Still priced, no longer analyzed. Risk numbers below are as of May 26, 2016, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.
Risk, May 26, 2016
Yield to maturity
withheld
Modified duration
0.011 yr
DV01
0.0001
Convexity
0.000
Dirty price
101.589
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
3M
6M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
25Y
30Y
Sensitivity to a one basis point move at each point on the curve, in years. All of it sits at 3M. For a security with a single remaining cashflow that is the true shape, not missing data.
Against the fitted curve
Priced 3.07 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, 1,750 observations
Price history
1,751 trading days to May 27, 2016
The most recent 20 trading days of prices for 912828KW9.
Date
Bid
Offer
Close
May 27, 2016
–
100.000
100.000
May 26, 2016
–
100.031
100.000
May 25, 2016
–
100.000
100.000
May 24, 2016
–
100.062
100.031
May 23, 2016
–
100.063
100.063
May 20, 2016
–
100.031
100.063
May 19, 2016
–
100.107
100.063
May 18, 2016
–
100.094
100.094
May 17, 2016
–
100.094
100.124
May 16, 2016
–
100.094
100.125
May 13, 2016
–
100.125
100.094
May 12, 2016
–
100.125
100.156
May 11, 2016
–
100.156
100.125
May 10, 2016
–
100.125
100.156
May 9, 2016
–
100.156
100.156
May 6, 2016
–
100.188
100.156
May 5, 2016
–
100.188
100.219
May 4, 2016
–
100.188
100.188
May 3, 2016
–
100.219
100.188
May 2, 2016
–
100.250
100.219
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.
Index levels before September 30, 2026 are back-tested. They were computed after the fact by applying the rules to historical data, which benefits from hindsight in the choice of rules, and an index cannot be invested in directly. Methodology v1.0 takes effect at that rebalance, when levels begin to be struck on the day; the rulebook is identical either way, and the version is published on every row.
A fitted curve is a fit, not a quote. Daily error averages 3.8 basis points across the history and reaches about 20 on the worst days, in December 2008, when the market was genuinely hard to fit one smooth curve to. Every curve page publishes its own fit error rather than burying it.
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Curves are fitted from public Treasury data and carry fit error; figures are not a record of trading, and an index cannot be invested in directly. No claim of compliance with the IOSCO Principles for Financial Benchmarks is made or implied. Not investment advice, not an offer, and not a recommendation to buy or sell any security.