Treasury bill · Matured

912797ME4

Original term
17-Week
Maturity
Dec 3, 2024
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Dec 2, 2024
Analyzed through
Nov 29, 2024

Still priced, no longer analyzed. Risk numbers below are as of Nov 29, 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 29, 2024

Yield to maturity
4.533%
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 0.03 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, 80 observations

4.5%4.6%4.7%4.8%4.9%5.0%5.1%5.2%Aug 6, 2024Nov 29, 2024Aug 6, 2024Yield to maturity5.133%Aug 8, 2024Yield to maturity5.152%Aug 12, 2024Yield to maturity5.150%Aug 14, 2024Yield to maturity5.159%Aug 16, 2024Yield to maturity5.156%Aug 20, 2024Yield to maturity5.133%Aug 22, 2024Yield to maturity5.101%Aug 26, 2024Yield to maturity5.108%Aug 28, 2024Yield to maturity5.065%Aug 30, 2024Yield to maturity5.051%Sep 4, 2024Yield to maturity5.071%Sep 6, 2024Yield to maturity5.037%Sep 10, 2024Yield to maturity4.973%Sep 12, 2024Yield to maturity4.992%Sep 16, 2024Yield to maturity4.886%Sep 18, 2024Yield to maturity4.781%Sep 20, 2024Yield to maturity4.707%Sep 24, 2024Yield to maturity4.613%Sep 26, 2024Yield to maturity4.653%Sep 30, 2024Yield to maturity4.650%Oct 2, 2024Yield to maturity4.598%Oct 4, 2024Yield to maturity4.739%Oct 8, 2024Yield to maturity4.769%Oct 10, 2024Yield to maturity4.757%Oct 15, 2024Yield to maturity4.754%Oct 17, 2024Yield to maturity4.753%Oct 21, 2024Yield to maturity4.751%Oct 23, 2024Yield to maturity4.760%Oct 25, 2024Yield to maturity4.747%Oct 29, 2024Yield to maturity4.735%Oct 31, 2024Yield to maturity4.673%Nov 4, 2024Yield to maturity4.640%Nov 6, 2024Yield to maturity4.577%Nov 8, 2024Yield to maturity4.564%Nov 13, 2024Yield to maturity4.563%Nov 15, 2024Yield to maturity4.561%Nov 19, 2024Yield to maturity4.539%Nov 21, 2024Yield to maturity4.569%Nov 25, 2024Yield to maturity4.597%Nov 27, 2024Yield to maturity4.575%Nov 29, 2024Yield to maturity4.533%

Price history

81 trading days to Dec 2, 2024

98.2598.5098.7599.0099.2599.5099.75100.00Aug 6, 2024Dec 2, 2024Aug 6, 2024Close98.368Aug 8, 2024Close98.389Aug 12, 2024Close98.444Aug 14, 2024Close98.469Aug 16, 2024Close98.525Aug 20, 2024Close98.558Aug 22, 2024Close98.595Aug 26, 2024Close98.647Aug 28, 2024Close98.685Aug 30, 2024Close98.756Sep 4, 2024Close98.779Sep 6, 2024Close98.841Sep 10, 2024Close98.882Sep 12, 2024Close98.904Sep 16, 2024Close98.980Sep 18, 2024Close99.027Sep 20, 2024Close99.093Sep 24, 2024Close99.136Sep 26, 2024Close99.153Sep 30, 2024Close99.204Oct 2, 2024Close99.237Oct 4, 2024Close99.265Oct 8, 2024Close99.287Oct 10, 2024Close99.314Oct 15, 2024Close99.379Oct 17, 2024Close99.405Oct 21, 2024Close99.456Oct 23, 2024Close99.481Oct 25, 2024Close99.534Oct 29, 2024Close99.561Oct 31, 2024Close99.592Nov 4, 2024Close99.645Nov 6, 2024Close99.675Nov 8, 2024Close99.738Nov 13, 2024Close99.763Nov 15, 2024Close99.813Nov 19, 2024Close99.839Nov 21, 2024Close99.862Nov 25, 2024Close99.912Nov 27, 2024Close99.950Dec 2, 2024Close100.000
The most recent 20 trading days of prices for 912797ME4.
DateBidOfferClose
Dec 2, 2024–99.987100.000
Nov 29, 2024–99.95099.988
Nov 27, 2024–99.92499.950
Nov 26, 202499.91299.91299.924
Nov 25, 202499.90099.89999.912
Nov 22, 202499.86299.86299.900
Nov 21, 202499.85099.85099.862
Nov 20, 202499.83999.83999.851
Nov 19, 202499.82799.82699.839
Nov 18, 202499.81399.81399.826
Nov 15, 202499.77699.77599.813
Nov 14, 202499.76499.76399.775
Nov 13, 202499.75099.74999.763
Nov 12, 202499.73999.73899.750
Nov 8, 202499.68899.68899.738
Nov 7, 202499.67699.67699.688
Nov 6, 202499.66199.66199.675
Nov 5, 202499.64799.64799.659
Nov 4, 202499.63399.63399.645
Nov 1, 202499.59699.59599.632

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 912797ME4.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Jul 31, 2024Aug 6, 2024New issue$60.0bn$60.2bn3.24x–
Oct 3, 2024Oct 8, 2024Reopening$90.0bn$90.3bn2.72x–
Oct 31, 2024Nov 5, 2024Reopening$95.0bn$95.3bn2.82x–

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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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.