Treasury bill · Matured

912796GR4

Original term: 26-Week
Maturity: Dec 3, 2015
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: Dec 2, 2015
Analyzed through: Dec 1, 2015

Still priced, no longer analyzed. Risk numbers below are as of Dec 1, 2015, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, December 1, 2015

Yield to maturity: 0.041%
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 0.04 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, 124 observations

Price history

125 trading days to Dec 2, 2015

The most recent 20 trading days of prices for 912796GR4.
Date	Bid	Offer	Close
Dec 2, 2015	–	100.000	100.000
Dec 1, 2015	–	100.000	100.000
Nov 30, 2015	–	99.999	100.000
Nov 27, 2015	99.999	99.999	99.999
Nov 25, 2015	99.999	99.998	99.999
Nov 24, 2015	99.999	99.999	99.998
Nov 23, 2015	99.999	99.999	99.999
Nov 20, 2015	99.998	99.998	99.999
Nov 19, 2015	99.999	99.998	99.998
Nov 18, 2015	99.999	99.998	99.998
Nov 17, 2015	99.998	99.998	99.998
Nov 16, 2015	99.998	99.998	99.998
Nov 13, 2015	99.997	99.997	99.998
Nov 12, 2015	99.997	99.996	99.997
Nov 10, 2015	99.996	99.996	99.996
Nov 9, 2015	99.997	99.997	99.997
Nov 6, 2015	99.997	99.996	99.997
Nov 5, 2015	99.996	99.996	99.997
Nov 4, 2015	99.993	99.993	99.995
Nov 3, 2015	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.

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 912796GR4.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Jun 1, 2015	Jun 4, 2015	New issue	$24.0bn	$24.0bn	4.58x	–
Aug 31, 2015	Sep 3, 2015	Reopening	$24.0bn	$24.0bn	3.71x	–
Nov 3, 2015	Nov 5, 2015	Reopening	$50.0bn	$50.0bn	3.46x	–

The curve this was priced against →