Treasury bill · Matured

912796HW2

Original term: 26-Week
Maturity: Jun 9, 2016
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: Jun 8, 2016
Analyzed through: Jun 7, 2016

Still priced, no longer analyzed. Risk numbers below are as of Jun 7, 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 7, 2016

Yield to maturity: 0.203%
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 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, 123 observations

Price history

124 trading days to Jun 8, 2016

The most recent 20 trading days of prices for 912796HW2.
Date	Bid	Offer	Close
Jun 8, 2016	–	99.999	100.000
Jun 7, 2016	–	99.999	99.999
Jun 6, 2016	–	99.999	99.999
Jun 3, 2016	–	99.998	99.999
Jun 2, 2016	99.998	99.998	99.998
Jun 1, 2016	99.998	99.998	99.997
May 31, 2016	99.995	99.995	99.997
May 27, 2016	99.994	99.993	99.995
May 26, 2016	99.993	99.993	99.993
May 25, 2016	99.990	99.990	99.992
May 24, 2016	99.990	99.989	99.990
May 23, 2016	99.989	99.989	99.989
May 20, 2016	99.987	99.987	99.988
May 19, 2016	99.987	99.986	99.987
May 18, 2016	99.986	99.985	99.987
May 17, 2016	99.987	99.987	99.987
May 16, 2016	99.985	99.985	99.987
May 13, 2016	99.983	99.983	99.984
May 12, 2016	99.981	99.981	99.981
May 11, 2016	99.979	99.979	99.981

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 912796HW2.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Dec 7, 2015	Dec 10, 2015	New issue	$26.0bn	$26.0bn	3.42x	–
Mar 7, 2016	Mar 10, 2016	Reopening	$37.0bn	$37.0bn	3.47x	–
May 10, 2016	May 12, 2016	Reopening	$45.0bn	$45.0bn	3.33x	–

The curve this was priced against →