Treasury bill · Matured

912796VE6

Original term: 8-Week
Maturity: Jun 4, 2019
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: Jun 3, 2019
Analyzed through: May 31, 2019

Still priced, no longer analyzed. Risk numbers below are as of May 31, 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 31, 2019

Yield to maturity: 2.298%
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 0.00 cents per 100 of face cheap 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, 37 observations

Price history

38 trading days to Jun 3, 2019

The most recent 20 trading days of prices for 912796VE6.
Date	Bid	Offer	Close
Jun 3, 2019	–	99.993	100.000
May 31, 2019	–	99.975	99.994
May 30, 2019	–	99.968	99.975
May 29, 2019	–	99.963	99.969
May 28, 2019	99.956	99.956	99.963
May 24, 2019	99.930	99.930	99.956
May 23, 2019	99.925	99.925	99.930
May 22, 2019	99.917	99.917	99.923
May 21, 2019	99.911	99.911	99.917
May 20, 2019	99.903	99.903	99.909
May 17, 2019	99.885	99.884	99.903
May 16, 2019	99.876	99.876	99.885
May 15, 2019	99.869	99.868	99.875
May 14, 2019	99.862	99.862	99.868
May 13, 2019	99.855	99.855	99.862
May 10, 2019	99.835	99.835	99.855
May 9, 2019	99.828	99.828	99.835
May 8, 2019	99.822	99.822	99.828
May 7, 2019	99.814	99.814	99.821
May 6, 2019	99.807	99.807	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 912796VE6.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Apr 4, 2019	Apr 9, 2019	New issue	$35.0bn	$35.0bn	3.35x	–
May 2, 2019	May 7, 2019	Reopening	$50.0bn	$50.0bn	2.70x	–

The curve this was priced against →