Treasury bill · Matured

912796QN2

Original term: 26-Week
Maturity: Dec 13, 2018
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: Dec 12, 2018
Analyzed through: Dec 11, 2018

Still priced, no longer analyzed. Risk numbers below are as of Dec 11, 2018, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, December 11, 2018

Yield to maturity: 2.058%
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 0.04 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, 123 observations

Price history

124 trading days to Dec 12, 2018

The most recent 20 trading days of prices for 912796QN2.
Date	Bid	Offer	Close
Dec 12, 2018	–	99.994	100.000
Dec 11, 2018	–	99.989	99.994
Dec 10, 2018	–	99.983	99.989
Dec 7, 2018	–	99.965	99.983
Dec 6, 2018	99.958	99.958	99.965
Dec 4, 2018	99.945	99.945	99.957
Dec 3, 2018	99.940	99.940	99.947
Nov 30, 2018	99.923	99.922	99.940
Nov 29, 2018	99.917	99.917	99.923
Nov 28, 2018	99.911	99.911	99.917
Nov 27, 2018	99.905	99.905	99.911
Nov 26, 2018	99.899	99.899	99.905
Nov 23, 2018	99.882	99.882	99.898
Nov 21, 2018	99.870	99.870	99.882
Nov 20, 2018	99.865	99.865	99.870
Nov 19, 2018	99.858	99.858	99.866
Nov 16, 2018	99.841	99.840	99.859
Nov 15, 2018	99.832	99.832	99.842
Nov 14, 2018	99.827	99.827	99.833
Nov 13, 2018	99.821	99.821	99.827

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.

2 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 912796QN2.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Jun 11, 2018	Jun 14, 2018	New issue	$42.0bn	$42.0bn	3.59x	–
Sep 10, 2018	Sep 13, 2018	Reopening	$48.0bn	$48.0bn	3.02x	–

The curve this was priced against →