Treasury bill · Matured

912796Q36

Original term: 26-Week
Maturity: May 26, 2022
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: May 25, 2022
Analyzed through: May 24, 2022

Still priced, no longer analyzed. Risk numbers below are as of May 24, 2022, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, May 24, 2022

Yield to maturity: 0.527%
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 0.06 cents per 100 of face cheap 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 May 25, 2022

The most recent 20 trading days of prices for 912796Q36.
Date	Bid	Offer	Close
May 25, 2022	–	99.999	100.000
May 24, 2022	–	99.997	99.999
May 23, 2022	–	99.996	99.997
May 20, 2022	–	99.991	99.996
May 19, 2022	99.991	99.990	99.992
May 18, 2022	99.988	99.987	99.990
May 17, 2022	99.986	99.985	99.987
May 16, 2022	99.982	99.981	99.983
May 13, 2022	99.974	99.973	99.980
May 12, 2022	99.978	99.977	99.979
May 11, 2022	99.980	99.978	99.979
May 10, 2022	99.980	99.978	99.979
May 9, 2022	99.981	99.979	99.982
May 6, 2022	99.981	99.978	99.982
May 5, 2022	99.973	99.971	99.978
May 4, 2022	99.975	99.973	99.973
May 3, 2022	99.978	99.976	99.976
May 2, 2022	99.979	99.978	99.978
Apr 29, 2022	99.977	99.975	99.977
Apr 28, 2022	99.979	99.977	99.978

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.

2 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 912796Q36.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Nov 22, 2021	Nov 26, 2021	New issue	$51.0bn	$56.0bn	2.93x	–
Feb 22, 2022	Feb 24, 2022	Reopening	$60.0bn	$66.1bn	3.07x	–

The curve this was priced against →