Treasury bill · Matured

912796RW1

Original term: 26-Week
Maturity: Jul 5, 2019
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: Jul 3, 2019
Analyzed through: Jul 2, 2019

Still priced, no longer analyzed. Risk numbers below are as of Jul 2, 2019, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, July 2, 2019

Yield to maturity: 2.237%
Modified duration: 0.005 yr
DV01: 0.0001
Convexity: 0.000
Dirty price: 99.988

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 0.005 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 3 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 Jul 3, 2019

The most recent 20 trading days of prices for 912796RW1.
Date	Bid	Offer	Close
Jul 3, 2019	–	99.988	100.000
Jul 2, 2019	–	99.981	99.988
Jul 1, 2019	–	99.978	99.983
Jun 28, 2019	99.963	99.963	99.978
Jun 27, 2019	99.956	99.956	99.962
Jun 26, 2019	99.950	99.950	99.955
Jun 25, 2019	99.943	99.943	99.949
Jun 24, 2019	99.938	99.937	99.943
Jun 21, 2019	99.920	99.919	99.937
Jun 20, 2019	99.914	99.914	99.920
Jun 19, 2019	99.908	99.908	99.912
Jun 18, 2019	99.898	99.898	99.904
Jun 17, 2019	99.893	99.892	99.899
Jun 14, 2019	99.874	99.873	99.892
Jun 13, 2019	99.868	99.868	99.875
Jun 12, 2019	99.860	99.859	99.867
Jun 11, 2019	99.851	99.851	99.859
Jun 10, 2019	99.844	99.844	99.850
Jun 7, 2019	99.825	99.825	99.844
Jun 6, 2019	99.818	99.817	99.825

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 912796RW1.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Dec 31, 2018	Jan 3, 2019	New issue	$36.0bn	$36.0bn	2.92x	–
Apr 1, 2019	Apr 4, 2019	Reopening	$45.0bn	$45.0bn	2.68x	–

The curve this was priced against →