Treasury bill · Matured

912796HU6

Original term: 52-Week
Maturity: Dec 8, 2016
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: Dec 7, 2016
Analyzed through: Dec 6, 2016

Still priced, no longer analyzed. Risk numbers below are as of Dec 6, 2016, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, December 6, 2016

Yield to maturity: 0.122%
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, 248 observations

Price history

249 trading days to Dec 7, 2016

The most recent 20 trading days of prices for 912796HU6.
Date	Bid	Offer	Close
Dec 7, 2016	–	100.000	100.000
Dec 6, 2016	–	99.999	100.000
Dec 5, 2016	–	99.999	99.999
Dec 2, 2016	–	99.998	99.999
Dec 1, 2016	99.998	99.997	99.999
Nov 30, 2016	99.998	99.997	99.997
Nov 29, 2016	99.996	99.996	99.997
Nov 28, 2016	99.995	99.994	99.995
Nov 25, 2016	99.992	99.992	99.993
Nov 23, 2016	99.990	99.990	99.991
Nov 22, 2016	99.990	99.989	99.990
Nov 21, 2016	99.988	99.988	99.988
Nov 18, 2016	99.986	99.986	99.988
Nov 17, 2016	99.985	99.984	99.985
Nov 16, 2016	99.983	99.982	99.983
Nov 15, 2016	99.982	99.981	99.982
Nov 14, 2016	99.982	99.981	99.981
Nov 10, 2016	99.978	99.977	99.981
Nov 9, 2016	99.977	99.977	99.977
Nov 8, 2016	99.978	99.978	99.977

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 912796HU6.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Dec 8, 2015	Dec 10, 2015	New issue	$14.0bn	$14.0bn	3.58x	–
Jun 6, 2016	Jun 9, 2016	Reopening	$26.0bn	$26.0bn	3.39x	–
Sep 6, 2016	Sep 8, 2016	Reopening	$40.0bn	$40.0bn	3.30x	–
Nov 8, 2016	Nov 10, 2016	Reopening	$65.0bn	$65.0bn	3.39x	–

The curve this was priced against →