Treasury bill · Matured

912797MC8

Original term
17-Week
Maturity
Nov 19, 2024
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Nov 18, 2024
Analyzed through
Nov 15, 2024

Still priced, no longer analyzed. Risk numbers below are as of Nov 15, 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 15, 2024

Yield to maturity
4.543%
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 0.01 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

4.4%4.6%4.8%5.0%5.2%5.4%Jul 23, 2024Nov 15, 2024Jul 23, 2024Yield to maturity5.290%Jul 25, 2024Yield to maturity5.278%Jul 29, 2024Yield to maturity5.275%Jul 31, 2024Yield to maturity5.263%Aug 2, 2024Yield to maturity5.103%Aug 6, 2024Yield to maturity5.154%Aug 8, 2024Yield to maturity5.174%Aug 12, 2024Yield to maturity5.171%Aug 14, 2024Yield to maturity5.180%Aug 16, 2024Yield to maturity5.197%Aug 20, 2024Yield to maturity5.175%Aug 22, 2024Yield to maturity5.153%Aug 26, 2024Yield to maturity5.140%Aug 28, 2024Yield to maturity5.107%Aug 30, 2024Yield to maturity5.114%Sep 4, 2024Yield to maturity5.102%Sep 6, 2024Yield to maturity5.089%Sep 10, 2024Yield to maturity5.005%Sep 12, 2024Yield to maturity5.024%Sep 16, 2024Yield to maturity4.929%Sep 18, 2024Yield to maturity4.762%Sep 20, 2024Yield to maturity4.708%Sep 24, 2024Yield to maturity4.687%Sep 26, 2024Yield to maturity4.716%Sep 30, 2024Yield to maturity4.765%Oct 2, 2024Yield to maturity4.774%Oct 4, 2024Yield to maturity4.802%Oct 8, 2024Yield to maturity4.811%Oct 10, 2024Yield to maturity4.800%Oct 15, 2024Yield to maturity4.787%Oct 17, 2024Yield to maturity4.785%Oct 21, 2024Yield to maturity4.773%Oct 23, 2024Yield to maturity4.751%Oct 25, 2024Yield to maturity4.738%Oct 29, 2024Yield to maturity4.768%Oct 31, 2024Yield to maturity4.705%Nov 4, 2024Yield to maturity4.672%Nov 6, 2024Yield to maturity4.600%Nov 8, 2024Yield to maturity4.546%Nov 13, 2024Yield to maturity4.555%Nov 15, 2024Yield to maturity4.543%

Price history

82 trading days to Nov 18, 2024

98.2598.5098.7599.0099.2599.5099.75100.00Jul 23, 2024Nov 18, 2024Jul 23, 2024Close98.319Jul 25, 2024Close98.350Jul 29, 2024Close98.407Jul 31, 2024Close98.439Aug 2, 2024Close98.540Aug 6, 2024Close98.553Aug 8, 2024Close98.575Aug 12, 2024Close98.631Aug 14, 2024Close98.656Aug 16, 2024Close98.707Aug 20, 2024Close98.740Aug 22, 2024Close98.773Aug 26, 2024Close98.831Aug 28, 2024Close98.866Aug 30, 2024Close98.933Sep 4, 2024Close98.963Sep 6, 2024Close99.020Sep 10, 2024Close99.063Sep 12, 2024Close99.086Sep 16, 2024Close99.156Sep 18, 2024Close99.210Sep 20, 2024Close99.270Sep 24, 2024Close99.299Sep 26, 2024Close99.320Sep 30, 2024Close99.364Oct 2, 2024Close99.389Oct 4, 2024Close99.437Oct 8, 2024Close99.462Oct 10, 2024Close99.490Oct 15, 2024Close99.556Oct 17, 2024Close99.582Oct 21, 2024Close99.635Oct 23, 2024Close99.663Oct 25, 2024Close99.715Oct 29, 2024Close99.739Oct 31, 2024Close99.769Nov 4, 2024Close99.821Nov 6, 2024Close99.849Nov 8, 2024Close99.913Nov 13, 2024Close99.938Nov 15, 2024Close99.988Nov 18, 2024Close100.000
The most recent 20 trading days of prices for 912797MC8.
DateBidOfferClose
Nov 18, 2024–99.988100.000
Nov 15, 2024–99.95099.988
Nov 14, 2024–99.93899.950
Nov 13, 2024–99.92599.938
Nov 12, 202499.91399.91399.926
Nov 8, 202499.86399.86299.913
Nov 7, 202499.85099.84999.862
Nov 6, 202499.83799.83699.849
Nov 5, 202499.82399.82299.836
Nov 4, 202499.80999.80899.821
Nov 1, 202499.76999.76999.808
Oct 31, 202499.75599.75599.769
Oct 30, 202499.74099.73999.753
Oct 29, 202499.72899.72799.739
Oct 28, 202499.71599.71599.728
Oct 25, 202499.67699.67699.715
Oct 24, 202499.66599.66499.676
Oct 23, 202499.65099.65099.663
Oct 22, 202499.63699.63699.649
Oct 21, 202499.62299.62199.635

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 912797MC8.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Jul 17, 2024Jul 23, 2024New issue$60.0bn$60.2bn3.12x–
Sep 19, 2024Sep 24, 2024Reopening$80.0bn$80.3bn2.80x–
Oct 17, 2024Oct 22, 2024Reopening$95.0bn$95.3bn2.90x–

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.