Treasury bill · Matured

9127962N8

Original term: 8-Week
Maturity: May 26, 2020
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: May 22, 2020
Analyzed through: May 21, 2020

Still priced, no longer analyzed. Risk numbers below are as of May 21, 2020, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, May 21, 2020

Yield to maturity: 0.061%
Modified duration: 0.011 yr
DV01: 0.0001
Convexity: 0.000
Dirty price: 99.999

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 0.011 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 5 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, 37 observations

Price history

38 trading days to May 22, 2020

The most recent 20 trading days of prices for 9127962N8.
Date	Bid	Offer	Close
May 22, 2020	–	99.999	100.000
May 21, 2020	–	99.999	99.999
May 20, 2020	–	99.999	99.999
May 19, 2020	99.999	99.998	99.999
May 18, 2020	99.999	99.998	99.998
May 15, 2020	99.998	99.998	99.998
May 14, 2020	99.998	99.998	99.998
May 13, 2020	99.998	99.997	99.997
May 12, 2020	99.997	99.996	99.996
May 11, 2020	99.997	99.995	99.996
May 8, 2020	99.996	99.996	99.996
May 7, 2020	99.996	99.995	99.996
May 6, 2020	99.995	99.994	99.995
May 5, 2020	99.995	99.994	99.994
May 4, 2020	99.995	99.995	99.995
May 1, 2020	99.994	99.993	99.994
Apr 30, 2020	99.994	99.993	99.994
Apr 29, 2020	99.994	99.994	99.993
Apr 28, 2020	99.994	99.993	99.994
Apr 27, 2020	99.992	99.990	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.

2 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 9127962N8.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Mar 26, 2020	Mar 31, 2020	New issue	$50.0bn	$51.2bn	3.77x	–
Apr 23, 2020	Apr 28, 2020	Reopening	$90.0bn	$93.9bn	2.92x	–

The curve this was priced against →