Treasury bill · Matured

912796UD9

Original term: 8-Week
Maturity: Dec 11, 2018
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: Dec 10, 2018
Analyzed through: Dec 7, 2018

Still priced, no longer analyzed. Risk numbers below are as of Dec 7, 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 7, 2018

Yield to maturity: 2.180%
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 0.01 cents per 100 of face rich to the curve on that day.

Shown as a price rather than a yield. This bill is 4 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, 34 observations

Price history

35 trading days to Dec 10, 2018

The most recent 20 trading days of prices for 912796UD9.
Date	Bid	Offer	Close
Dec 10, 2018	–	99.994	100.000
Dec 7, 2018	–	99.976	99.994
Dec 6, 2018	–	99.970	99.976
Dec 4, 2018	99.957	99.957	99.969
Dec 3, 2018	99.952	99.952	99.958
Nov 30, 2018	99.935	99.935	99.952
Nov 29, 2018	99.929	99.929	99.935
Nov 28, 2018	99.922	99.922	99.929
Nov 27, 2018	99.916	99.916	99.922
Nov 26, 2018	99.909	99.909	99.916
Nov 23, 2018	99.891	99.891	99.909
Nov 21, 2018	99.879	99.879	99.891
Nov 20, 2018	99.874	99.873	99.881
Nov 19, 2018	99.869	99.869	99.874
Nov 16, 2018	99.850	99.850	99.869
Nov 15, 2018	99.843	99.843	99.851
Nov 14, 2018	99.835	99.835	99.842
Nov 13, 2018	99.832	99.831	99.838
Nov 9, 2018	99.808	99.807	99.833
Nov 8, 2018	99.803	99.803	99.807

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 912796UD9.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Oct 16, 2018	Oct 18, 2018	New issue	$25.0bn	$25.0bn	3.13x	–
Nov 13, 2018	Nov 15, 2018	Reopening	$50.0bn	$50.0bn	2.78x	–

The curve this was priced against →