Treasury bill · Matured

912797JR9

Original term
52-Week
Maturity
Jan 23, 2025
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Jan 22, 2025
Analyzed through
Jan 21, 2025

Still priced, no longer analyzed. Risk numbers below are as of Jan 21, 2025, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, January 21, 2025

Yield to maturity
4.279%
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 0.00 cents per 100 of face rich to the curve on that day.

Shown as a price rather than a yield. This bill is 2 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%Jan 25, 2024Jan 21, 2025Jan 25, 2024Yield to maturity4.759%Feb 2, 2024Yield to maturity4.819%Feb 12, 2024Yield to maturity4.892%Feb 21, 2024Yield to maturity4.975%Feb 29, 2024Yield to maturity5.022%Mar 8, 2024Yield to maturity4.974%Mar 18, 2024Yield to maturity5.068%Mar 26, 2024Yield to maturity4.999%Apr 3, 2024Yield to maturity5.061%Apr 11, 2024Yield to maturity5.176%Apr 19, 2024Yield to maturity5.204%Apr 29, 2024Yield to maturity5.157%May 7, 2024Yield to maturity5.187%May 15, 2024Yield to maturity5.119%May 23, 2024Yield to maturity5.159%Jun 3, 2024Yield to maturity5.070%Jun 11, 2024Yield to maturity5.175%Jun 20, 2024Yield to maturity5.098%Jun 28, 2024Yield to maturity5.107%Jul 9, 2024Yield to maturity5.074%Jul 17, 2024Yield to maturity5.105%Jul 25, 2024Yield to maturity5.147%Aug 2, 2024Yield to maturity4.853%Aug 12, 2024Yield to maturity4.985%Aug 20, 2024Yield to maturity4.917%Aug 28, 2024Yield to maturity4.869%Sep 6, 2024Yield to maturity4.841%Sep 16, 2024Yield to maturity4.752%Sep 24, 2024Yield to maturity4.528%Oct 2, 2024Yield to maturity4.513%Oct 10, 2024Yield to maturity4.581%Oct 21, 2024Yield to maturity4.637%Oct 29, 2024Yield to maturity4.601%Nov 6, 2024Yield to maturity4.524%Nov 15, 2024Yield to maturity4.487%Nov 25, 2024Yield to maturity4.514%Dec 4, 2024Yield to maturity4.447%Dec 12, 2024Yield to maturity4.350%Dec 20, 2024Yield to maturity4.294%Dec 31, 2024Yield to maturity4.350%Jan 9, 2025Yield to maturity4.305%Jan 17, 2025Yield to maturity4.280%Jan 21, 2025Yield to maturity4.279%

Price history

249 trading days to Jan 22, 2025

9596979899100Jan 25, 2024Jan 22, 2025Jan 25, 2024Close95.442Feb 2, 2024Close95.509Feb 12, 2024Close95.544Feb 21, 2024Close95.585Feb 29, 2024Close95.636Mar 8, 2024Close95.804Mar 18, 2024Close95.832Mar 26, 2024Close95.990Apr 3, 2024Close96.047Apr 11, 2024Close96.067Apr 19, 2024Close96.182Apr 29, 2024Close96.322May 7, 2024Close96.411May 15, 2024Close96.563May 23, 2024Close96.645Jun 3, 2024Close96.848Jun 11, 2024Close96.894Jun 20, 2024Close97.060Jun 28, 2024Close97.190Jul 9, 2024Close97.330Jul 17, 2024Close97.422Jul 25, 2024Close97.511Aug 2, 2024Close97.777Aug 12, 2024Close97.822Aug 20, 2024Close97.955Aug 28, 2024Close98.077Sep 6, 2024Close98.228Sep 16, 2024Close98.361Sep 24, 2024Close98.533Oct 2, 2024Close98.634Oct 10, 2024Close98.712Oct 21, 2024Close98.832Oct 29, 2024Close98.940Nov 6, 2024Close99.055Nov 15, 2024Close99.195Nov 25, 2024Close99.288Dec 4, 2024Close99.407Dec 12, 2024Close99.514Dec 20, 2024Close99.637Dec 31, 2024Close99.750Jan 9, 2025Close99.847Jan 17, 2025Close99.977Jan 22, 2025Close100.000
The most recent 20 trading days of prices for 912797JR9.
DateBidOfferClose
Jan 22, 2025–99.988100.000
Jan 21, 2025–99.97799.988
Jan 17, 2025–99.93099.977
Jan 16, 202599.91899.91899.930
Jan 15, 202599.90699.90699.918
Jan 14, 202599.89499.89499.906
Jan 13, 202599.88299.88299.894
Jan 10, 202599.84899.84799.882
Jan 9, 202599.83699.83599.847
Jan 8, 202599.82599.82499.835
Jan 7, 202599.81399.81299.824
Jan 6, 202599.80099.80099.812
Jan 3, 202599.76499.76399.799
Jan 2, 202599.75299.75199.763
Dec 31, 202499.73099.72899.750
Dec 30, 202499.71899.71799.728
Dec 27, 202499.68399.68299.717
Dec 26, 202499.67199.67099.683
Dec 24, 202499.65099.64899.670
Dec 23, 202499.63799.63699.647

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.

4 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 912797JR9.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Jan 23, 2024Jan 25, 2024New issue$46.0bn$48.6bn3.05x–
Jul 22, 2024Jul 25, 2024Reopening$70.0bn$74.0bn2.85x–
Oct 21, 2024Oct 24, 2024Reopening$81.0bn$85.6bn3.07x–
Dec 10, 2024Dec 12, 2024Reopening$70.0bn$70.0bn2.67x–

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.