Treasury bill · Matured

912797LV7

Original term
17-Week
Maturity
Oct 29, 2024
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Oct 28, 2024
Analyzed through
Oct 25, 2024

Still priced, no longer analyzed. Risk numbers below are as of Oct 25, 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 25, 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 0.01 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

4.6%4.8%5.0%5.2%5.4%Jul 2, 2024Oct 25, 2024Jul 2, 2024Yield to maturity5.374%Jul 5, 2024Yield to maturity5.360%Jul 9, 2024Yield to maturity5.369%Jul 11, 2024Yield to maturity5.336%Jul 15, 2024Yield to maturity5.322%Jul 17, 2024Yield to maturity5.341%Jul 19, 2024Yield to maturity5.317%Jul 23, 2024Yield to maturity5.316%Jul 25, 2024Yield to maturity5.304%Jul 29, 2024Yield to maturity5.290%Jul 31, 2024Yield to maturity5.278%Aug 2, 2024Yield to maturity5.192%Aug 6, 2024Yield to maturity5.232%Aug 8, 2024Yield to maturity5.231%Aug 12, 2024Yield to maturity5.207%Aug 14, 2024Yield to maturity5.216%Aug 16, 2024Yield to maturity5.223%Aug 20, 2024Yield to maturity5.201%Aug 22, 2024Yield to maturity5.189%Aug 26, 2024Yield to maturity5.176%Aug 28, 2024Yield to maturity5.185%Aug 30, 2024Yield to maturity5.222%Sep 4, 2024Yield to maturity5.190%Sep 6, 2024Yield to maturity5.146%Sep 10, 2024Yield to maturity5.062%Sep 12, 2024Yield to maturity5.071%Sep 16, 2024Yield to maturity4.986%Sep 18, 2024Yield to maturity4.842%Sep 20, 2024Yield to maturity4.778%Sep 24, 2024Yield to maturity4.684%Sep 26, 2024Yield to maturity4.744%Sep 30, 2024Yield to maturity4.824%Oct 2, 2024Yield to maturity4.812%Oct 4, 2024Yield to maturity4.820%Oct 8, 2024Yield to maturity4.819%Oct 10, 2024Yield to maturity4.807%Oct 15, 2024Yield to maturity4.804%Oct 17, 2024Yield to maturity4.813%Oct 21, 2024Yield to maturity4.790%Oct 23, 2024Yield to maturity4.779%Oct 25, 2024Yield to maturity4.766%

Price history

82 trading days to Oct 28, 2024

98.2598.5098.7599.0099.2599.5099.75100.00Jul 2, 2024Oct 28, 2024Jul 2, 2024Close98.292Jul 5, 2024Close98.368Jul 9, 2024Close98.394Jul 11, 2024Close98.432Jul 15, 2024Close98.492Jul 17, 2024Close98.515Jul 19, 2024Close98.578Jul 23, 2024Close98.607Jul 25, 2024Close98.638Jul 29, 2024Close98.698Jul 31, 2024Close98.729Aug 2, 2024Close98.805Aug 6, 2024Close98.824Aug 8, 2024Close98.853Aug 12, 2024Close98.913Aug 14, 2024Close98.940Aug 16, 2024Close98.994Aug 20, 2024Close99.026Aug 22, 2024Close99.056Aug 26, 2024Close99.115Aug 28, 2024Close99.141Aug 30, 2024Close99.205Sep 4, 2024Close99.238Sep 6, 2024Close99.300Sep 10, 2024Close99.339Sep 12, 2024Close99.365Sep 16, 2024Close99.430Sep 18, 2024Close99.472Sep 20, 2024Close99.531Sep 24, 2024Close99.566Sep 26, 2024Close99.586Sep 30, 2024Close99.631Oct 2, 2024Close99.658Oct 4, 2024Close99.710Oct 8, 2024Close99.737Oct 10, 2024Close99.763Oct 15, 2024Close99.829Oct 17, 2024Close99.855Oct 21, 2024Close99.908Oct 23, 2024Close99.935Oct 25, 2024Close99.987Oct 28, 2024Close100.000
The most recent 20 trading days of prices for 912797LV7.
DateBidOfferClose
Oct 28, 2024–99.987100.000
Oct 25, 2024–99.94899.987
Oct 24, 2024–99.93499.947
Oct 23, 2024–99.92199.935
Oct 22, 202499.90899.90899.921
Oct 21, 202499.89599.89599.908
Oct 18, 202499.85699.85599.895
Oct 17, 202499.84399.84299.855
Oct 16, 202499.83099.83099.842
Oct 15, 202499.81799.81699.829
Oct 11, 202499.76399.76399.816
Oct 10, 202499.75199.75099.763
Oct 9, 202499.73899.73899.750
Oct 8, 202499.72499.72499.737
Oct 7, 202499.71199.71099.723
Oct 4, 202499.67199.66999.710
Oct 3, 202499.65999.65899.671
Oct 2, 202499.64699.64599.658
Oct 1, 202499.63199.63099.643
Sep 30, 202499.62099.61999.631

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 912797LV7.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Jun 26, 2024Jul 2, 2024New issue$60.0bn$60.2bn2.75x–
Aug 29, 2024Sep 3, 2024Reopening$80.0bn$80.2bn2.60x–
Sep 26, 2024Oct 1, 2024Reopening$90.0bn$90.3bn2.81x–

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.

Free to benchmark against. Paid only to track. Measuring anything against these curves and indices is free. No license, no fee, no registration, and no permission needed to say that you did, including in a prospectus. A fee applies to one thing: launching a product that tracks an index.

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.