Treasury bill · Matured

912797MD6

Original term
17-Week
Maturity
Nov 26, 2024
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Nov 25, 2024
Analyzed through
Nov 22, 2024

Still priced, no longer analyzed. Risk numbers below are as of Nov 22, 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 22, 2024

Yield to maturity
4.614%
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 0.00 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 30, 2024Nov 22, 2024Jul 30, 2024Yield to maturity5.269%Aug 1, 2024Yield to maturity5.226%Aug 5, 2024Yield to maturity5.108%Aug 7, 2024Yield to maturity5.148%Aug 9, 2024Yield to maturity5.166%Aug 13, 2024Yield to maturity5.154%Aug 15, 2024Yield to maturity5.194%Aug 19, 2024Yield to maturity5.181%Aug 21, 2024Yield to maturity5.128%Aug 23, 2024Yield to maturity5.135%Aug 27, 2024Yield to maturity5.123%Aug 29, 2024Yield to maturity5.101%Sep 3, 2024Yield to maturity5.108%Sep 5, 2024Yield to maturity5.075%Sep 9, 2024Yield to maturity5.041%Sep 11, 2024Yield to maturity5.019%Sep 13, 2024Yield to maturity4.924%Sep 17, 2024Yield to maturity4.881%Sep 19, 2024Yield to maturity4.694%Sep 23, 2024Yield to maturity4.661%Sep 25, 2024Yield to maturity4.690%Sep 27, 2024Yield to maturity4.750%Oct 1, 2024Yield to maturity4.789%Oct 3, 2024Yield to maturity4.778%Oct 7, 2024Yield to maturity4.796%Oct 9, 2024Yield to maturity4.805%Oct 11, 2024Yield to maturity4.781%Oct 16, 2024Yield to maturity4.780%Oct 18, 2024Yield to maturity4.767%Oct 22, 2024Yield to maturity4.746%Oct 24, 2024Yield to maturity4.734%Oct 28, 2024Yield to maturity4.752%Oct 30, 2024Yield to maturity4.751%Nov 1, 2024Yield to maturity4.667%Nov 5, 2024Yield to maturity4.615%Nov 7, 2024Yield to maturity4.583%Nov 12, 2024Yield to maturity4.539%Nov 14, 2024Yield to maturity4.548%Nov 18, 2024Yield to maturity4.546%Nov 20, 2024Yield to maturity4.576%Nov 22, 2024Yield to maturity4.614%

Price history

82 trading days to Nov 25, 2024

98.2598.5098.7599.0099.2599.5099.75100.00Jul 30, 2024Nov 25, 2024Jul 30, 2024Close98.325Aug 1, 2024Close98.366Aug 5, 2024Close98.457Aug 7, 2024Close98.472Aug 9, 2024Close98.522Aug 13, 2024Close98.553Aug 15, 2024Close98.569Aug 19, 2024Close98.628Aug 21, 2024Close98.669Aug 23, 2024Close98.722Aug 27, 2024Close98.752Aug 29, 2024Close98.785Sep 3, 2024Close98.852Sep 5, 2024Close98.886Sep 9, 2024Close98.948Sep 11, 2024Close98.979Sep 13, 2024Close99.051Sep 17, 2024Close99.086Sep 19, 2024Close99.146Sep 23, 2024Close99.202Sep 25, 2024Close99.222Sep 27, 2024Close99.264Oct 1, 2024Close99.283Oct 3, 2024Close99.311Oct 7, 2024Close99.360Oct 9, 2024Close99.385Oct 11, 2024Close99.453Oct 16, 2024Close99.479Oct 18, 2024Close99.532Oct 22, 2024Close99.560Oct 24, 2024Close99.587Oct 28, 2024Close99.637Oct 30, 2024Close99.663Nov 1, 2024Close99.719Nov 5, 2024Close99.748Nov 7, 2024Close99.775Nov 12, 2024Close99.839Nov 14, 2024Close99.863Nov 18, 2024Close99.913Nov 20, 2024Close99.937Nov 22, 2024Close99.987Nov 25, 2024Close100.000
The most recent 20 trading days of prices for 912797MD6.
DateBidOfferClose
Nov 25, 2024–99.987100.000
Nov 22, 2024–99.94999.987
Nov 21, 2024–99.93799.949
Nov 20, 2024–99.92599.937
Nov 19, 202499.91399.91399.925
Nov 18, 202499.90199.90099.913
Nov 15, 202499.86499.86399.900
Nov 14, 202499.85199.85199.863
Nov 13, 202499.83899.83899.850
Nov 12, 202499.82699.82699.839
Nov 8, 202499.77599.77599.825
Nov 7, 202499.76399.76299.775
Nov 6, 202499.74999.74899.761
Nov 5, 202499.73599.73599.748
Nov 4, 202499.72199.72199.733
Nov 1, 202499.68299.68199.719
Oct 31, 202499.66599.66599.680
Oct 30, 202499.65099.65099.663
Oct 29, 202499.63899.63899.650
Oct 28, 202499.62499.62499.637

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 912797MD6.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Jul 24, 2024Jul 30, 2024New issue$60.0bn$60.2bn3.00x–
Sep 26, 2024Oct 1, 2024Reopening$85.0bn$85.3bn2.42x–
Oct 24, 2024Oct 29, 2024Reopening$95.0bn$95.3bn2.83x–

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.