Treasury bill · Matured

912796DD8

Original term: 26-Week
Maturity: Jun 19, 2014
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: Jun 18, 2014
Analyzed through: Jun 17, 2014

Still priced, no longer analyzed. Risk numbers below are as of Jun 17, 2014, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, June 17, 2014

Yield to maturity: 0.051%
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 0.01 cents per 100 of face cheap 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, 123 observations

Price history

124 trading days to Jun 18, 2014

The most recent 20 trading days of prices for 912796DD8.
Date	Bid	Offer	Close
Jun 18, 2014	–	100.000	100.000
Jun 17, 2014	–	100.000	100.000
Jun 16, 2014	–	100.000	100.000
Jun 13, 2014	–	99.999	100.000
Jun 12, 2014	99.999	99.999	99.999
Jun 11, 2014	99.999	99.999	99.999
Jun 10, 2014	99.999	99.999	99.999
Jun 9, 2014	99.999	99.999	99.999
Jun 6, 2014	99.998	99.998	99.999
Jun 5, 2014	99.998	99.998	99.999
Jun 4, 2014	99.998	99.998	99.998
Jun 3, 2014	99.998	99.998	99.998
Jun 2, 2014	99.999	99.999	99.999
May 30, 2014	99.998	99.998	99.998
May 29, 2014	99.998	99.998	99.997
May 28, 2014	99.998	99.998	99.998
May 27, 2014	99.998	99.998	99.998
May 23, 2014	99.998	99.998	99.997
May 22, 2014	99.997	99.997	99.998
May 21, 2014	99.998	99.998	99.997

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 912796DD8.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Dec 16, 2013	Dec 19, 2013	New issue	$27.0bn	$27.0bn	4.44x	–
Mar 17, 2014	Mar 20, 2014	Reopening	$25.0bn	$25.0bn	4.42x	–
May 20, 2014	May 22, 2014	Reopening	$45.0bn	$45.0bn	4.04x	–
Jun 3, 2014	Jun 5, 2014	Reopening	$25.0bn	$25.0bn	4.66x	–

The curve this was priced against →