Treasury bill · Matured

912796PH6

Original term: 26-Week
Maturity: May 31, 2018
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: May 30, 2018
Analyzed through: May 29, 2018

Still priced, no longer analyzed. Risk numbers below are as of May 29, 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 29, 2018

Yield to maturity: 1.643%
Modified duration: 0.003 yr
DV01: 0.0000
Convexity: 0.000
Dirty price: 99.996

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, 123 observations

Price history

124 trading days to May 30, 2018

The most recent 20 trading days of prices for 912796PH6.
Date	Bid	Offer	Close
May 30, 2018	–	99.996	100.000
May 29, 2018	–	99.991	99.996
May 25, 2018	–	99.974	99.991
May 24, 2018	99.970	99.970	99.974
May 23, 2018	99.964	99.964	99.969
May 22, 2018	99.959	99.959	99.964
May 21, 2018	99.954	99.954	99.959
May 18, 2018	99.941	99.941	99.954
May 17, 2018	99.937	99.937	99.941
May 16, 2018	99.932	99.932	99.937
May 15, 2018	99.927	99.927	99.931
May 14, 2018	99.923	99.922	99.927
May 11, 2018	99.910	99.909	99.923
May 10, 2018	99.904	99.904	99.909
May 9, 2018	99.899	99.899	99.904
May 8, 2018	99.893	99.893	99.899
May 7, 2018	99.892	99.891	99.895
May 4, 2018	99.877	99.877	99.891
May 3, 2018	99.873	99.872	99.876
May 2, 2018	99.867	99.867	99.871

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 912796PH6.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Nov 27, 2017	Nov 30, 2017	New issue	$36.0bn	$36.0bn	3.34x	–
Feb 26, 2018	Mar 1, 2018	Reopening	$51.0bn	$51.0bn	2.84x	–
May 1, 2018	May 3, 2018	Reopening	$45.0bn	$45.0bn	3.04x	–

The curve this was priced against →