Treasury bill · Matured

912796UH0

Original term: 8-Week
Maturity: Jan 8, 2019
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: Jan 7, 2019
Analyzed through: Jan 4, 2019

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

Yield to maturity: 2.261%
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 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, 33 observations

Price history

34 trading days to Jan 7, 2019

The most recent 20 trading days of prices for 912796UH0.
Date	Bid	Offer	Close
Jan 7, 2019	–	99.994	100.000
Jan 4, 2019	–	99.975	99.994
Jan 3, 2019	–	99.969	99.975
Jan 2, 2019	99.962	99.962	99.968
Dec 31, 2018	99.950	99.950	99.963
Dec 28, 2018	99.934	99.933	99.950
Dec 27, 2018	99.924	99.923	99.931
Dec 26, 2018	99.916	99.916	99.923
Dec 24, 2018	99.904	99.903	99.916
Dec 21, 2018	99.885	99.885	99.904
Dec 20, 2018	99.879	99.878	99.883
Dec 19, 2018	99.870	99.870	99.877
Dec 18, 2018	99.868	99.868	99.874
Dec 17, 2018	99.860	99.860	99.867
Dec 14, 2018	99.844	99.844	99.859
Dec 13, 2018	99.838	99.838	99.844
Dec 12, 2018	99.832	99.832	99.838
Dec 11, 2018	99.825	99.825	99.832
Dec 10, 2018	99.815	99.815	99.823
Dec 7, 2018	99.799	99.799	99.819

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 912796UH0.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Nov 13, 2018	Nov 15, 2018	New issue	$30.0bn	$30.0bn	3.13x	–
Dec 6, 2018	Dec 11, 2018	Reopening	$40.0bn	$40.0bn	3.04x	–

The curve this was priced against →