Treasury bill · Matured

912796VJ5

Original term: 8-Week
Maturity: Jul 2, 2019
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: Jul 1, 2019
Analyzed through: Jun 28, 2019

Still priced, no longer analyzed. Risk numbers below are as of Jun 28, 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 28, 2019

Yield to maturity: 1.972%
Modified duration: 0.003 yr
DV01: 0.0000
Convexity: 0.000
Dirty price: 99.995

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 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, 38 observations

Price history

39 trading days to Jul 1, 2019

The most recent 20 trading days of prices for 912796VJ5.
Date	Bid	Offer	Close
Jul 1, 2019	–	99.995	100.000
Jun 28, 2019	–	99.978	99.995
Jun 27, 2019	–	99.973	99.979
Jun 26, 2019	–	99.966	99.972
Jun 25, 2019	99.961	99.961	99.967
Jun 24, 2019	99.955	99.955	99.961
Jun 21, 2019	99.937	99.937	99.954
Jun 20, 2019	99.930	99.930	99.937
Jun 19, 2019	99.924	99.924	99.929
Jun 18, 2019	99.918	99.917	99.923
Jun 17, 2019	99.911	99.910	99.917
Jun 14, 2019	99.892	99.892	99.910
Jun 13, 2019	99.886	99.886	99.892
Jun 12, 2019	99.878	99.878	99.885
Jun 11, 2019	99.870	99.869	99.876
Jun 10, 2019	99.862	99.862	99.869
Jun 7, 2019	99.845	99.844	99.863
Jun 6, 2019	99.838	99.838	99.844
Jun 5, 2019	99.829	99.829	99.837
Jun 4, 2019	99.821	99.820	99.828

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 912796VJ5.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
May 2, 2019	May 7, 2019	New issue	$35.0bn	$35.0bn	2.70x	–
May 30, 2019	Jun 4, 2019	Reopening	$40.0bn	$40.0bn	3.02x	–

The curve this was priced against →