Treasury bill · Matured

912795N23

Original term: 26-Week
Maturity: Jul 16, 2009
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: Jul 15, 2009
Analyzed through: Jul 14, 2009

Still priced, no longer analyzed. Risk numbers below are as of Jul 14, 2009, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, July 14, 2009

Yield to maturity: 0.122%
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 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 Jul 15, 2009

The most recent 20 trading days of prices for 912795N23.
Date	Bid	Offer	Close
Jul 15, 2009	–	100.000	100.000
Jul 14, 2009	–	99.999	100.000
Jul 13, 2009	–	99.999	99.999
Jul 10, 2009	–	99.998	99.999
Jul 9, 2009	99.998	99.997	99.998
Jul 8, 2009	99.997	99.997	99.997
Jul 7, 2009	99.997	99.997	99.997
Jul 6, 2009	99.997	99.996	99.997
Jul 2, 2009	99.996	99.995	99.997
Jul 1, 2009	99.996	99.996	99.995
Jun 30, 2009	99.996	99.996	99.995
Jun 29, 2009	99.996	99.996	99.996
Jun 26, 2009	99.997	99.997	99.998
Jun 25, 2009	99.998	99.998	99.997
Jun 24, 2009	99.994	99.994	99.995
Jun 23, 2009	99.992	99.992	99.993
Jun 22, 2009	99.994	99.993	99.993
Jun 19, 2009	99.992	99.992	99.993
Jun 18, 2009	99.991	99.991	99.991
Jun 17, 2009	99.992	99.991	99.991

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 912795N23.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Jan 12, 2009	Jan 15, 2009	New issue	$27.0bn	$27.0bn	3.20x	–
Apr 13, 2009	Apr 16, 2009	Reopening	$28.0bn	$28.0bn	3.39x	–
Apr 30, 2009	May 7, 2009	Reopening	$35.0bn	$35.0bn	3.27x	–
Jun 16, 2009	Jun 18, 2009	Reopening	$25.0bn	$31.3bn	3.87x	–

The curve this was priced against →