Treasury bill · Matured

912796ZV4

Original term
52-Week
Maturity
Dec 26, 2024
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Dec 24, 2024
Analyzed through
Dec 23, 2024

Still priced, no longer analyzed. Risk numbers below are as of Dec 23, 2024, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, December 23, 2024

Yield to maturity
4.320%
Modified duration
0.005 yr
DV01
0.0001
Convexity
0.000
Dirty price
99.976

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 0.005 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 cheap to the curve on that day.

Shown as a price rather than a yield. This bill is 3 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, 248 observations

4.2%4.4%4.6%4.8%5.0%5.2%5.4%Dec 28, 2023Dec 23, 2024Dec 28, 2023Yield to maturity4.824%Jan 8, 2024Yield to maturity4.830%Jan 17, 2024Yield to maturity4.826%Jan 25, 2024Yield to maturity4.811%Feb 2, 2024Yield to maturity4.861%Feb 12, 2024Yield to maturity4.933%Feb 21, 2024Yield to maturity5.037%Feb 29, 2024Yield to maturity5.063%Mar 8, 2024Yield to maturity5.037%Mar 18, 2024Yield to maturity5.142%Mar 26, 2024Yield to maturity5.052%Apr 3, 2024Yield to maturity5.092%Apr 11, 2024Yield to maturity5.207%Apr 19, 2024Yield to maturity5.247%Apr 29, 2024Yield to maturity5.222%May 7, 2024Yield to maturity5.274%May 15, 2024Yield to maturity5.261%May 23, 2024Yield to maturity5.312%Jun 3, 2024Yield to maturity5.235%Jun 11, 2024Yield to maturity5.288%Jun 20, 2024Yield to maturity5.287%Jun 28, 2024Yield to maturity5.315%Jul 9, 2024Yield to maturity5.287%Jul 17, 2024Yield to maturity5.175%Jul 25, 2024Yield to maturity5.158%Aug 2, 2024Yield to maturity4.909%Aug 12, 2024Yield to maturity4.987%Aug 20, 2024Yield to maturity5.003%Aug 28, 2024Yield to maturity5.008%Sep 6, 2024Yield to maturity4.959%Sep 16, 2024Yield to maturity4.839%Sep 24, 2024Yield to maturity4.626%Oct 2, 2024Yield to maturity4.611%Oct 10, 2024Yield to maturity4.648%Oct 21, 2024Yield to maturity4.693%Oct 29, 2024Yield to maturity4.688%Nov 6, 2024Yield to maturity4.570%Nov 15, 2024Yield to maturity4.584%Nov 25, 2024Yield to maturity4.631%Dec 4, 2024Yield to maturity4.524%Dec 12, 2024Yield to maturity4.509%Dec 20, 2024Yield to maturity4.361%Dec 23, 2024Yield to maturity4.320%

Price history

249 trading days to Dec 24, 2024

9596979899100Dec 28, 2023Dec 24, 2024Dec 28, 2023Close95.382Jan 8, 2024Close95.512Jan 17, 2024Close95.627Jan 25, 2024Close95.738Feb 2, 2024Close95.820Feb 12, 2024Close95.861Feb 21, 2024Close95.893Feb 29, 2024Close95.967Mar 8, 2024Close96.117Mar 18, 2024Close96.146Mar 26, 2024Close96.316Apr 3, 2024Close96.394Apr 11, 2024Close96.424Apr 19, 2024Close96.535Apr 29, 2024Close96.660May 7, 2024Close96.739May 15, 2024Close96.858May 23, 2024Close96.940Jun 3, 2024Close97.136Jun 11, 2024Close97.220Jun 20, 2024Close97.347Jun 28, 2024Close97.473Jul 9, 2024Close97.611Jul 17, 2024Close97.768Jul 25, 2024Close97.883Aug 2, 2024Close98.113Aug 12, 2024Close98.189Aug 20, 2024Close98.289Aug 28, 2024Close98.394Sep 6, 2024Close98.554Sep 16, 2024Close98.692Sep 24, 2024Close98.847Oct 2, 2024Close98.950Oct 10, 2024Close99.042Oct 21, 2024Close99.171Oct 29, 2024Close99.273Nov 6, 2024Close99.390Nov 15, 2024Close99.525Nov 25, 2024Close99.621Dec 4, 2024Close99.740Dec 12, 2024Close99.840Dec 20, 2024Close99.964Dec 24, 2024Close100.000
The most recent 20 trading days of prices for 912796ZV4.
DateBidOfferClose
Dec 24, 2024–99.976100.000
Dec 23, 2024–99.96499.976
Dec 20, 2024–99.92899.964
Dec 19, 202499.91799.91699.928
Dec 18, 202499.90499.90499.916
Dec 17, 202499.89099.89099.902
Dec 16, 202499.87799.87799.889
Dec 13, 202499.84199.84099.877
Dec 12, 202499.82899.82899.840
Dec 11, 202499.81599.81599.827
Dec 10, 202499.80599.80499.816
Dec 9, 202499.79199.79199.804
Dec 6, 202499.75399.75399.790
Dec 5, 202499.74199.74099.753
Dec 4, 202499.72999.72799.740
Dec 3, 202499.71699.71599.727
Dec 2, 202499.69999.69999.712
Nov 29, 202499.65999.65999.697
Nov 27, 202499.63399.63399.658
Nov 26, 202499.62099.61999.632

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.

5 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 912796ZV4.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Dec 26, 2023Dec 28, 2023New issue$44.0bn$45.5bn3.27x–
Jun 24, 2024Jun 27, 2024Reopening$70.0bn$71.4bn3.16x–
Sep 23, 2024Sep 26, 2024Reopening$76.0bn$77.0bn2.84x–
Nov 12, 2024Nov 14, 2024Reopening$80.0bn$80.0bn2.51x–
Nov 25, 2024Nov 26, 2024Reopening$40.0bn$40.0bn3.65x–

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.