Treasury bill · Matured

912796WN5

Original term: 8-Week
Maturity: Jan 14, 2020
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: Jan 13, 2020
Analyzed through: Jan 10, 2020

Still priced, no longer analyzed. Risk numbers below are as of Jan 10, 2020, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, January 10, 2020

Yield to maturity: 1.505%
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 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, 36 observations

Price history

37 trading days to Jan 13, 2020

The most recent 20 trading days of prices for 912796WN5.
Date	Bid	Offer	Close
Jan 13, 2020	–	99.996	100.000
Jan 10, 2020	–	99.984	99.996
Jan 9, 2020	–	99.980	99.984
Jan 8, 2020	–	99.976	99.979
Jan 7, 2020	99.972	99.971	99.976
Jan 6, 2020	99.967	99.967	99.971
Jan 3, 2020	99.955	99.955	99.967
Jan 2, 2020	99.952	99.952	99.956
Dec 31, 2019	99.941	99.941	99.951
Dec 30, 2019	99.940	99.939	99.942
Dec 27, 2019	99.925	99.924	99.937
Dec 26, 2019	99.920	99.919	99.925
Dec 24, 2019	99.912	99.911	99.920
Dec 23, 2019	99.906	99.905	99.912
Dec 20, 2019	99.894	99.894	99.906
Dec 19, 2019	99.890	99.889	99.896
Dec 18, 2019	99.886	99.885	99.889
Dec 17, 2019	99.882	99.882	99.885
Dec 16, 2019	99.877	99.876	99.881
Dec 13, 2019	99.865	99.864	99.877

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 912796WN5.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Nov 14, 2019	Nov 19, 2019	New issue	$40.0bn	$40.0bn	3.20x	–
Dec 12, 2019	Dec 17, 2019	Reopening	$40.0bn	$44.3bn	2.59x	–

The curve this was priced against →