Treasury bill · Matured

912796UE7

Original term: 8-Week
Maturity: Dec 18, 2018
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: Dec 17, 2018
Analyzed through: Dec 14, 2018

Still priced, no longer analyzed. Risk numbers below are as of Dec 14, 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 14, 2018

Yield to maturity: 2.241%
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 17, 2018

The most recent 20 trading days of prices for 912796UE7.
Date	Bid	Offer	Close
Dec 17, 2018	–	99.994	100.000
Dec 14, 2018	–	99.976	99.994
Dec 13, 2018	–	99.970	99.976
Dec 12, 2018	–	99.965	99.970
Dec 11, 2018	99.960	99.960	99.965
Dec 10, 2018	99.954	99.954	99.960
Dec 7, 2018	99.935	99.935	99.952
Dec 6, 2018	99.925	99.925	99.935
Dec 4, 2018	99.915	99.914	99.926
Dec 3, 2018	99.909	99.909	99.916
Nov 30, 2018	99.893	99.892	99.910
Nov 29, 2018	99.887	99.887	99.893
Nov 28, 2018	99.880	99.879	99.886
Nov 27, 2018	99.874	99.874	99.880
Nov 26, 2018	99.867	99.867	99.874
Nov 23, 2018	99.848	99.848	99.866
Nov 21, 2018	99.837	99.837	99.847
Nov 20, 2018	99.833	99.832	99.838
Nov 19, 2018	99.828	99.828	99.833
Nov 16, 2018	99.811	99.811	99.828

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 912796UE7.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Oct 23, 2018	Oct 25, 2018	New issue	$25.0bn	$25.0bn	3.43x	–
Nov 20, 2018	Nov 23, 2018	Reopening	$50.0bn	$50.0bn	2.90x	–

The curve this was priced against →