Treasury bill · Matured

9127955T4

Original term: 26-Week
Maturity: Jun 21, 2012
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: Jun 20, 2012
Analyzed through: Jun 19, 2012

Still priced, no longer analyzed. Risk numbers below are as of Jun 19, 2012, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, June 19, 2012

Yield to maturity: 0.051%
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 rich 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 Jun 20, 2012

The most recent 20 trading days of prices for 9127955T4.
Date	Bid	Offer	Close
Jun 20, 2012	–	100.000	100.000
Jun 19, 2012	–	100.000	100.000
Jun 18, 2012	–	99.999	100.000
Jun 15, 2012	–	99.999	99.999
Jun 14, 2012	99.999	99.999	99.999
Jun 13, 2012	99.999	99.999	99.999
Jun 12, 2012	99.999	99.999	99.999
Jun 11, 2012	99.999	99.999	99.999
Jun 8, 2012	99.998	99.998	99.999
Jun 7, 2012	99.999	99.998	99.999
Jun 6, 2012	99.998	99.998	99.998
Jun 5, 2012	99.998	99.998	99.998
Jun 4, 2012	99.999	99.999	99.999
Jun 1, 2012	99.999	99.999	100.000
May 31, 2012	99.999	99.998	99.998
May 30, 2012	99.997	99.997	99.998
May 29, 2012	99.996	99.996	99.996
May 25, 2012	99.995	99.995	99.996
May 24, 2012	99.994	99.994	99.994
May 23, 2012	99.995	99.994	99.995

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 9127955T4.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Dec 19, 2011	Dec 22, 2011	New issue	$27.0bn	$27.0bn	5.04x	–
Mar 19, 2012	Mar 22, 2012	Reopening	$33.0bn	$33.0bn	4.30x	–
May 22, 2012	May 24, 2012	Reopening	$30.0bn	$32.4bn	4.95x	–

The curve this was priced against →