Treasury bill · Matured

912797LP0

Original term
26-Week
Maturity
Dec 12, 2024
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Dec 11, 2024
Analyzed through
Dec 10, 2024

Still priced, no longer analyzed. Risk numbers below are as of Dec 10, 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 10, 2024

Yield to maturity
4.472%
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 0.02 cents per 100 of face cheap 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, 123 observations

4.4%4.6%4.8%5.0%5.2%5.4%Jun 13, 2024Dec 10, 2024Jun 13, 2024Yield to maturity5.350%Jun 18, 2024Yield to maturity5.366%Jun 24, 2024Yield to maturity5.373%Jun 27, 2024Yield to maturity5.317%Jul 2, 2024Yield to maturity5.303%Jul 8, 2024Yield to maturity5.288%Jul 11, 2024Yield to maturity5.254%Jul 16, 2024Yield to maturity5.208%Jul 19, 2024Yield to maturity5.204%Jul 24, 2024Yield to maturity5.202%Jul 29, 2024Yield to maturity5.166%Aug 1, 2024Yield to maturity5.101%Aug 6, 2024Yield to maturity4.971%Aug 9, 2024Yield to maturity5.010%Aug 14, 2024Yield to maturity5.039%Aug 19, 2024Yield to maturity5.046%Aug 22, 2024Yield to maturity5.023%Aug 27, 2024Yield to maturity5.030%Aug 30, 2024Yield to maturity4.985%Sep 5, 2024Yield to maturity4.993%Sep 10, 2024Yield to maturity4.979%Sep 13, 2024Yield to maturity4.903%Sep 18, 2024Yield to maturity4.746%Sep 23, 2024Yield to maturity4.629%Sep 26, 2024Yield to maturity4.617%Oct 1, 2024Yield to maturity4.593%Oct 4, 2024Yield to maturity4.611%Oct 9, 2024Yield to maturity4.671%Oct 15, 2024Yield to maturity4.688%Oct 18, 2024Yield to maturity4.685%Oct 23, 2024Yield to maturity4.693%Oct 28, 2024Yield to maturity4.701%Oct 31, 2024Yield to maturity4.678%Nov 5, 2024Yield to maturity4.624%Nov 8, 2024Yield to maturity4.580%Nov 14, 2024Yield to maturity4.578%Nov 19, 2024Yield to maturity4.545%Nov 22, 2024Yield to maturity4.562%Nov 27, 2024Yield to maturity4.611%Dec 3, 2024Yield to maturity4.537%Dec 6, 2024Yield to maturity4.483%Dec 10, 2024Yield to maturity4.472%

Price history

124 trading days to Dec 11, 2024

97.0097.5098.0098.5099.0099.50100.00Jun 13, 2024Dec 11, 2024Jun 13, 2024Close97.416Jun 18, 2024Close97.492Jun 24, 2024Close97.559Jun 27, 2024Close97.625Jul 2, 2024Close97.701Jul 8, 2024Close97.790Jul 11, 2024Close97.845Jul 16, 2024Close97.932Jul 19, 2024Close98.002Jul 24, 2024Close98.044Jul 29, 2024Close98.125Aug 1, 2024Close98.189Aug 6, 2024Close98.300Aug 9, 2024Close98.353Aug 14, 2024Close98.384Aug 19, 2024Close98.448Aug 22, 2024Close98.495Aug 27, 2024Close98.560Aug 30, 2024Close98.653Sep 5, 2024Close98.691Sep 10, 2024Close98.761Sep 13, 2024Close98.845Sep 18, 2024Close98.920Sep 23, 2024Close99.008Sep 26, 2024Close99.048Oct 1, 2024Close99.114Oct 4, 2024Close99.173Oct 9, 2024Close99.200Oct 15, 2024Close99.273Oct 18, 2024Close99.337Oct 23, 2024Close99.374Oct 28, 2024Close99.437Oct 31, 2024Close99.477Nov 5, 2024Close99.546Nov 8, 2024Close99.625Nov 14, 2024Close99.662Nov 19, 2024Close99.727Nov 22, 2024Close99.788Nov 27, 2024Close99.836Dec 3, 2024Close99.901Dec 6, 2024Close99.963Dec 11, 2024Close100.000
The most recent 20 trading days of prices for 912797LP0.
DateBidOfferClose
Dec 11, 2024–99.988100.000
Dec 10, 2024–99.97599.988
Dec 9, 2024–99.96399.975
Dec 6, 2024–99.92699.963
Dec 5, 202499.91599.91499.927
Dec 4, 202499.90299.90299.914
Dec 3, 202499.88899.88899.901
Dec 2, 202499.87599.87499.887
Nov 29, 202499.83799.83699.874
Nov 27, 202499.81199.81199.836
Nov 26, 202499.79899.79799.810
Nov 25, 202499.78799.78799.799
Nov 22, 202499.75199.75199.788
Nov 21, 202499.73999.73999.751
Nov 20, 202499.72799.72799.739
Nov 19, 202499.71599.71499.727
Nov 18, 202499.70299.70199.714
Nov 15, 202499.66499.66399.701
Nov 14, 202499.65199.65099.662
Nov 13, 202499.63999.63899.650

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 912797LP0.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Jun 10, 2024Jun 13, 2024New issue$70.0bn$71.5bn3.09x–
Sep 9, 2024Sep 12, 2024Reopening$76.0bn$76.9bn3.22x–
Oct 29, 2024Oct 31, 2024Reopening$80.0bn$80.0bn2.62x–

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.