Treasury bill · Matured

912796QF9

Original term: 26-Week
Maturity: Nov 1, 2018
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: Oct 31, 2018
Analyzed through: Oct 30, 2018

Still priced, no longer analyzed. Risk numbers below are as of Oct 30, 2018, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, October 30, 2018

Yield to maturity: 2.028%
Modified duration: 0.003 yr
DV01: 0.0000
Convexity: 0.000
Dirty price: 99.994

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 rich 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, 125 observations

Price history

126 trading days to Oct 31, 2018

The most recent 20 trading days of prices for 912796QF9.
Date	Bid	Offer	Close
Oct 31, 2018	–	99.994	100.000
Oct 30, 2018	–	99.989	99.994
Oct 29, 2018	–	99.983	99.989
Oct 26, 2018	–	99.966	99.983
Oct 25, 2018	99.960	99.960	99.966
Oct 24, 2018	99.953	99.953	99.960
Oct 23, 2018	99.948	99.948	99.953
Oct 22, 2018	99.941	99.941	99.948
Oct 19, 2018	99.923	99.923	99.941
Oct 18, 2018	99.917	99.916	99.922
Oct 17, 2018	99.912	99.912	99.917
Oct 16, 2018	99.906	99.906	99.912
Oct 15, 2018	99.900	99.900	99.906
Oct 12, 2018	99.884	99.883	99.901
Oct 11, 2018	99.878	99.877	99.883
Oct 10, 2018	99.870	99.870	99.877
Oct 9, 2018	99.864	99.864	99.870
Oct 5, 2018	99.841	99.841	99.865
Oct 4, 2018	99.836	99.836	99.840
Oct 3, 2018	99.830	99.829	99.835

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 912796QF9.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Apr 30, 2018	May 3, 2018	New issue	$42.0bn	$42.0bn	3.17x	–
Jul 30, 2018	Aug 2, 2018	Reopening	$51.0bn	$51.0bn	2.87x	–
Oct 2, 2018	Oct 4, 2018	Reopening	$40.0bn	$40.0bn	3.12x	–

The curve this was priced against →