Treasury bill · Matured

912796WR6

Original term: 8-Week
Maturity: Feb 4, 2020
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: Feb 3, 2020
Analyzed through: Jan 31, 2020

Still priced, no longer analyzed. Risk numbers below are as of Jan 31, 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 31, 2020

Yield to maturity: 1.373%
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 0.02 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, 36 observations

Price history

37 trading days to Feb 3, 2020

The most recent 20 trading days of prices for 912796WR6.
Date	Bid	Offer	Close
Feb 3, 2020	–	99.996	100.000
Jan 31, 2020	–	99.985	99.996
Jan 30, 2020	–	99.980	99.984
Jan 29, 2020	–	99.975	99.979
Jan 28, 2020	99.972	99.971	99.975
Jan 27, 2020	99.967	99.967	99.971
Jan 24, 2020	99.955	99.955	99.967
Jan 23, 2020	99.951	99.951	99.954
Jan 22, 2020	99.946	99.946	99.951
Jan 21, 2020	99.942	99.942	99.946
Jan 17, 2020	99.926	99.925	99.942
Jan 16, 2020	99.921	99.921	99.926
Jan 15, 2020	99.917	99.917	99.921
Jan 14, 2020	99.913	99.912	99.917
Jan 13, 2020	99.909	99.908	99.912
Jan 10, 2020	99.898	99.897	99.909
Jan 9, 2020	99.893	99.892	99.897
Jan 8, 2020	99.889	99.888	99.894
Jan 7, 2020	99.885	99.884	99.888
Jan 6, 2020	99.879	99.878	99.884

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 912796WR6.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Dec 5, 2019	Dec 10, 2019	New issue	$35.0bn	$35.1bn	3.18x	–
Jan 2, 2020	Jan 7, 2020	Reopening	$35.0bn	$35.1bn	3.31x	–

The curve this was priced against →