Treasury bill · Matured

912797MA2

Original term
17-Week
Maturity
Nov 5, 2024
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Nov 4, 2024
Analyzed through
Nov 1, 2024

Still priced, no longer analyzed. Risk numbers below are as of Nov 1, 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 1, 2024

Yield to maturity
4.796%
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 0.02 cents per 100 of face cheap 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, 82 observations

4.6%4.8%5.0%5.2%5.4%Jul 9, 2024Nov 1, 2024Jul 9, 2024Yield to maturity5.364%Jul 11, 2024Yield to maturity5.331%Jul 15, 2024Yield to maturity5.317%Jul 17, 2024Yield to maturity5.305%Jul 19, 2024Yield to maturity5.302%Jul 23, 2024Yield to maturity5.300%Jul 25, 2024Yield to maturity5.278%Jul 29, 2024Yield to maturity5.275%Jul 31, 2024Yield to maturity5.263%Aug 2, 2024Yield to maturity5.156%Aug 6, 2024Yield to maturity5.206%Aug 8, 2024Yield to maturity5.215%Aug 12, 2024Yield to maturity5.202%Aug 14, 2024Yield to maturity5.211%Aug 16, 2024Yield to maturity5.208%Aug 20, 2024Yield to maturity5.186%Aug 22, 2024Yield to maturity5.163%Aug 26, 2024Yield to maturity5.161%Aug 28, 2024Yield to maturity5.138%Aug 30, 2024Yield to maturity5.145%Sep 4, 2024Yield to maturity5.144%Sep 6, 2024Yield to maturity5.069%Sep 10, 2024Yield to maturity5.057%Sep 12, 2024Yield to maturity5.066%Sep 16, 2024Yield to maturity5.001%Sep 18, 2024Yield to maturity4.825%Sep 20, 2024Yield to maturity4.772%Sep 24, 2024Yield to maturity4.688%Sep 26, 2024Yield to maturity4.708%Sep 30, 2024Yield to maturity4.736%Oct 2, 2024Yield to maturity4.796%Oct 4, 2024Yield to maturity4.773%Oct 8, 2024Yield to maturity4.833%Oct 10, 2024Yield to maturity4.811%Oct 15, 2024Yield to maturity4.808%Oct 17, 2024Yield to maturity4.787%Oct 21, 2024Yield to maturity4.784%Oct 23, 2024Yield to maturity4.783%Oct 25, 2024Yield to maturity4.801%Oct 29, 2024Yield to maturity4.769%Oct 31, 2024Yield to maturity4.778%Nov 1, 2024Yield to maturity4.796%

Price history

83 trading days to Nov 4, 2024

98.2598.5098.7599.0099.2599.5099.75100.00Jul 9, 2024Nov 4, 2024Jul 9, 2024Close98.296Jul 11, 2024Close98.334Jul 15, 2024Close98.395Jul 17, 2024Close98.426Jul 19, 2024Close98.484Jul 23, 2024Close98.512Jul 25, 2024Close98.546Jul 29, 2024Close98.603Jul 31, 2024Close98.635Aug 2, 2024Close98.717Aug 6, 2024Close98.733Aug 8, 2024Close98.758Aug 12, 2024Close98.817Aug 14, 2024Close98.843Aug 16, 2024Close98.899Aug 20, 2024Close98.932Aug 22, 2024Close98.964Aug 26, 2024Close99.020Aug 28, 2024Close99.052Aug 30, 2024Close99.120Sep 4, 2024Close99.148Sep 6, 2024Close99.215Sep 10, 2024Close99.244Sep 12, 2024Close99.270Sep 16, 2024Close99.333Sep 18, 2024Close99.382Sep 20, 2024Close99.441Sep 24, 2024Close99.476Sep 26, 2024Close99.499Sep 30, 2024Close99.548Oct 2, 2024Close99.568Oct 4, 2024Close99.622Oct 8, 2024Close99.644Oct 10, 2024Close99.672Oct 15, 2024Close99.737Oct 17, 2024Close99.764Oct 21, 2024Close99.817Oct 23, 2024Close99.843Oct 25, 2024Close99.895Oct 29, 2024Close99.922Oct 31, 2024Close99.948Nov 4, 2024Close100.000
The most recent 20 trading days of prices for 912797MA2.
DateBidOfferClose
Nov 4, 2024–99.987100.000
Nov 1, 2024–99.94799.987
Oct 31, 2024–99.93599.948
Oct 30, 2024–99.92299.935
Oct 29, 202499.90999.90999.922
Oct 28, 202499.89599.89599.908
Oct 25, 202499.85699.85599.895
Oct 24, 202499.84399.84299.855
Oct 23, 202499.83099.83099.843
Oct 22, 202499.81799.81699.830
Oct 21, 202499.80499.80499.817
Oct 18, 202499.76599.76499.804
Oct 17, 202499.75199.75199.764
Oct 16, 202499.73899.73799.749
Oct 15, 202499.72499.72499.737
Oct 11, 202499.67299.67199.723
Oct 10, 202499.65999.65899.672
Oct 9, 202499.64799.64799.659
Oct 8, 202499.63199.63199.644
Oct 7, 202499.61699.61699.629

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 912797MA2.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Jul 3, 2024Jul 9, 2024New issue$60.0bn$60.2bn3.15x–
Sep 5, 2024Sep 10, 2024Reopening$80.0bn$80.3bn2.78x–
Oct 3, 2024Oct 8, 2024Reopening$95.0bn$95.3bn2.50x–

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.