Treasury bill · Matured

912796WJ4

Original term: 8-Week
Maturity: Dec 17, 2019
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: Dec 16, 2019
Analyzed through: Dec 13, 2019

Still priced, no longer analyzed. Risk numbers below are as of Dec 13, 2019, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, December 13, 2019

Yield to maturity: 1.556%
Modified duration: 0.003 yr
DV01: 0.0000
Convexity: 0.000
Dirty price: 99.996

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 Dec 16, 2019

The most recent 20 trading days of prices for 912796WJ4.
Date	Bid	Offer	Close
Dec 16, 2019	–	99.996	100.000
Dec 13, 2019	–	99.983	99.996
Dec 12, 2019	–	99.980	99.983
Dec 11, 2019	–	99.975	99.979
Dec 10, 2019	99.971	99.971	99.975
Dec 9, 2019	99.966	99.966	99.970
Dec 6, 2019	99.954	99.953	99.966
Dec 5, 2019	99.950	99.949	99.953
Dec 4, 2019	99.945	99.945	99.949
Dec 3, 2019	99.941	99.941	99.944
Dec 2, 2019	99.935	99.935	99.939
Nov 29, 2019	99.921	99.921	99.935
Nov 27, 2019	99.911	99.911	99.921
Nov 26, 2019	99.908	99.907	99.912
Nov 25, 2019	99.905	99.904	99.907
Nov 22, 2019	99.893	99.892	99.905
Nov 21, 2019	99.888	99.888	99.892
Nov 20, 2019	99.885	99.885	99.889
Nov 19, 2019	99.881	99.880	99.884
Nov 18, 2019	99.875	99.874	99.879

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 912796WJ4.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Oct 17, 2019	Oct 22, 2019	New issue	$40.0bn	$40.0bn	2.99x	–
Nov 14, 2019	Nov 19, 2019	Reopening	$55.0bn	$55.0bn	2.52x	–

The curve this was priced against →