Treasury bill · Matured

912796BS7

Original term
26-Week
Maturity
Jan 2, 2014
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Dec 31, 2013
Analyzed through
Dec 30, 2013

Still priced, no longer analyzed. Risk numbers below are as of Dec 30, 2013, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, December 30, 2013

Yield to maturity
0.000%
Modified duration
0.005 yr
DV01
0.0001
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 0.005 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 3 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, 122 observations

0.00%0.02%0.04%0.06%0.08%0.10%Jul 5, 2013Dec 30, 2013Jul 5, 2013Yield to maturity0.081%Jul 10, 2013Yield to maturity0.071%Jul 15, 2013Yield to maturity0.071%Jul 18, 2013Yield to maturity0.061%Jul 23, 2013Yield to maturity0.061%Jul 26, 2013Yield to maturity0.061%Jul 31, 2013Yield to maturity0.061%Aug 5, 2013Yield to maturity0.071%Aug 8, 2013Yield to maturity0.071%Aug 13, 2013Yield to maturity0.061%Aug 16, 2013Yield to maturity0.061%Aug 21, 2013Yield to maturity0.051%Aug 26, 2013Yield to maturity0.041%Aug 29, 2013Yield to maturity0.030%Sep 4, 2013Yield to maturity0.020%Sep 9, 2013Yield to maturity0.030%Sep 12, 2013Yield to maturity0.020%Sep 17, 2013Yield to maturity0.020%Sep 20, 2013Yield to maturity0.020%Sep 25, 2013Yield to maturity0.010%Sep 30, 2013Yield to maturity0.010%Oct 3, 2013Yield to maturity0.030%Oct 8, 2013Yield to maturity0.051%Oct 11, 2013Yield to maturity0.071%Oct 17, 2013Yield to maturity0.020%Oct 22, 2013Yield to maturity0.010%Oct 25, 2013Yield to maturity0.010%Oct 30, 2013Yield to maturity0.020%Nov 4, 2013Yield to maturity0.030%Nov 7, 2013Yield to maturity0.041%Nov 13, 2013Yield to maturity0.030%Nov 18, 2013Yield to maturity0.041%Nov 21, 2013Yield to maturity0.020%Nov 26, 2013Yield to maturity0.020%Dec 2, 2013Yield to maturity0.020%Dec 5, 2013Yield to maturity0.020%Dec 10, 2013Yield to maturity0.020%Dec 13, 2013Yield to maturity0.020%Dec 18, 2013Yield to maturity0.020%Dec 23, 2013Yield to maturity0.010%Dec 27, 2013Yield to maturity0.000%Dec 30, 2013Yield to maturity0.000%

Price history

123 trading days to Dec 31, 2013

99.9699.9799.9899.99100.00Jul 5, 2013Dec 31, 2013Jul 5, 2013Close99.960Jul 10, 2013Close99.966Jul 15, 2013Close99.967Jul 18, 2013Close99.972Jul 23, 2013Close99.973Jul 26, 2013Close99.974Jul 31, 2013Close99.974Aug 5, 2013Close99.971Aug 8, 2013Close99.972Aug 13, 2013Close99.977Aug 16, 2013Close99.977Aug 21, 2013Close99.982Aug 26, 2013Close99.986Aug 29, 2013Close99.990Sep 4, 2013Close99.993Sep 9, 2013Close99.990Sep 12, 2013Close99.994Sep 17, 2013Close99.994Sep 20, 2013Close99.994Sep 25, 2013Close99.997Sep 30, 2013Close99.997Oct 3, 2013Close99.993Oct 8, 2013Close99.988Oct 11, 2013Close99.985Oct 17, 2013Close99.996Oct 22, 2013Close99.998Oct 25, 2013Close99.998Oct 30, 2013Close99.996Nov 4, 2013Close99.995Nov 7, 2013Close99.994Nov 13, 2013Close99.996Nov 18, 2013Close99.995Nov 21, 2013Close99.998Nov 26, 2013Close99.998Dec 2, 2013Close99.998Dec 5, 2013Close99.999Dec 10, 2013Close99.999Dec 13, 2013Close99.999Dec 18, 2013Close99.999Dec 23, 2013Close100.000Dec 27, 2013Close100.000Dec 31, 2013Close100.000
The most recent 20 trading days of prices for 912796BS7.
DateBidOfferClose
Dec 31, 2013–100.000100.000
Dec 30, 2013–100.000100.000
Dec 27, 2013–100.000100.000
Dec 26, 2013100.000100.000100.000
Dec 24, 2013100.000100.000100.000
Dec 23, 2013100.000100.000100.000
Dec 20, 2013100.000100.000100.000
Dec 19, 2013100.000100.00099.999
Dec 18, 2013100.000100.00099.999
Dec 17, 2013100.000100.00099.999
Dec 16, 2013100.000100.000100.000
Dec 13, 201399.99999.99999.999
Dec 12, 201399.99999.99999.999
Dec 11, 201399.99999.99999.999
Dec 10, 201399.99999.99999.999
Dec 9, 201399.99899.99899.998
Dec 6, 201399.99899.99899.998
Dec 5, 201399.99999.99899.999
Dec 4, 201399.99899.99899.998
Dec 3, 201399.99999.99899.998

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.

3 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 912796BS7.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Jul 1, 2013Jul 5, 2013New issue$25.0bn$25.0bn4.91x–
Sep 30, 2013Oct 3, 2013Reopening$25.0bn$25.0bn4.57x–
Dec 3, 2013Dec 5, 2013Reopening$45.0bn$45.0bn3.94x–

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.