Treasury bill · Matured

9127965F2

Original term: 154-Day
Maturity: Dec 29, 2020
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: Dec 28, 2020
Analyzed through: Dec 24, 2020

Still priced, no longer analyzed. Risk numbers below are as of Dec 24, 2020, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, December 24, 2020

Yield to maturity: 0.101%
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 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, 104 observations

Price history

105 trading days to Dec 28, 2020

The most recent 20 trading days of prices for 9127965F2.
Date	Bid	Offer	Close
Dec 28, 2020	–	100.000	100.000
Dec 24, 2020	–	99.999	100.000
Dec 23, 2020	–	99.999	99.999
Dec 22, 2020	99.999	99.999	99.999
Dec 21, 2020	99.998	99.998	99.999
Dec 18, 2020	99.998	99.998	99.998
Dec 17, 2020	99.998	99.997	99.998
Dec 16, 2020	99.997	99.997	99.997
Dec 15, 2020	99.997	99.997	99.997
Dec 14, 2020	99.997	99.997	99.997
Dec 11, 2020	99.996	99.996	99.997
Dec 10, 2020	99.996	99.996	99.996
Dec 9, 2020	99.995	99.995	99.996
Dec 8, 2020	99.996	99.995	99.996
Dec 7, 2020	99.995	99.995	99.995
Dec 4, 2020	99.995	99.994	99.995
Dec 3, 2020	99.995	99.995	99.994
Dec 2, 2020	99.994	99.994	99.995
Dec 1, 2020	99.994	99.994	99.995
Nov 30, 2020	99.994	99.994	99.994

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.

5 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 9127965F2.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Jul 22, 2020	Jul 28, 2020	New issue	$30.0bn	$30.0bn	3.18x	–
Sep 9, 2020	Sep 15, 2020	Reopening	$25.0bn	$25.0bn	3.70x	–
Oct 29, 2020	Nov 3, 2020	Reopening	$35.0bn	$38.4bn	3.45x	–
Nov 25, 2020	Dec 1, 2020	Reopening	$30.0bn	$32.9bn	3.38x	–
Dec 17, 2020	Dec 21, 2020	Reopening	$0.0bn	$0.0bn	6.53x	–

The curve this was priced against →