.368%Jul 5, 2024Yield to maturity5.354%Jul 9, 2024Yield to maturity5.362%Jul 11, 2024Yield to maturity5.351%Jul 15, 2024Yield to maturity5.347%Jul 17, 2024Yield to maturity5.335%Jul 19, 2024Yield to maturity5.332%Jul 23, 2024Yield to maturity5.331%Jul 25, 2024Yield to maturity5.329%Jul 29, 2024Yield to maturity5.305%Jul 31, 2024Yield to maturity5.304%Aug 2, 2024Yield to maturity5.259%Aug 6, 2024Yield to maturity5.237%Aug 8, 2024Yield to maturity5.267%Aug 12, 2024Yield to maturity5.295%Aug 14, 2024Yield to maturity5.283%Aug 16, 2024Yield to maturity5.300%Aug 20, 2024Yield to maturity5.268%Aug 22, 2024Yield to maturity5.246%Aug 26, 2024Yield to maturity5.263%Aug 28, 2024Yield to maturity5.252%Aug 30, 2024Yield to maturity5.227%Sep 4, 2024Yield to maturity5.195%Sep 6, 2024Yield to maturity5.141%Sep 10, 2024Yield to maturity5.058%Sep 12, 2024Yield to maturity5.077%Sep 16, 2024Yield to maturity5.003%Sep 18, 2024Yield to maturity4.808%Sep 20, 2024Yield to maturity4.724%Sep 24, 2024Yield to maturity4.590%Sep 26, 2024Yield to maturity4.721%Sep 30, 2024Yield to maturity4.739%Oct 2, 2024Yield to maturity4.748%Oct 4, 2024Yield to maturity4.766%

Price history

82 trading days to Oct 7, 2024

98.2598.5098.7599.0099.2599.5099.75100.00Jun 11, 2024Oct 7, 2024Jun 11, 2024Close98.286Jun 13, 2024Close98.318Jun 17, 2024Close98.373Jun 20, 2024Close98.416Jun 24, 2024Close98.478Jun 26, 2024Close98.507Jun 28, 2024Close98.567Jul 2, 2024Close98.594Jul 5, 2024Close98.669Jul 9, 2024Close98.695Jul 11, 2024Close98.726Jul 15, 2024Close98.784Jul 17, 2024Close98.816Jul 19, 2024Close98.873Jul 23, 2024Close98.902Jul 25, 2024Close98.931Jul 29, 2024Close98.993Jul 31, 2024Close99.022Aug 2, 2024Close99.086Aug 6, 2024Close99.118Aug 8, 2024Close99.142Aug 12, 2024Close99.194Aug 14, 2024Close99.225Aug 16, 2024Close99.279Aug 20, 2024Close99.312Aug 22, 2024Close99.343Aug 26, 2024Close99.398Aug 28, 2024Close99.428Aug 30, 2024Close99.501Sep 4, 2024Close99.532Sep 6, 2024Close99.593Sep 10, 2024Close99.627Sep 12, 2024Close99.653Sep 16, 2024Close99.713Sep 18, 2024Close99.750Sep 20, 2024Close99.806Sep 24, 2024Close99.837Sep 26, 2024Close99.858Sep 30, 2024Close99.909Oct 2, 2024Close99.935Oct 4, 2024Close99.987Oct 7, 2024Close100.000
The most recent 20 trading days of prices for 912797LS4.
DateBidOfferClose
Oct 7, 2024–99.987100.000
Oct 4, 2024–99.94899.987
Oct 3, 2024–99.93599.948
Oct 2, 2024–99.92299.935
Oct 1, 202499.90999.90899.920
Sep 30, 202499.89799.89699.909
Sep 27, 202499.85999.85899.897
Sep 26, 202499.84799.84799.858
Sep 25, 202499.83799.83699.848
Sep 24, 202499.82399.82399.837
Sep 23, 202499.80899.80799.821
Sep 20, 202499.76999.76999.806
Sep 19, 202499.75599.75499.769
Sep 18, 202499.73699.73499.750
Sep 17, 202499.71799.71599.730
Sep 16, 202499.70099.69999.713
Sep 13, 202499.65699.65499.697
Sep 12, 202499.63999.63999.653
Sep 11, 202499.62799.62699.639
Sep 10, 202499.61299.61299.627

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 912797LS4.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Jun 5, 2024Jun 11, 2024New issue$60.0bn$60.2bn2.79x–
Aug 8, 2024Aug 13, 2024Reopening$90.0bn$90.3bn2.74x–
Sep 5, 2024Sep 10, 2024Reopening$80.0bn$80.3bn3.03x–

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.