Treasury bill · Matured

912796FP9

Original term: 52-Week
Maturity: Jan 7, 2016
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: Jan 6, 2016
Analyzed through: Jan 5, 2016

Still priced, no longer analyzed. Risk numbers below are as of Jan 5, 2016, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, January 5, 2016

Yield to maturity: 0.213%
Modified duration: 0.003 yr
DV01: 0.0000
Convexity: 0.000
Dirty price: 99.999

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 0.06 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, 249 observations

Price history

250 trading days to Jan 6, 2016

The most recent 20 trading days of prices for 912796FP9.
Date	Bid	Offer	Close
Jan 6, 2016	–	99.999	100.000
Jan 5, 2016	–	99.999	99.999
Jan 4, 2016	–	99.999	99.999
Dec 31, 2015	100.000	100.000	99.999
Dec 30, 2015	100.000	100.000	99.999
Dec 29, 2015	100.000	99.999	99.999
Dec 28, 2015	99.998	99.998	99.999
Dec 24, 2015	99.997	99.997	99.998
Dec 23, 2015	99.995	99.995	99.995
Dec 22, 2015	99.995	99.995	99.995
Dec 21, 2015	99.995	99.994	99.995
Dec 18, 2015	99.990	99.990	99.992
Dec 17, 2015	99.992	99.991	99.990
Dec 16, 2015	99.991	99.991	99.992
Dec 15, 2015	99.992	99.992	99.990
Dec 14, 2015	99.994	99.993	99.992
Dec 11, 2015	99.990	99.990	99.990
Dec 10, 2015	99.986	99.986	99.986
Dec 9, 2015	99.984	99.984	99.984
Dec 8, 2015	99.985	99.984	99.984

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 912796FP9.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Jan 6, 2015	Jan 8, 2015	New issue	$25.0bn	$25.0bn	3.84x	–
Jul 6, 2015	Jul 9, 2015	Reopening	$24.0bn	$24.0bn	4.03x	–
Oct 5, 2015	Oct 8, 2015	Reopening	$21.0bn	$21.0bn	4.14x	–
Oct 29, 2015	Oct 30, 2015	Reopening	$35.0bn	$35.0bn	2.99x	–
Dec 8, 2015	Dec 10, 2015	Reopening	$45.0bn	$45.0bn	3.42x	–

The curve this was priced against →