Treasury bill · Matured
912796JV2
- Original term
- 26-Week
- Maturity
- Nov 25, 2016
- Coupon
- –
- Pays
- None
- Dated
- –
- First coupon
- –
- Priced through
- Nov 23, 2016
- Analyzed through
- Nov 22, 2016
Still priced, no longer analyzed. Risk numbers below are as of Nov 22, 2016, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.
Risk, November 22, 2016
- Yield to maturity
- 0.243%
- Modified duration
- 0.005 yr
- DV01
- 0.0001
- 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 0.005 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 0.03 cents per 100 of face cheap to the curve on that day.
Shown as a price rather than a yield. This bill is 3 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 Nov 23, 2016
| Date | Bid | Offer | Close |
|---|---|---|---|
| Nov 23, 2016 | – | 99.999 | 100.000 |
| Nov 22, 2016 | – | 99.998 | 99.999 |
| Nov 21, 2016 | – | 99.997 | 99.998 |
| Nov 18, 2016 | 99.995 | 99.995 | 99.997 |
| Nov 17, 2016 | 99.995 | 99.994 | 99.995 |
| Nov 16, 2016 | 99.993 | 99.993 | 99.994 |
| Nov 15, 2016 | 99.993 | 99.992 | 99.993 |
| Nov 14, 2016 | 99.991 | 99.991 | 99.992 |
| Nov 10, 2016 | 99.988 | 99.988 | 99.991 |
| Nov 9, 2016 | 99.989 | 99.988 | 99.988 |
| Nov 8, 2016 | 99.987 | 99.987 | 99.988 |
| Nov 7, 2016 | 99.987 | 99.987 | 99.988 |
| Nov 4, 2016 | 99.987 | 99.987 | 99.988 |
| Nov 3, 2016 | 99.987 | 99.987 | 99.987 |
| Nov 2, 2016 | 99.987 | 99.987 | 99.987 |
| Nov 1, 2016 | 99.987 | 99.987 | 99.987 |
| Oct 31, 2016 | 99.988 | 99.987 | 99.988 |
| Oct 28, 2016 | 99.987 | 99.987 | 99.988 |
| Oct 27, 2016 | 99.983 | 99.983 | 99.986 |
| Oct 26, 2016 | 99.980 | 99.980 | 99.980 |
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 date | Issued | Type | Offered | Accepted | Bid to cover | High yield |
|---|---|---|---|---|---|---|
| May 23, 2016 | May 26, 2016 | New issue | $26.0bn | $26.0bn | 3.65x | – |
| Aug 22, 2016 | Aug 25, 2016 | Reopening | $40.0bn | $40.0bn | 3.30x | – |
| Oct 25, 2016 | Oct 27, 2016 | Reopening | $50.0bn | $50.0bn | 3.75x | – |