Treasury bill · Matured

9127956X4

Original term: 26-Week
Maturity: Dec 20, 2012
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: Dec 19, 2012
Analyzed through: Dec 18, 2012

Still priced, no longer analyzed. Risk numbers below are as of Dec 18, 2012, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, December 18, 2012

Yield to maturity: 0.091%
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, 123 observations

Price history

124 trading days to Dec 19, 2012

The most recent 20 trading days of prices for 9127956X4.
Date	Bid	Offer	Close
Dec 19, 2012	–	100.000	100.000
Dec 18, 2012	–	100.000	100.000
Dec 17, 2012	–	100.000	100.000
Dec 14, 2012	–	99.999	100.000
Dec 13, 2012	99.998	99.998	99.999
Dec 12, 2012	99.998	99.998	99.998
Dec 11, 2012	99.998	99.998	99.998
Dec 10, 2012	99.997	99.997	99.998
Dec 7, 2012	99.995	99.995	99.997
Dec 6, 2012	99.995	99.995	99.995
Dec 5, 2012	99.994	99.994	99.995
Dec 4, 2012	99.994	99.994	99.994
Dec 3, 2012	99.996	99.996	99.996
Nov 30, 2012	99.996	99.996	99.997
Nov 29, 2012	99.993	99.993	99.993
Nov 28, 2012	99.991	99.991	99.991
Nov 27, 2012	99.990	99.990	99.991
Nov 26, 2012	99.990	99.989	99.990
Nov 23, 2012	99.988	99.988	99.989
Nov 21, 2012	99.987	99.986	99.988

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 9127956X4.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Jun 18, 2012	Jun 21, 2012	New issue	$27.0bn	$27.0bn	4.50x	–
Sep 17, 2012	Sep 20, 2012	Reopening	$32.0bn	$32.0bn	4.59x	–
Nov 7, 2012	Nov 8, 2012	Reopening	$25.0bn	$25.0bn	4.72x	–
Nov 20, 2012	Nov 23, 2012	Reopening	$40.0bn	$40.0bn	4.12x	–

The curve this was priced against →