Treasury bill · Matured

912796VD8

Original term: 8-Week
Maturity: May 28, 2019
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: May 24, 2019
Analyzed through: May 23, 2019

Still priced, no longer analyzed. Risk numbers below are as of May 23, 2019, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, May 23, 2019

Yield to maturity: 2.308%
Modified duration: 0.011 yr
DV01: 0.0001
Convexity: 0.000
Dirty price: 99.975

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 0.011 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 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, 37 observations

Price history

38 trading days to May 24, 2019

The most recent 20 trading days of prices for 912796VD8.
Date	Bid	Offer	Close
May 24, 2019	–	99.975	100.000
May 23, 2019	–	99.968	99.975
May 22, 2019	–	99.962	99.968
May 21, 2019	99.956	99.955	99.962
May 20, 2019	99.949	99.949	99.955
May 17, 2019	99.930	99.929	99.949
May 16, 2019	99.923	99.923	99.929
May 15, 2019	99.915	99.915	99.922
May 14, 2019	99.909	99.909	99.915
May 13, 2019	99.901	99.901	99.908
May 10, 2019	99.881	99.881	99.901
May 9, 2019	99.875	99.875	99.882
May 8, 2019	99.869	99.868	99.875
May 7, 2019	99.861	99.861	99.868
May 6, 2019	99.855	99.855	99.861
May 3, 2019	99.835	99.835	99.855
May 2, 2019	99.829	99.829	99.833
May 1, 2019	99.822	99.822	99.828
Apr 30, 2019	99.814	99.813	99.822
Apr 29, 2019	99.806	99.806	99.813

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 912796VD8.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Mar 28, 2019	Apr 2, 2019	New issue	$35.0bn	$35.0bn	3.11x	–
Apr 25, 2019	Apr 30, 2019	Reopening	$50.0bn	$50.0bn	2.72x	–

The curve this was priced against →