Treasury bill · Matured

912796QS1

Original term: 26-Week
Maturity: Jan 10, 2019
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: Jan 9, 2019
Analyzed through: Jan 8, 2019

Still priced, no longer analyzed. Risk numbers below are as of Jan 8, 2019, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, January 8, 2019

Yield to maturity: 2.302%
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, 122 observations

Price history

123 trading days to Jan 9, 2019

The most recent 20 trading days of prices for 912796QS1.
Date	Bid	Offer	Close
Jan 9, 2019	–	99.994	100.000
Jan 8, 2019	–	99.987	99.994
Jan 7, 2019	–	99.981	99.988
Jan 4, 2019	–	99.963	99.982
Jan 3, 2019	99.958	99.958	99.964
Jan 2, 2019	99.951	99.951	99.957
Dec 31, 2018	99.938	99.938	99.950
Dec 28, 2018	99.919	99.919	99.938
Dec 27, 2018	99.912	99.911	99.919
Dec 26, 2018	99.904	99.904	99.912
Dec 24, 2018	99.893	99.893	99.905
Dec 21, 2018	99.874	99.874	99.892
Dec 20, 2018	99.868	99.868	99.874
Dec 19, 2018	99.861	99.861	99.866
Dec 18, 2018	99.858	99.858	99.864
Dec 17, 2018	99.852	99.852	99.858
Dec 14, 2018	99.837	99.837	99.853
Dec 13, 2018	99.831	99.830	99.836
Dec 12, 2018	99.825	99.824	99.830
Dec 11, 2018	99.819	99.818	99.824

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 912796QS1.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Jul 9, 2018	Jul 12, 2018	New issue	$42.0bn	$42.0bn	2.78x	–
Oct 9, 2018	Oct 11, 2018	Reopening	$48.0bn	$48.0bn	2.72x	–

The curve this was priced against →