Treasury bill · Matured
912796SD2
- Original term
- 52-Week
- Maturity
- Feb 27, 2020
- Coupon
- –
- Pays
- None
- Dated
- –
- First coupon
- –
- Priced through
- Feb 26, 2020
- Analyzed through
- Feb 25, 2020
Still priced, no longer analyzed. Risk numbers below are as of Feb 25, 2020, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.
Risk, February 25, 2020
- Yield to maturity
- 1.535%
- Modified duration
- 0.003 yr
- DV01
- 0.0000
- Convexity
- 0.000
- Dirty price
- 99.996
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 0.02 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, 248 observations
Price history
249 trading days to Feb 26, 2020
| Date | Bid | Offer | Close |
|---|---|---|---|
| Feb 26, 2020 | – | 99.996 | 100.000 |
| Feb 25, 2020 | – | 99.992 | 99.996 |
| Feb 24, 2020 | – | 99.987 | 99.992 |
| Feb 21, 2020 | – | 99.976 | 99.988 |
| Feb 20, 2020 | 99.972 | 99.971 | 99.976 |
| Feb 19, 2020 | 99.967 | 99.967 | 99.971 |
| Feb 18, 2020 | 99.962 | 99.962 | 99.966 |
| Feb 14, 2020 | 99.944 | 99.944 | 99.962 |
| Feb 13, 2020 | 99.940 | 99.940 | 99.944 |
| Feb 12, 2020 | 99.936 | 99.935 | 99.940 |
| Feb 11, 2020 | 99.933 | 99.932 | 99.936 |
| Feb 10, 2020 | 99.929 | 99.928 | 99.932 |
| Feb 7, 2020 | 99.917 | 99.916 | 99.928 |
| Feb 6, 2020 | 99.912 | 99.911 | 99.917 |
| Feb 5, 2020 | 99.908 | 99.907 | 99.911 |
| Feb 4, 2020 | 99.903 | 99.903 | 99.908 |
| Feb 3, 2020 | 99.900 | 99.899 | 99.904 |
| Jan 31, 2020 | 99.890 | 99.890 | 99.902 |
| Jan 30, 2020 | 99.885 | 99.883 | 99.888 |
| Jan 29, 2020 | 99.879 | 99.878 | 99.883 |
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 |
|---|---|---|---|---|---|---|
| Feb 26, 2019 | Feb 28, 2019 | New issue | $26.0bn | $26.0bn | 3.60x | – |
| Aug 26, 2019 | Aug 29, 2019 | Reopening | $42.0bn | $42.0bn | 3.05x | – |
| Nov 25, 2019 | Nov 29, 2019 | Reopening | $45.0bn | $45.0bn | 2.89x | – |