Treasury bill · Matured
912796EX3
- Original term
- 52-Week
- Maturity
- Sep 17, 2015
- Coupon
- –
- Pays
- None
- Dated
- –
- First coupon
- –
- Priced through
- Sep 16, 2015
- Analyzed through
- Sep 15, 2015
Still priced, no longer analyzed. Risk numbers below are as of Sep 15, 2015, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.
Risk, September 15, 2015
- Yield to maturity
- 0.000%
- 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 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
Price history
249 trading days to Sep 16, 2015
| Date | Bid | Offer | Close |
|---|---|---|---|
| Sep 16, 2015 | – | 100.000 | 100.000 |
| Sep 15, 2015 | – | 100.000 | 100.000 |
| Sep 14, 2015 | – | 100.000 | 100.000 |
| Sep 11, 2015 | – | 100.000 | 100.000 |
| Sep 10, 2015 | 100.000 | 100.000 | 100.000 |
| Sep 9, 2015 | 100.000 | 100.000 | 100.000 |
| Sep 8, 2015 | 99.999 | 99.999 | 99.999 |
| Sep 4, 2015 | 99.999 | 99.999 | 100.000 |
| Sep 3, 2015 | 100.000 | 100.000 | 99.999 |
| Sep 2, 2015 | 100.000 | 100.000 | 99.999 |
| Sep 1, 2015 | 100.000 | 100.000 | 99.999 |
| Aug 31, 2015 | 100.000 | 100.000 | 100.000 |
| Aug 28, 2015 | 99.999 | 99.999 | 100.000 |
| Aug 27, 2015 | 99.999 | 99.999 | 99.998 |
| Aug 26, 2015 | 99.999 | 99.999 | 99.999 |
| Aug 25, 2015 | 99.998 | 99.998 | 99.998 |
| Aug 24, 2015 | 100.000 | 99.999 | 99.999 |
| Aug 21, 2015 | 99.999 | 99.999 | 99.999 |
| Aug 20, 2015 | 100.000 | 99.999 | 99.999 |
| Aug 19, 2015 | 99.997 | 99.997 | 99.996 |
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 date | Issued | Type | Offered | Accepted | Bid to cover | High yield |
|---|---|---|---|---|---|---|
| Sep 16, 2014 | Sep 18, 2014 | New issue | $25.0bn | $25.0bn | 4.06x | – |
| Mar 16, 2015 | Mar 19, 2015 | Reopening | $26.0bn | $26.0bn | 3.59x | – |
| Jun 15, 2015 | Jun 18, 2015 | Reopening | $24.0bn | $24.0bn | 4.57x | – |
| Aug 18, 2015 | Aug 20, 2015 | Reopening | $40.0bn | $40.0bn | 3.34x | – |