Treasury bill · Matured

9127953Z2

Original term: 26-Week
Maturity: Dec 29, 2011
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: Dec 28, 2011
Analyzed through: Dec 27, 2011

Still priced, no longer analyzed. Risk numbers below are as of Dec 27, 2011, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, December 27, 2011

Yield to maturity: 0.010%
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 0.00 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

Price history

124 trading days to Dec 28, 2011

The most recent 20 trading days of prices for 9127953Z2.
Date	Bid	Offer	Close
Dec 28, 2011	–	100.000	100.000
Dec 27, 2011	–	100.000	100.000
Dec 23, 2011	–	100.000	100.000
Dec 22, 2011	100.000	100.000	100.000
Dec 21, 2011	100.000	100.000	100.000
Dec 20, 2011	100.000	100.000	100.000
Dec 19, 2011	100.000	99.999	100.000
Dec 16, 2011	99.999	99.999	99.999
Dec 15, 2011	100.000	100.000	100.000
Dec 14, 2011	99.999	99.999	99.999
Dec 13, 2011	99.999	99.999	99.999
Dec 12, 2011	100.000	100.000	100.000
Dec 9, 2011	100.000	99.999	100.000
Dec 8, 2011	100.000	99.999	99.999
Dec 7, 2011	99.999	99.999	99.999
Dec 6, 2011	100.000	99.999	99.999
Dec 5, 2011	100.000	99.999	99.999
Dec 2, 2011	100.000	99.999	99.999
Dec 1, 2011	99.999	99.999	99.999
Nov 30, 2011	99.998	99.998	99.998

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 9127953Z2.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Jun 27, 2011	Jun 30, 2011	New issue	$24.0bn	$24.0bn	4.93x	–
Sep 26, 2011	Sep 29, 2011	Reopening	$29.0bn	$29.0bn	4.56x	–
Nov 29, 2011	Dec 1, 2011	Reopening	$35.0bn	$41.3bn	4.40x	–

The curve this was priced against →