Treasury bill · Matured

912796JB6

Original term: 26-Week
Maturity: Jul 14, 2016
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: Jul 13, 2016
Analyzed through: Jul 12, 2016

Still priced, no longer analyzed. Risk numbers below are as of Jul 12, 2016, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, July 12, 2016

Yield to maturity: 0.274%
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, 124 observations

Price history

125 trading days to Jul 13, 2016

The most recent 20 trading days of prices for 912796JB6.
Date	Bid	Offer	Close
Jul 13, 2016	–	99.999	100.000
Jul 12, 2016	–	99.998	99.999
Jul 11, 2016	–	99.998	99.999
Jul 8, 2016	–	99.996	99.998
Jul 7, 2016	99.996	99.996	99.996
Jul 6, 2016	99.995	99.995	99.996
Jul 5, 2016	99.995	99.994	99.995
Jul 1, 2016	99.995	99.995	99.994
Jun 30, 2016	99.996	99.996	99.996
Jun 29, 2016	99.995	99.995	99.994
Jun 28, 2016	99.991	99.991	99.993
Jun 27, 2016	99.989	99.989	99.991
Jun 24, 2016	99.987	99.987	99.988
Jun 23, 2016	99.986	99.986	99.987
Jun 22, 2016	99.987	99.987	99.987
Jun 21, 2016	99.986	99.985	99.986
Jun 20, 2016	99.986	99.985	99.986
Jun 17, 2016	99.984	99.984	99.985
Jun 16, 2016	99.984	99.984	99.983
Jun 15, 2016	99.982	99.981	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 912796JB6.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Jan 11, 2016	Jan 14, 2016	New issue	$26.0bn	$26.0bn	4.19x	–
Apr 11, 2016	Apr 14, 2016	Reopening	$28.0bn	$28.0bn	3.91x	–
Jun 14, 2016	Jun 16, 2016	Reopening	$45.0bn	$45.0bn	3.33x	–

The curve this was priced against →