Treasury bill · Matured

912796UG2

Original term: 8-Week
Maturity: Jan 2, 2019
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: Dec 31, 2018
Analyzed through: Dec 28, 2018

Still priced, no longer analyzed. Risk numbers below are as of Dec 28, 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 28, 2018

Yield to maturity: 2.119%
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 0.12 cents per 100 of face rich to the curve on that day.

Shown as a price rather than a yield. This bill is 5 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, 33 observations

Price history

34 trading days to Dec 31, 2018

The most recent 20 trading days of prices for 912796UG2.
Date	Bid	Offer	Close
Dec 31, 2018	–	99.988	100.000
Dec 28, 2018	–	99.972	99.988
Dec 27, 2018	–	99.964	99.970
Dec 26, 2018	99.956	99.956	99.962
Dec 24, 2018	99.943	99.943	99.955
Dec 21, 2018	99.924	99.924	99.942
Dec 20, 2018	99.917	99.917	99.922
Dec 19, 2018	99.911	99.911	99.917
Dec 18, 2018	99.906	99.906	99.912
Dec 17, 2018	99.899	99.899	99.906
Dec 14, 2018	99.881	99.881	99.898
Dec 13, 2018	99.876	99.876	99.881
Dec 12, 2018	99.869	99.869	99.875
Dec 11, 2018	99.863	99.863	99.869
Dec 10, 2018	99.857	99.857	99.863
Dec 7, 2018	99.838	99.837	99.857
Dec 6, 2018	99.826	99.826	99.836
Dec 4, 2018	99.814	99.814	99.827
Dec 3, 2018	99.813	99.813	99.818
Nov 30, 2018	99.797	99.796	99.814

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 912796UG2.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Nov 6, 2018	Nov 8, 2018	New issue	$30.0bn	$30.0bn	3.09x	–
Dec 4, 2018	Dec 6, 2018	Reopening	$40.0bn	$40.0bn	3.07x	–

The curve this was priced against →