Treasury bill · Matured

912796LC1

Original term: 52-Week
Maturity: Jan 4, 2018
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: Jan 3, 2018
Analyzed through: Jan 2, 2018

Still priced, no longer analyzed. Risk numbers below are as of Jan 2, 2018, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, January 2, 2018

Yield to maturity: 1.085%
Modified duration: 0.003 yr
DV01: 0.0000
Convexity: 0.000
Dirty price: 99.997

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 0.04 cents per 100 of face rich to the curve on that day.

Shown as a price rather than a yield. This bill is 2 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, 249 observations

Price history

250 trading days to Jan 3, 2018

The most recent 20 trading days of prices for 912796LC1.
Date	Bid	Offer	Close
Jan 3, 2018	–	99.997	100.000
Jan 2, 2018	–	99.994	99.997
Dec 29, 2017	–	99.982	99.994
Dec 28, 2017	99.982	99.981	99.982
Dec 27, 2017	99.977	99.977	99.980
Dec 26, 2017	99.973	99.973	99.977
Dec 22, 2017	99.960	99.960	99.973
Dec 21, 2017	99.956	99.956	99.958
Dec 20, 2017	99.950	99.950	99.953
Dec 19, 2017	99.946	99.946	99.950
Dec 18, 2017	99.944	99.944	99.948
Dec 15, 2017	99.936	99.936	99.944
Dec 14, 2017	99.933	99.932	99.936
Dec 13, 2017	99.929	99.929	99.932
Dec 12, 2017	99.926	99.925	99.928
Dec 11, 2017	99.926	99.925	99.927
Dec 8, 2017	99.915	99.915	99.926
Dec 7, 2017	99.911	99.911	99.915
Dec 6, 2017	99.905	99.905	99.911
Dec 5, 2017	99.905	99.904	99.907

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.

4 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 912796LC1.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Jan 3, 2017	Jan 5, 2017	New issue	$20.0bn	$20.0bn	3.39x	–
Jul 3, 2017	Jul 6, 2017	Reopening	$33.0bn	$33.0bn	3.21x	–
Oct 2, 2017	Oct 5, 2017	Reopening	$42.0bn	$42.0bn	2.89x	–
Dec 5, 2017	Dec 7, 2017	Reopening	$35.0bn	$35.0bn	3.10x	–

The curve this was priced against →