Treasury bill · Matured

912796RS0

Original term: 26-Week
Maturity: Jun 6, 2019
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: Jun 5, 2019
Analyzed through: Jun 4, 2019

Still priced, no longer analyzed. Risk numbers below are as of Jun 4, 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 4, 2019

Yield to maturity: 2.227%
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, 123 observations

Price history

124 trading days to Jun 5, 2019

The most recent 20 trading days of prices for 912796RS0.
Date	Bid	Offer	Close
Jun 5, 2019	–	99.994	100.000
Jun 4, 2019	–	99.988	99.994
Jun 3, 2019	–	99.982	99.988
May 31, 2019	–	99.964	99.982
May 30, 2019	99.957	99.957	99.964
May 29, 2019	99.950	99.950	99.957
May 28, 2019	99.945	99.945	99.951
May 24, 2019	99.920	99.919	99.944
May 23, 2019	99.912	99.912	99.919
May 22, 2019	99.905	99.905	99.911
May 21, 2019	99.898	99.898	99.904
May 20, 2019	99.891	99.890	99.897
May 17, 2019	99.871	99.871	99.890
May 16, 2019	99.864	99.864	99.872
May 15, 2019	99.856	99.856	99.862
May 14, 2019	99.850	99.849	99.856
May 13, 2019	99.843	99.843	99.849
May 10, 2019	99.824	99.824	99.843
May 9, 2019	99.817	99.816	99.824
May 8, 2019	99.811	99.811	99.817

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 912796RS0.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Dec 3, 2018	Dec 6, 2018	New issue	$36.0bn	$36.0bn	3.05x	–
Mar 4, 2019	Mar 7, 2019	Reopening	$48.0bn	$48.0bn	2.76x	–

The curve this was priced against →