Treasury bill · Matured

912796MB2

Original term: 52-Week
Maturity: May 24, 2018
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: May 23, 2018
Analyzed through: May 22, 2018

Still priced, no longer analyzed. Risk numbers below are as of May 22, 2018, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, May 22, 2018

Yield to maturity: 1.673%
Modified duration: 0.003 yr
DV01: 0.0000
Convexity: 0.000
Dirty price: 99.995

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 cheap 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, 249 observations

Price history

250 trading days to May 23, 2018

The most recent 20 trading days of prices for 912796MB2.
Date	Bid	Offer	Close
May 23, 2018	–	99.995	100.000
May 22, 2018	–	99.991	99.995
May 21, 2018	–	99.986	99.991
May 18, 2018	–	99.973	99.987
May 17, 2018	99.969	99.969	99.973
May 16, 2018	99.964	99.964	99.969
May 15, 2018	99.960	99.960	99.964
May 14, 2018	99.956	99.956	99.960
May 11, 2018	99.942	99.942	99.955
May 10, 2018	99.939	99.938	99.943
May 9, 2018	99.933	99.933	99.937
May 8, 2018	99.926	99.926	99.932
May 7, 2018	99.923	99.923	99.928
May 4, 2018	99.910	99.910	99.924
May 3, 2018	99.906	99.906	99.911
May 2, 2018	99.901	99.901	99.905
May 1, 2018	99.896	99.896	99.902
Apr 30, 2018	99.893	99.893	99.898
Apr 27, 2018	99.882	99.882	99.895
Apr 26, 2018	99.877	99.876	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.

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 912796MB2.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
May 23, 2017	May 25, 2017	New issue	$20.0bn	$20.0bn	2.84x	–
Nov 20, 2017	Nov 24, 2017	Reopening	$36.0bn	$36.0bn	3.33x	–
Feb 20, 2018	Feb 22, 2018	Reopening	$51.0bn	$51.0bn	2.74x	–
Apr 24, 2018	Apr 26, 2018	Reopening	$45.0bn	$45.0bn	3.16x	–

The curve this was priced against →