Treasury bill · Matured

912796TZ2

Original term: 26-Week
Maturity: Jun 11, 2020
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: Jun 10, 2020
Analyzed through: Jun 9, 2020

Still priced, no longer analyzed. Risk numbers below are as of Jun 9, 2020, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, June 9, 2020

Yield to maturity: 0.112%
Modified duration: 0.003 yr
DV01: 0.0000
Convexity: 0.000
Dirty price: 100.000

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 0.01 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 Jun 10, 2020

The most recent 20 trading days of prices for 912796TZ2.
Date	Bid	Offer	Close
Jun 10, 2020	–	100.000	100.000
Jun 9, 2020	–	99.999	100.000
Jun 8, 2020	–	99.999	99.999
Jun 5, 2020	–	99.998	99.999
Jun 4, 2020	99.998	99.998	99.999
Jun 3, 2020	99.998	99.998	99.998
Jun 2, 2020	99.997	99.996	99.997
Jun 1, 2020	99.997	99.997	99.997
May 29, 2020	99.996	99.996	99.996
May 28, 2020	99.997	99.996	99.995
May 27, 2020	99.997	99.997	99.996
May 26, 2020	99.997	99.996	99.997
May 22, 2020	99.997	99.996	99.996
May 21, 2020	99.996	99.995	99.996
May 20, 2020	99.995	99.995	99.996
May 19, 2020	99.995	99.994	99.995
May 18, 2020	99.995	99.995	99.994
May 15, 2020	99.994	99.993	99.994
May 14, 2020	99.995	99.994	99.994
May 13, 2020	99.994	99.993	99.993

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.

4 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 912796TZ2.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Dec 9, 2019	Dec 12, 2019	New issue	$36.0bn	$36.0bn	2.98x	–
Mar 9, 2020	Mar 12, 2020	Reopening	$42.0bn	$43.8bn	2.74x	–
Mar 19, 2020	Mar 24, 2020	Reopening	$20.0bn	$20.0bn	3.03x	–
Apr 28, 2020	Apr 29, 2020	Reopening	$55.0bn	$55.0bn	3.22x	–

The curve this was priced against →