Treasury bill · Matured

912796GY9

Original term: 26-Week
Maturity: Jan 21, 2016
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: Jan 20, 2016
Analyzed through: Jan 19, 2016

Still priced, no longer analyzed. Risk numbers below are as of Jan 19, 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 19, 2016

Yield to maturity: 0.193%
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 0.02 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, 122 observations

Price history

123 trading days to Jan 20, 2016

The most recent 20 trading days of prices for 912796GY9.
Date	Bid	Offer	Close
Jan 20, 2016	–	99.999	100.000
Jan 19, 2016	–	99.999	99.999
Jan 15, 2016	–	99.997	99.999
Jan 14, 2016	99.996	99.996	99.996
Jan 13, 2016	99.996	99.996	99.996
Jan 12, 2016	99.995	99.995	99.995
Jan 11, 2016	99.995	99.995	99.995
Jan 8, 2016	99.994	99.993	99.995
Jan 7, 2016	99.992	99.992	99.993
Jan 6, 2016	99.991	99.991	99.993
Jan 5, 2016	99.991	99.991	99.991
Jan 4, 2016	99.993	99.993	99.992
Dec 31, 2015	99.997	99.996	99.994
Dec 30, 2015	99.996	99.996	99.996
Dec 29, 2015	99.993	99.992	99.993
Dec 28, 2015	99.992	99.991	99.992
Dec 24, 2015	99.987	99.987	99.990
Dec 23, 2015	99.986	99.986	99.985
Dec 22, 2015	99.987	99.987	99.988
Dec 21, 2015	99.987	99.986	99.987

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 912796GY9.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Jul 20, 2015	Jul 23, 2015	New issue	$24.0bn	$24.0bn	3.67x	–
Oct 19, 2015	Oct 22, 2015	Reopening	$26.0bn	$26.0bn	3.54x	–
Dec 22, 2015	Dec 24, 2015	Reopening	$45.0bn	$45.0bn	3.50x	–

The curve this was priced against →