Treasury bill · Matured

912796VG1

Original term: 8-Week
Maturity: Jun 18, 2019
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: Jun 17, 2019
Analyzed through: Jun 14, 2019

Still priced, no longer analyzed. Risk numbers below are as of Jun 14, 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 14, 2019

Yield to maturity: 2.166%
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, 38 observations

Price history

39 trading days to Jun 17, 2019

The most recent 20 trading days of prices for 912796VG1.
Date	Bid	Offer	Close
Jun 17, 2019	–	99.994	100.000
Jun 14, 2019	–	99.976	99.994
Jun 13, 2019	–	99.970	99.976
Jun 12, 2019	–	99.963	99.969
Jun 11, 2019	99.957	99.957	99.963
Jun 10, 2019	99.950	99.950	99.956
Jun 7, 2019	99.931	99.931	99.950
Jun 6, 2019	99.924	99.923	99.930
Jun 5, 2019	99.918	99.918	99.924
Jun 4, 2019	99.912	99.911	99.918
Jun 3, 2019	99.905	99.905	99.911
May 31, 2019	99.886	99.886	99.905
May 30, 2019	99.879	99.879	99.885
May 29, 2019	99.873	99.872	99.878
May 28, 2019	99.866	99.866	99.872
May 24, 2019	99.840	99.840	99.865
May 23, 2019	99.834	99.834	99.840
May 22, 2019	99.826	99.826	99.832
May 21, 2019	99.819	99.819	99.825
May 20, 2019	99.811	99.811	99.818

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 912796VG1.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Apr 18, 2019	Apr 23, 2019	New issue	$35.0bn	$35.0bn	2.95x	–
May 16, 2019	May 21, 2019	Reopening	$50.0bn	$50.0bn	2.85x	–

The curve this was priced against →