Treasury bill · Matured

912796GS2

Original term: 52-Week
Maturity: Jun 23, 2016
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: Jun 22, 2016
Analyzed through: Jun 21, 2016

Still priced, no longer analyzed. Risk numbers below are as of Jun 21, 2016, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, June 21, 2016

Yield to maturity: 0.253%
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 0.01 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, 248 observations

Price history

249 trading days to Jun 22, 2016

The most recent 20 trading days of prices for 912796GS2.
Date	Bid	Offer	Close
Jun 22, 2016	–	99.999	100.000
Jun 21, 2016	–	99.999	99.999
Jun 20, 2016	–	99.998	99.999
Jun 17, 2016	–	99.996	99.998
Jun 16, 2016	99.996	99.996	99.996
Jun 15, 2016	99.995	99.995	99.996
Jun 14, 2016	99.994	99.994	99.994
Jun 13, 2016	99.994	99.994	99.995
Jun 10, 2016	99.993	99.993	99.994
Jun 9, 2016	99.992	99.992	99.993
Jun 8, 2016	99.993	99.993	99.993
Jun 7, 2016	99.993	99.993	99.993
Jun 6, 2016	99.994	99.993	99.994
Jun 3, 2016	99.992	99.992	99.994
Jun 2, 2016	99.991	99.991	99.992
Jun 1, 2016	99.989	99.989	99.991
May 31, 2016	99.989	99.989	99.988
May 27, 2016	99.984	99.984	99.986
May 26, 2016	99.987	99.986	99.988
May 25, 2016	99.979	99.979	99.982

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 912796GS2.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Jun 23, 2015	Jun 25, 2015	New issue	$25.0bn	$25.0bn	3.44x	–
Dec 21, 2015	Dec 24, 2015	Reopening	$26.0bn	$26.0bn	3.56x	–
Mar 21, 2016	Mar 24, 2016	Reopening	$34.0bn	$34.0bn	3.41x	–
May 24, 2016	May 26, 2016	Reopening	$45.0bn	$45.0bn	3.45x	–

The curve this was priced against →