Treasury bill · Matured

912797MQ7

Original term
17-Week
Maturity
Dec 24, 2024
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Dec 23, 2024
Analyzed through
Dec 20, 2024

Still priced, no longer analyzed. Risk numbers below are as of Dec 20, 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 20, 2024

Yield to maturity
4.350%
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 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

4.2%4.4%4.6%4.8%5.0%5.2%Aug 27, 2024Dec 20, 2024Aug 27, 2024Yield to maturity5.070%Aug 29, 2024Yield to maturity5.069%Sep 3, 2024Yield to maturity5.044%Sep 5, 2024Yield to maturity5.022%Sep 9, 2024Yield to maturity4.988%Sep 11, 2024Yield to maturity4.987%Sep 13, 2024Yield to maturity4.911%Sep 17, 2024Yield to maturity4.868%Sep 19, 2024Yield to maturity4.721%Sep 23, 2024Yield to maturity4.656%Sep 25, 2024Yield to maturity4.614%Sep 27, 2024Yield to maturity4.591%Oct 1, 2024Yield to maturity4.621%Oct 3, 2024Yield to maturity4.609%Oct 7, 2024Yield to maturity4.659%Oct 9, 2024Yield to maturity4.668%Oct 11, 2024Yield to maturity4.654%Oct 16, 2024Yield to maturity4.653%Oct 18, 2024Yield to maturity4.671%Oct 22, 2024Yield to maturity4.681%Oct 24, 2024Yield to maturity4.700%Oct 28, 2024Yield to maturity4.698%Oct 30, 2024Yield to maturity4.696%Nov 1, 2024Yield to maturity4.643%Nov 5, 2024Yield to maturity4.621%Nov 7, 2024Yield to maturity4.609%Nov 12, 2024Yield to maturity4.596%Nov 14, 2024Yield to maturity4.585%Nov 18, 2024Yield to maturity4.583%Nov 20, 2024Yield to maturity4.581%Nov 22, 2024Yield to maturity4.600%Nov 26, 2024Yield to maturity4.639%Nov 29, 2024Yield to maturity4.626%Dec 3, 2024Yield to maturity4.554%Dec 5, 2024Yield to maturity4.532%Dec 9, 2024Yield to maturity4.520%Dec 11, 2024Yield to maturity4.518%Dec 13, 2024Yield to maturity4.537%Dec 17, 2024Yield to maturity4.485%Dec 19, 2024Yield to maturity4.372%Dec 20, 2024Yield to maturity4.350%

Price history

81 trading days to Dec 23, 2024

98.2598.5098.7599.0099.2599.5099.75100.00Aug 27, 2024Dec 23, 2024Aug 27, 2024Close98.387Aug 29, 2024Close98.415Sep 3, 2024Close98.489Sep 5, 2024Close98.522Sep 9, 2024Close98.585Sep 11, 2024Close98.612Sep 13, 2024Close98.686Sep 17, 2024Close98.723Sep 19, 2024Close98.786Sep 23, 2024Close98.852Sep 25, 2024Close98.888Sep 27, 2024Close98.942Oct 1, 2024Close98.960Oct 3, 2024Close98.987Oct 7, 2024Close99.027Oct 9, 2024Close99.050Oct 11, 2024Close99.115Oct 16, 2024Close99.141Oct 18, 2024Close99.188Oct 22, 2024Close99.211Oct 24, 2024Close99.233Oct 28, 2024Close99.284Oct 30, 2024Close99.310Nov 1, 2024Close99.368Nov 5, 2024Close99.396Nov 7, 2024Close99.422Nov 12, 2024Close99.486Nov 14, 2024Close99.513Nov 18, 2024Close99.563Nov 20, 2024Close99.588Nov 22, 2024Close99.636Nov 26, 2024Close99.658Nov 29, 2024Close99.722Dec 3, 2024Close99.751Dec 5, 2024Close99.777Dec 9, 2024Close99.827Dec 11, 2024Close99.852Dec 13, 2024Close99.901Dec 17, 2024Close99.926Dec 19, 2024Close99.952Dec 23, 2024Close100.000
The most recent 20 trading days of prices for 912797MQ7.
DateBidOfferClose
Dec 23, 2024–99.988100.000
Dec 20, 2024–99.95299.988
Dec 19, 2024–99.94099.952
Dec 18, 2024–99.92799.940
Dec 17, 202499.91599.91499.926
Dec 16, 202499.90299.90199.914
Dec 13, 202499.86499.86499.901
Dec 12, 202499.85299.85299.863
Dec 11, 202499.84099.84099.852
Dec 10, 202499.82899.82899.839
Dec 9, 202499.81599.81599.827
Dec 6, 202499.77899.77899.815
Dec 5, 202499.76599.76499.777
Dec 4, 202499.75299.75299.764
Dec 3, 202499.74099.73999.751
Dec 2, 202499.72399.72399.736
Nov 29, 202499.68499.68499.722
Nov 27, 202499.65899.65899.683
Nov 26, 202499.64699.64599.658
Nov 25, 202499.63499.63399.645

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 912797MQ7.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Aug 21, 2024Aug 27, 2024New issue$60.0bn$60.2bn3.28x–
Oct 24, 2024Oct 29, 2024Reopening$90.0bn$90.3bn2.83x–
Nov 21, 2024Nov 26, 2024Reopening$95.0bn$95.3bn2.68x–

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.