Treasury bill · Matured

912797LQ8

Original term
26-Week
Maturity
Dec 19, 2024
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Dec 18, 2024
Analyzed through
Dec 17, 2024

Still priced, no longer analyzed. Risk numbers below are as of Dec 17, 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 17, 2024

Yield to maturity
4.634%
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 0.09 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, 124 observations

4.4%4.6%4.8%5.0%5.2%5.4%Jun 20, 2024Dec 17, 2024Jun 20, 2024Yield to maturity5.360%Jun 25, 2024Yield to maturity5.346%Jun 28, 2024Yield to maturity5.310%Jul 3, 2024Yield to maturity5.307%Jul 9, 2024Yield to maturity5.282%Jul 12, 2024Yield to maturity5.225%Jul 17, 2024Yield to maturity5.201%Jul 22, 2024Yield to maturity5.187%Jul 25, 2024Yield to maturity5.143%Jul 30, 2024Yield to maturity5.118%Aug 2, 2024Yield to maturity4.925%Aug 7, 2024Yield to maturity4.934%Aug 12, 2024Yield to maturity4.983%Aug 15, 2024Yield to maturity5.054%Aug 20, 2024Yield to maturity5.040%Aug 23, 2024Yield to maturity5.005%Aug 28, 2024Yield to maturity5.014%Sep 3, 2024Yield to maturity5.030%Sep 6, 2024Yield to maturity4.964%Sep 11, 2024Yield to maturity4.962%Sep 16, 2024Yield to maturity4.865%Sep 19, 2024Yield to maturity4.729%Sep 24, 2024Yield to maturity4.622%Sep 27, 2024Yield to maturity4.609%Oct 2, 2024Yield to maturity4.607%Oct 7, 2024Yield to maturity4.666%Oct 10, 2024Yield to maturity4.685%Oct 16, 2024Yield to maturity4.671%Oct 21, 2024Yield to maturity4.699%Oct 24, 2024Yield to maturity4.676%Oct 29, 2024Yield to maturity4.663%Nov 1, 2024Yield to maturity4.640%Nov 6, 2024Yield to maturity4.628%Nov 12, 2024Yield to maturity4.593%Nov 15, 2024Yield to maturity4.580%Nov 20, 2024Yield to maturity4.568%Nov 25, 2024Yield to maturity4.616%Nov 29, 2024Yield to maturity4.633%Dec 4, 2024Yield to maturity4.520%Dec 9, 2024Yield to maturity4.517%Dec 12, 2024Yield to maturity4.535%Dec 17, 2024Yield to maturity4.634%

Price history

125 trading days to Dec 18, 2024

97.0097.5098.0098.5099.0099.50100.00Jun 20, 2024Dec 18, 2024Jun 20, 2024Close97.411Jun 25, 2024Close97.487Jun 28, 2024Close97.573Jul 3, 2024Close97.630Jul 9, 2024Close97.710Jul 12, 2024Close97.802Jul 17, 2024Close97.853Jul 22, 2024Close97.926Jul 25, 2024Close97.984Jul 30, 2024Close98.061Aug 2, 2024Close98.198Aug 7, 2024Close98.234Aug 12, 2024Close98.283Aug 15, 2024Close98.299Aug 20, 2024Close98.370Aug 23, 2024Close98.448Aug 28, 2024Close98.485Sep 3, 2024Close98.560Sep 6, 2024Close98.645Sep 11, 2024Close98.685Sep 16, 2024Close98.775Sep 19, 2024Close98.847Sep 24, 2024Close98.935Sep 27, 2024Close99.000Oct 2, 2024Close99.037Oct 7, 2024Close99.088Oct 10, 2024Close99.122Oct 16, 2024Close99.200Oct 21, 2024Close99.259Oct 24, 2024Close99.300Oct 29, 2024Close99.365Nov 1, 2024Close99.431Nov 6, 2024Close99.470Nov 12, 2024Close99.549Nov 15, 2024Close99.612Nov 20, 2024Close99.651Nov 25, 2024Close99.710Nov 29, 2024Close99.785Dec 4, 2024Close99.827Dec 9, 2024Close99.889Dec 12, 2024Close99.925Dec 17, 2024Close99.987Dec 18, 2024Close100.000
The most recent 20 trading days of prices for 912797LQ8.
DateBidOfferClose
Dec 18, 2024–99.987100.000
Dec 17, 2024–99.97599.987
Dec 16, 2024–99.96299.975
Dec 13, 2024–99.92599.962
Dec 12, 202499.91499.91499.925
Dec 11, 202499.90299.90299.914
Dec 10, 202499.89099.88999.901
Dec 9, 202499.87799.87699.889
Dec 6, 202499.84099.84099.876
Dec 5, 202499.82799.82799.840
Dec 4, 202499.81699.81599.827
Dec 3, 202499.80299.80299.814
Dec 2, 202499.78699.78699.800
Nov 29, 202499.74799.74799.785
Nov 27, 202499.72299.72199.747
Nov 26, 202499.71099.70999.722
Nov 25, 202499.69999.69899.710
Nov 22, 202499.66299.66199.699
Nov 21, 202499.65199.65099.662
Nov 20, 202499.63999.63899.651

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 912797LQ8.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Jun 17, 2024Jun 20, 2024New issue$70.0bn$70.3bn2.82x–
Sep 16, 2024Sep 19, 2024Reopening$76.0bn$76.3bn2.61x–
Nov 5, 2024Nov 7, 2024Reopening$80.0bn$80.0bn2.78x–

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.