Treasury bill · Matured

912796LJ6

Original term: 52-Week
Maturity: Feb 1, 2018
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: Jan 31, 2018
Analyzed through: Jan 30, 2018

Still priced, no longer analyzed. Risk numbers below are as of Jan 30, 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 30, 2018

Yield to maturity: 1.257%
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 0.01 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 31, 2018

The most recent 20 trading days of prices for 912796LJ6.
Date	Bid	Offer	Close
Jan 31, 2018	–	99.997	100.000
Jan 30, 2018	–	99.993	99.997
Jan 29, 2018	–	99.990	99.993
Jan 26, 2018	–	99.980	99.989
Jan 25, 2018	99.977	99.976	99.980
Jan 24, 2018	99.973	99.973	99.976
Jan 23, 2018	99.969	99.969	99.972
Jan 22, 2018	99.965	99.965	99.969
Jan 19, 2018	99.955	99.955	99.966
Jan 18, 2018	99.951	99.951	99.955
Jan 17, 2018	99.947	99.947	99.951
Jan 16, 2018	99.942	99.942	99.945
Jan 12, 2018	99.929	99.929	99.943
Jan 11, 2018	99.927	99.927	99.929
Jan 10, 2018	99.923	99.922	99.925
Jan 9, 2018	99.919	99.919	99.923
Jan 8, 2018	99.917	99.917	99.919
Jan 5, 2018	99.907	99.907	99.917
Jan 4, 2018	99.902	99.902	99.906
Jan 3, 2018	99.899	99.898	99.901

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 912796LJ6.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Jan 31, 2017	Feb 2, 2017	New issue	$20.0bn	$20.0bn	3.48x	–
Jul 31, 2017	Aug 3, 2017	Reopening	$33.0bn	$33.0bn	3.08x	–
Oct 30, 2017	Nov 2, 2017	Reopening	$42.0bn	$42.0bn	3.02x	–
Jan 2, 2018	Jan 4, 2018	Reopening	$50.0bn	$50.0bn	2.89x	–

The curve this was priced against →