Treasury bill · Matured

912796PG8

Original term: 26-Week
Maturity: May 17, 2018
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: May 16, 2018
Analyzed through: May 15, 2018

Still priced, no longer analyzed. Risk numbers below are as of May 15, 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 15, 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 0.03 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, 123 observations

Price history

124 trading days to May 16, 2018

The most recent 20 trading days of prices for 912796PG8.
Date	Bid	Offer	Close
May 16, 2018	–	99.995	100.000
May 15, 2018	–	99.991	99.995
May 14, 2018	–	99.987	99.991
May 11, 2018	–	99.974	99.987
May 10, 2018	99.970	99.970	99.975
May 9, 2018	99.965	99.965	99.970
May 8, 2018	99.960	99.959	99.964
May 7, 2018	99.956	99.956	99.960
May 4, 2018	99.943	99.943	99.957
May 3, 2018	99.940	99.940	99.943
May 2, 2018	99.934	99.933	99.939
May 1, 2018	99.929	99.929	99.933
Apr 30, 2018	99.925	99.925	99.929
Apr 27, 2018	99.912	99.912	99.925
Apr 26, 2018	99.908	99.908	99.911
Apr 25, 2018	99.900	99.900	99.906
Apr 24, 2018	99.894	99.893	99.899
Apr 23, 2018	99.892	99.891	99.895
Apr 20, 2018	99.878	99.878	99.892
Apr 19, 2018	99.873	99.872	99.877

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.

3 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 912796PG8.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Nov 13, 2017	Nov 16, 2017	New issue	$36.0bn	$36.0bn	3.30x	–
Feb 12, 2018	Feb 15, 2018	Reopening	$48.0bn	$48.0bn	3.12x	–
Apr 17, 2018	Apr 19, 2018	Reopening	$45.0bn	$45.0bn	3.08x	–

The curve this was priced against →