Treasury bill · Matured

912796FR5

Original term: 26-Week
Maturity: Jun 18, 2015
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: Jun 17, 2015
Analyzed through: Jun 16, 2015

Still priced, no longer analyzed. Risk numbers below are as of Jun 16, 2015, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, June 16, 2015

Yield to maturity: 0.020%
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 0.00 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, 124 observations

Price history

125 trading days to Jun 17, 2015

The most recent 20 trading days of prices for 912796FR5.
Date	Bid	Offer	Close
Jun 17, 2015	–	100.000	100.000
Jun 16, 2015	–	100.000	100.000
Jun 15, 2015	–	100.000	100.000
Jun 12, 2015	–	100.000	100.000
Jun 11, 2015	100.000	99.999	99.999
Jun 10, 2015	99.999	99.999	99.999
Jun 9, 2015	99.999	99.999	99.999
Jun 8, 2015	99.999	99.999	99.999
Jun 5, 2015	99.999	99.999	99.999
Jun 4, 2015	99.999	99.999	99.999
Jun 3, 2015	99.999	99.999	99.999
Jun 2, 2015	100.000	100.000	99.999
Jun 1, 2015	100.000	100.000	100.000
May 29, 2015	100.000	99.999	100.000
May 28, 2015	100.000	99.999	99.999
May 27, 2015	99.999	99.999	99.999
May 26, 2015	100.000	99.999	99.999
May 22, 2015	99.999	99.999	99.999
May 21, 2015	99.998	99.998	99.999
May 20, 2015	99.998	99.998	99.998

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 912796FR5.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Dec 15, 2014	Dec 18, 2014	New issue	$26.0bn	$26.0bn	3.81x	–
Mar 16, 2015	Mar 19, 2015	Reopening	$26.0bn	$26.0bn	3.69x	–
May 19, 2015	May 21, 2015	Reopening	$45.0bn	$45.0bn	3.38x	–

The curve this was priced against →