Treasury bill · Matured

912796QM4

Original term: 52-Week
Maturity: Jun 20, 2019
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: Jun 19, 2019
Analyzed through: Jun 18, 2019

Still priced, no longer analyzed. Risk numbers below are as of Jun 18, 2019, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, June 18, 2019

Yield to maturity: 2.166%
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 0.03 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, 247 observations

Price history

248 trading days to Jun 19, 2019

The most recent 20 trading days of prices for 912796QM4.
Date	Bid	Offer	Close
Jun 19, 2019	–	99.994	100.000
Jun 18, 2019	–	99.988	99.994
Jun 17, 2019	–	99.982	99.989
Jun 14, 2019	–	99.965	99.983
Jun 13, 2019	99.959	99.959	99.966
Jun 12, 2019	99.953	99.952	99.959
Jun 11, 2019	99.944	99.944	99.951
Jun 10, 2019	99.937	99.937	99.944
Jun 7, 2019	99.919	99.919	99.937
Jun 6, 2019	99.912	99.911	99.918
Jun 5, 2019	99.906	99.906	99.911
Jun 4, 2019	99.899	99.899	99.905
Jun 3, 2019	99.894	99.893	99.900
May 31, 2019	99.874	99.874	99.893
May 30, 2019	99.868	99.868	99.873
May 29, 2019	99.862	99.861	99.868
May 28, 2019	99.856	99.855	99.862
May 24, 2019	99.830	99.830	99.855
May 23, 2019	99.824	99.823	99.833
May 22, 2019	99.816	99.816	99.822

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 912796QM4.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Jun 19, 2018	Jun 21, 2018	New issue	$26.0bn	$26.0bn	3.41x	–
Dec 17, 2018	Dec 20, 2018	Reopening	$36.0bn	$36.0bn	3.13x	–
Mar 18, 2019	Mar 21, 2019	Reopening	$48.0bn	$48.0bn	2.70x	–

The curve this was priced against →