Treasury bill · Matured

912796VF3

Original term: 8-Week
Maturity: Jun 11, 2019
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: Jun 10, 2019
Analyzed through: Jun 7, 2019

Still priced, no longer analyzed. Risk numbers below are as of Jun 7, 2019, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, June 7, 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 0.01 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 10, 2019

The most recent 20 trading days of prices for 912796VF3.
Date	Bid	Offer	Close
Jun 10, 2019	–	99.994	100.000
Jun 7, 2019	–	99.975	99.994
Jun 6, 2019	–	99.968	99.975
Jun 5, 2019	–	99.962	99.968
Jun 4, 2019	99.956	99.956	99.962
Jun 3, 2019	99.950	99.950	99.956
May 31, 2019	99.931	99.931	99.950
May 30, 2019	99.924	99.924	99.930
May 29, 2019	99.918	99.918	99.924
May 28, 2019	99.911	99.911	99.919
May 24, 2019	99.886	99.885	99.911
May 23, 2019	99.881	99.880	99.886
May 22, 2019	99.872	99.872	99.878
May 21, 2019	99.865	99.865	99.871
May 20, 2019	99.858	99.858	99.865
May 17, 2019	99.839	99.838	99.858
May 16, 2019	99.831	99.831	99.839
May 15, 2019	99.823	99.822	99.830
May 14, 2019	99.816	99.816	99.822
May 13, 2019	99.809	99.808	99.815

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 912796VF3.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Apr 11, 2019	Apr 16, 2019	New issue	$35.0bn	$35.0bn	2.99x	–
May 9, 2019	May 14, 2019	Reopening	$50.0bn	$50.0bn	2.83x	–

The curve this was priced against →