Treasury note · Matured
912828RG7 · 0.25% due September 15, 2014
- Original term
- 3-Year
- Maturity
- Sep 15, 2014
- Coupon
- 0.250%
- Pays
- Semi-Annual
- Dated
- Sep 15, 2011
- First coupon
- Mar 15, 2012
- Priced through
- Sep 11, 2014
- Analyzed through
- Sep 11, 2014
Risk, September 11, 2014
- Yield to maturity
- withheld
- Modified duration
- 0.008 yr
- DV01
- 0.0001
- Convexity
- 0.000
- Dirty price
- 100.123
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 0.14 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, 748 observations
Price history
748 trading days to Sep 11, 2014
| Date | Bid | Offer | Close |
|---|---|---|---|
| Sep 11, 2014 | – | 100.000 | 100.000 |
| Sep 10, 2014 | – | 100.000 | 100.000 |
| Sep 9, 2014 | – | 99.969 | 100.000 |
| Sep 8, 2014 | – | 100.000 | 100.000 |
| Sep 5, 2014 | – | 100.000 | 100.000 |
| Sep 4, 2014 | – | 100.000 | 100.000 |
| Sep 3, 2014 | – | 100.000 | 100.000 |
| Sep 2, 2014 | – | 100.000 | 100.000 |
| Aug 29, 2014 | – | 100.000 | 100.000 |
| Aug 28, 2014 | – | 100.000 | 100.000 |
| Aug 27, 2014 | – | 100.013 | 100.000 |
| Aug 26, 2014 | – | 100.000 | 100.000 |
| Aug 25, 2014 | – | 100.000 | 100.000 |
| Aug 22, 2014 | – | 100.000 | 100.000 |
| Aug 21, 2014 | – | 100.000 | 100.000 |
| Aug 20, 2014 | – | 100.018 | 100.000 |
| Aug 19, 2014 | – | 100.018 | 100.000 |
| Aug 18, 2014 | – | 100.019 | 100.000 |
| Aug 15, 2014 | – | 100.000 | 100.000 |
| Aug 14, 2014 | – | 100.022 | 100.000 |
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 |
|---|---|---|---|---|---|---|
| Sep 12, 2011 | Sep 15, 2011 | New issue | $32.0bn | $32.0bn | 3.15x | 0.334% |