Treasury note · Matured
912828HG8 · 3.875% due October 31, 2012
- Original term
- 5-Year
- Maturity
- Oct 31, 2012
- Coupon
- 3.875%
- Pays
- Semi-Annual
- Dated
- Oct 31, 2007
- First coupon
- Apr 30, 2008
- Priced through
- Oct 29, 2012
- Analyzed through
- Oct 29, 2012
Risk, October 29, 2012
- Yield to maturity
- withheld
- Modified duration
- 0.003 yr
- DV01
- 0.0000
- Convexity
- 0.000
- Dirty price
- 101.927
Yield and duration are withheld this close to maturity, not missing. Inside a month a Treasury trades on settlement mechanics rather than on yield, and its price is a rounding of par, annualizing a two-day stub produces a number in the tens of percent that would be arithmetically correct and completely misleading. The price, the residual and the key rate durations below are unaffected.
Where its rate sensitivity sits
Against the fitted curve
Priced 0.99 cents per 100 of face cheap to the curve on that day.
Shown as a price rather than a yield. This security was close enough to maturity that annualizing is meaningless, the same reason it carries no yield to maturity above, and the same difference quoted in basis points would read as an enormous mispricing rather than the few cents it is.
Yield to maturity, 1,044 observations
Price history
1,044 trading days to Oct 29, 2012
| Date | Bid | Offer | Close |
|---|---|---|---|
| Oct 29, 2012 | – | 100.000 | 100.000 |
| Oct 26, 2012 | – | 100.000 | 100.031 |
| Oct 25, 2012 | – | 100.031 | 100.063 |
| Oct 24, 2012 | – | 100.063 | 100.063 |
| Oct 23, 2012 | – | 100.063 | 100.063 |
| Oct 22, 2012 | – | 100.063 | 100.094 |
| Oct 19, 2012 | – | 100.094 | 100.094 |
| Oct 18, 2012 | – | 100.125 | 100.137 |
| Oct 17, 2012 | – | 100.125 | 100.147 |
| Oct 16, 2012 | – | 100.156 | 100.156 |
| Oct 15, 2012 | – | 100.156 | 100.156 |
| Oct 12, 2012 | – | 100.156 | 100.156 |
| Oct 11, 2012 | – | 100.188 | 100.156 |
| Oct 10, 2012 | – | 100.188 | 100.188 |
| Oct 9, 2012 | – | 100.219 | 100.188 |
| Oct 5, 2012 | – | 100.219 | 100.219 |
| Oct 4, 2012 | – | 100.250 | 100.250 |
| Oct 3, 2012 | – | 100.295 | 100.281 |
| Oct 2, 2012 | – | 100.281 | 100.281 |
| Oct 1, 2012 | – | 100.281 | 100.313 |
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.
Auction
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 |
|---|---|---|---|---|---|---|
| Oct 25, 2007 | Oct 31, 2007 | New issue | $13.0bn | $15.5bn | 2.69x | 3.993% |