Treasury bill · Matured

912796R27

Original term: 52-Week
Maturity: Dec 29, 2022
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: Dec 28, 2022
Analyzed through: Dec 27, 2022

Still priced, no longer analyzed. Risk numbers below are as of Dec 27, 2022, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, December 27, 2022

Yield to maturity: 3.519%
Modified duration: 0.003 yr
DV01: 0.0000
Convexity: 0.000
Dirty price: 99.990

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, 248 observations

Price history

249 trading days to Dec 28, 2022

The most recent 20 trading days of prices for 912796R27.
Date	Bid	Offer	Close
Dec 28, 2022	–	99.990	100.000
Dec 27, 2022	–	99.980	99.990
Dec 23, 2022	–	99.936	99.979
Dec 22, 2022	99.926	99.925	99.936
Dec 21, 2022	99.915	99.914	99.925
Dec 20, 2022	99.902	99.901	99.913
Dec 19, 2022	99.888	99.887	99.898
Dec 16, 2022	99.855	99.853	99.887
Dec 15, 2022	99.859	99.857	99.864
Dec 14, 2022	99.851	99.850	99.860
Dec 13, 2022	99.840	99.840	99.847
Dec 12, 2022	99.833	99.830	99.839
Dec 9, 2022	99.804	99.801	99.831
Dec 8, 2022	99.793	99.791	99.803
Dec 7, 2022	99.777	99.774	99.787
Dec 6, 2022	99.762	99.760	99.772
Dec 5, 2022	99.748	99.746	99.758
Dec 2, 2022	99.716	99.713	99.745
Dec 1, 2022	99.704	99.701	99.713
Nov 30, 2022	99.694	99.692	99.701

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 912796R27.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Dec 28, 2021	Dec 30, 2021	New issue	$34.0bn	$38.8bn	3.15x	–
Jun 27, 2022	Jun 30, 2022	Reopening	$42.0bn	$49.6bn	2.79x	–
Sep 26, 2022	Sep 29, 2022	Reopening	$54.0bn	$60.9bn	2.56x	–

The curve this was priced against →