Treasury bill · Matured

9127952R1

Original term: 26-Week
Maturity: May 19, 2011
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: May 18, 2011
Analyzed through: May 17, 2011

Still priced, no longer analyzed. Risk numbers below are as of May 17, 2011, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, May 17, 2011

Yield to maturity: 0.041%
Modified duration: 0.003 yr
DV01: 0.0000
Convexity: 0.000
Dirty price: 100.000

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 0.01 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

Price history

125 trading days to May 18, 2011

The most recent 20 trading days of prices for 9127952R1.
Date	Bid	Offer	Close
May 18, 2011	–	100.000	100.000
May 17, 2011	–	100.000	100.000
May 16, 2011	–	100.000	100.000
May 13, 2011	–	100.000	100.000
May 12, 2011	100.000	100.000	100.000
May 11, 2011	100.000	100.000	100.000
May 10, 2011	100.000	99.999	100.000
May 9, 2011	100.000	100.000	100.000
May 6, 2011	99.999	99.999	99.999
May 5, 2011	100.000	100.000	99.999
May 4, 2011	100.000	100.000	100.000
May 3, 2011	100.000	100.000	100.000
May 2, 2011	99.999	99.999	100.000
Apr 29, 2011	99.999	99.999	100.000
Apr 28, 2011	99.999	99.999	99.999
Apr 27, 2011	99.998	99.998	99.998
Apr 26, 2011	99.998	99.998	99.999
Apr 25, 2011	99.998	99.998	99.998
Apr 21, 2011	99.998	99.998	99.998
Apr 20, 2011	99.997	99.997	99.997

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 9127952R1.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Nov 15, 2010	Nov 18, 2010	New issue	$28.0bn	$28.0bn	3.97x	–
Feb 14, 2011	Feb 17, 2011	Reopening	$32.0bn	$32.0bn	4.56x	–
Mar 23, 2011	Mar 24, 2011	Reopening	$5.0bn	$5.0bn	6.79x	–
Apr 19, 2011	Apr 21, 2011	Reopening	$34.0bn	$40.3bn	4.35x	–

The curve this was priced against →