Treasury bill · Matured

912796TA7

Original term: 26-Week
Maturity: Jan 9, 2020
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: Jan 8, 2020
Analyzed through: Jan 7, 2020

Still priced, no longer analyzed. Risk numbers below are as of Jan 7, 2020, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, January 7, 2020

Yield to maturity: 1.444%
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, 123 observations

Price history

124 trading days to Jan 8, 2020

The most recent 20 trading days of prices for 912796TA7.
Date	Bid	Offer	Close
Jan 8, 2020	–	99.996	100.000
Jan 7, 2020	–	99.992	99.996
Jan 6, 2020	–	99.989	99.992
Jan 3, 2020	–	99.977	99.989
Jan 2, 2020	99.972	99.972	99.977
Dec 31, 2019	99.965	99.965	99.973
Dec 30, 2019	99.960	99.960	99.965
Dec 27, 2019	99.947	99.947	99.959
Dec 26, 2019	99.942	99.942	99.947
Dec 24, 2019	99.935	99.934	99.942
Dec 23, 2019	99.930	99.929	99.934
Dec 20, 2019	99.917	99.917	99.929
Dec 19, 2019	99.912	99.912	99.917
Dec 18, 2019	99.908	99.907	99.911
Dec 17, 2019	99.904	99.903	99.906
Dec 16, 2019	99.899	99.898	99.902
Dec 13, 2019	99.887	99.886	99.898
Dec 12, 2019	99.884	99.883	99.887
Dec 11, 2019	99.881	99.880	99.883
Dec 10, 2019	99.878	99.877	99.881

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 912796TA7.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Jul 8, 2019	Jul 11, 2019	New issue	$36.0bn	$36.0bn	2.95x	–
Oct 7, 2019	Oct 10, 2019	Reopening	$45.0bn	$45.0bn	3.16x	–

The curve this was priced against →