Treasury bill · Matured

912796AE9

Original term
52-Week
Maturity
Nov 14, 2013
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Nov 13, 2013
Analyzed through
Nov 12, 2013

Still priced, no longer analyzed. Risk numbers below are as of Nov 12, 2013, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, November 12, 2013

Yield to maturity
0.030%
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 0.02 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, 248 observations

0.00%0.05%0.10%0.15%0.20%0.25%0.30%Nov 15, 2012Nov 12, 2013Nov 15, 2012Yield to maturity0.173%Nov 26, 2012Yield to maturity0.162%Dec 4, 2012Yield to maturity0.173%Dec 12, 2012Yield to maturity0.132%Dec 20, 2012Yield to maturity0.142%Dec 31, 2012Yield to maturity0.152%Jan 9, 2013Yield to maturity0.122%Jan 17, 2013Yield to maturity0.132%Jan 28, 2013Yield to maturity0.132%Feb 5, 2013Yield to maturity0.122%Feb 13, 2013Yield to maturity0.132%Feb 22, 2013Yield to maturity0.142%Mar 4, 2013Yield to maturity0.132%Mar 12, 2013Yield to maturity0.122%Mar 20, 2013Yield to maturity0.112%Mar 28, 2013Yield to maturity0.110%Apr 8, 2013Yield to maturity0.112%Apr 16, 2013Yield to maturity0.091%Apr 24, 2013Yield to maturity0.091%May 2, 2013Yield to maturity0.071%May 10, 2013Yield to maturity0.081%May 20, 2013Yield to maturity0.081%May 29, 2013Yield to maturity0.071%Jun 6, 2013Yield to maturity0.071%Jun 14, 2013Yield to maturity0.061%Jun 24, 2013Yield to maturity0.071%Jul 2, 2013Yield to maturity0.051%Jul 11, 2013Yield to maturity0.030%Jul 19, 2013Yield to maturity0.030%Jul 29, 2013Yield to maturity0.030%Aug 6, 2013Yield to maturity0.051%Aug 14, 2013Yield to maturity0.051%Aug 22, 2013Yield to maturity0.020%Aug 30, 2013Yield to maturity0.020%Sep 10, 2013Yield to maturity0.010%Sep 18, 2013Yield to maturity0.000%Sep 26, 2013Yield to maturity0.020%Oct 4, 2013Yield to maturity0.101%Oct 15, 2013Yield to maturity0.284%Oct 23, 2013Yield to maturity0.020%Oct 31, 2013Yield to maturity0.020%Nov 8, 2013Yield to maturity0.030%Nov 12, 2013Yield to maturity0.030%

Price history

249 trading days to Nov 13, 2013

99.8099.8599.9099.95100.00Nov 15, 2012Nov 13, 2013Nov 15, 2012Close99.829Nov 26, 2012Close99.844Dec 4, 2012Close99.838Dec 12, 2012Close99.879Dec 20, 2012Close99.872Dec 31, 2012Close99.868Jan 9, 2013Close99.897Jan 17, 2013Close99.892Jan 28, 2013Close99.896Feb 5, 2013Close99.906Feb 13, 2013Close99.901Feb 22, 2013Close99.898Mar 4, 2013Close99.908Mar 12, 2013Close99.918Mar 20, 2013Close99.927Mar 28, 2013Close99.931Apr 8, 2013Close99.933Apr 16, 2013Close99.947Apr 24, 2013Close99.949May 2, 2013Close99.962May 10, 2013Close99.959May 20, 2013Close99.961May 29, 2013Close99.967Jun 6, 2013Close99.969Jun 14, 2013Close99.975Jun 24, 2013Close99.972Jul 2, 2013Close99.981Jul 11, 2013Close99.990Jul 19, 2013Close99.990Jul 29, 2013Close99.991Aug 6, 2013Close99.986Aug 14, 2013Close99.987Aug 22, 2013Close99.995Aug 30, 2013Close99.996Sep 10, 2013Close99.998Sep 18, 2013Close100.000Sep 26, 2013Close99.997Oct 4, 2013Close99.989Oct 15, 2013Close99.977Oct 23, 2013Close99.999Oct 31, 2013Close99.999Nov 8, 2013Close100.000Nov 13, 2013Close100.000
The most recent 20 trading days of prices for 912796AE9.
DateBidOfferClose
Nov 13, 2013–100.000100.000
Nov 12, 2013–100.000100.000
Nov 8, 2013–99.999100.000
Nov 7, 2013100.00099.99999.999
Nov 6, 201399.99999.99999.999
Nov 5, 201399.99999.99999.999
Nov 4, 2013100.00099.99999.999
Nov 1, 201399.99999.99999.999
Oct 31, 201399.99999.99999.999
Oct 30, 201399.99999.99999.999
Oct 29, 201399.99999.99999.999
Oct 28, 201399.99999.99999.999
Oct 25, 201399.99999.99999.999
Oct 24, 201399.99999.99999.999
Oct 23, 201399.99999.99999.999
Oct 22, 201399.99999.99999.999
Oct 21, 201399.99899.99899.999
Oct 18, 201399.99999.99999.999
Oct 17, 201399.99999.99899.999
Oct 16, 201399.98299.98199.988

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 912796AE9.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Nov 14, 2012Nov 15, 2012New issue$25.0bn$25.0bn5.08x–
May 13, 2013May 16, 2013Reopening$24.0bn$24.0bn5.25x–
Aug 12, 2013Aug 15, 2013Reopening$30.0bn$30.0bn4.78x–
Oct 16, 2013Oct 17, 2013Reopening$20.0bn$20.0bn4.33x–

The curve this was priced against →

Index levels before September 30, 2026 are back-tested. They were computed after the fact by applying the rules to historical data, which benefits from hindsight in the choice of rules, and an index cannot be invested in directly. Methodology v1.0 takes effect at that rebalance, when levels begin to be struck on the day; the rulebook is identical either way, and the version is published on every row.

A fitted curve is a fit, not a quote. Daily error averages 3.8 basis points across the history and reaches about 20 on the worst days, in December 2008, when the market was genuinely hard to fit one smooth curve to. Every curve page publishes its own fit error rather than burying it.

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Curves are fitted from public Treasury data and carry fit error; figures are not a record of trading, and an index cannot be invested in directly. No claim of compliance with the IOSCO Principles for Financial Benchmarks is made or implied. Not investment advice, not an offer, and not a recommendation to buy or sell any security.