Treasury bill · Matured

912796VK2

Original term: 8-Week
Maturity: Jul 9, 2019
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: Jul 8, 2019
Analyzed through: Jul 5, 2019

Still priced, no longer analyzed. Risk numbers below are as of Jul 5, 2019, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, July 5, 2019

Yield to maturity: 2.206%
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 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, 37 observations

Price history

38 trading days to Jul 8, 2019

The most recent 20 trading days of prices for 912796VK2.
Date	Bid	Offer	Close
Jul 8, 2019	–	99.994	100.000
Jul 5, 2019	–	99.976	99.994
Jul 3, 2019	–	99.964	99.975
Jul 2, 2019	99.958	99.958	99.964
Jul 1, 2019	99.955	99.954	99.959
Jun 28, 2019	99.940	99.939	99.956
Jun 27, 2019	99.934	99.933	99.940
Jun 26, 2019	99.927	99.927	99.933
Jun 25, 2019	99.922	99.921	99.927
Jun 24, 2019	99.916	99.916	99.923
Jun 21, 2019	99.898	99.897	99.915
Jun 20, 2019	99.892	99.891	99.898
Jun 19, 2019	99.886	99.886	99.891
Jun 18, 2019	99.877	99.877	99.883
Jun 17, 2019	99.870	99.869	99.876
Jun 14, 2019	99.852	99.851	99.869
Jun 13, 2019	99.845	99.845	99.852
Jun 12, 2019	99.837	99.837	99.845
Jun 11, 2019	99.826	99.826	99.833
Jun 10, 2019	99.817	99.816	99.824

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 912796VK2.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
May 9, 2019	May 14, 2019	New issue	$35.0bn	$35.0bn	3.05x	–
Jun 6, 2019	Jun 11, 2019	Reopening	$40.0bn	$40.0bn	2.75x	–

The curve this was priced against →