Treasury bill · Matured

912796MJ5

Original term: 26-Week
Maturity: Dec 28, 2017
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: Dec 27, 2017
Analyzed through: Dec 26, 2017

Still priced, no longer analyzed. Risk numbers below are as of Dec 26, 2017, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, December 26, 2017

Yield to maturity: 1.207%
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 0.03 cents per 100 of face cheap 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, 124 observations

Price history

125 trading days to Dec 27, 2017

The most recent 20 trading days of prices for 912796MJ5.
Date	Bid	Offer	Close
Dec 27, 2017	–	99.997	100.000
Dec 26, 2017	–	99.993	99.997
Dec 22, 2017	–	99.980	99.993
Dec 21, 2017	99.977	99.976	99.980
Dec 20, 2017	99.972	99.972	99.976
Dec 19, 2017	99.969	99.969	99.972
Dec 18, 2017	99.965	99.965	99.968
Dec 15, 2017	99.955	99.955	99.965
Dec 14, 2017	99.952	99.952	99.956
Dec 13, 2017	99.949	99.949	99.953
Dec 12, 2017	99.946	99.946	99.949
Dec 11, 2017	99.946	99.946	99.949
Dec 8, 2017	99.936	99.936	99.946
Dec 7, 2017	99.934	99.934	99.937
Dec 6, 2017	99.931	99.930	99.933
Dec 5, 2017	99.927	99.927	99.931
Dec 4, 2017	99.926	99.925	99.928
Dec 1, 2017	99.916	99.916	99.926
Nov 30, 2017	99.912	99.912	99.916
Nov 29, 2017	99.907	99.907	99.911

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.

3 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 912796MJ5.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Jun 26, 2017	Jun 29, 2017	New issue	$33.0bn	$33.0bn	3.35x	–
Sep 25, 2017	Sep 28, 2017	Reopening	$42.0bn	$42.0bn	2.89x	–
Nov 28, 2017	Nov 30, 2017	Reopening	$45.0bn	$45.0bn	3.12x	–

The curve this was priced against →