Treasury bill · Matured

912796NP0

Original term: 26-Week
Maturity: Jan 25, 2018
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: Jan 24, 2018
Analyzed through: Jan 23, 2018

Still priced, no longer analyzed. Risk numbers below are as of Jan 23, 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 23, 2018

Yield to maturity: 1.278%
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 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, 123 observations

Price history

124 trading days to Jan 24, 2018

The most recent 20 trading days of prices for 912796NP0.
Date	Bid	Offer	Close
Jan 24, 2018	–	99.996	100.000
Jan 23, 2018	–	99.993	99.996
Jan 22, 2018	–	99.990	99.993
Jan 19, 2018	–	99.979	99.990
Jan 18, 2018	99.976	99.975	99.980
Jan 17, 2018	99.972	99.972	99.975
Jan 16, 2018	99.968	99.968	99.972
Jan 12, 2018	99.954	99.954	99.968
Jan 11, 2018	99.951	99.951	99.954
Jan 10, 2018	99.948	99.948	99.951
Jan 9, 2018	99.945	99.944	99.948
Jan 8, 2018	99.942	99.941	99.945
Jan 5, 2018	99.934	99.933	99.942
Jan 4, 2018	99.928	99.928	99.931
Jan 3, 2018	99.925	99.924	99.928
Jan 2, 2018	99.923	99.923	99.925
Dec 29, 2017	99.911	99.911	99.920
Dec 28, 2017	99.909	99.909	99.913
Dec 27, 2017	99.906	99.906	99.911
Dec 26, 2017	99.904	99.903	99.903

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 912796NP0.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Jul 24, 2017	Jul 27, 2017	New issue	$33.0bn	$33.0bn	2.91x	–
Oct 23, 2017	Oct 26, 2017	Reopening	$42.0bn	$42.0bn	3.20x	–
Dec 26, 2017	Dec 28, 2017	Reopening	$50.0bn	$50.0bn	2.96x	–
Jan 19, 2018	Jan 19, 2018	Reopening	$0.0bn	$0.0bn	5.62x	–

The curve this was priced against →