Treasury bill · Matured

912796PL7

Original term: 26-Week
Maturity: Jun 14, 2018
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: Jun 13, 2018
Analyzed through: Jun 12, 2018

Still priced, no longer analyzed. Risk numbers below are as of Jun 12, 2018, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, June 12, 2018

Yield to maturity: 1.602%
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 0.04 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, 123 observations

Price history

124 trading days to Jun 13, 2018

The most recent 20 trading days of prices for 912796PL7.
Date	Bid	Offer	Close
Jun 13, 2018	–	99.996	100.000
Jun 12, 2018	–	99.991	99.996
Jun 11, 2018	–	99.987	99.991
Jun 8, 2018	–	99.975	99.987
Jun 7, 2018	99.971	99.970	99.974
Jun 6, 2018	99.966	99.966	99.970
Jun 5, 2018	99.960	99.960	99.965
Jun 4, 2018	99.956	99.956	99.960
Jun 1, 2018	99.943	99.943	99.956
May 31, 2018	99.941	99.941	99.943
May 30, 2018	99.937	99.937	99.942
May 29, 2018	99.930	99.929	99.935
May 25, 2018	99.914	99.913	99.930
May 24, 2018	99.906	99.906	99.911
May 23, 2018	99.901	99.901	99.906
May 22, 2018	99.894	99.894	99.901
May 21, 2018	99.890	99.890	99.895
May 18, 2018	99.877	99.877	99.891
May 17, 2018	99.872	99.872	99.876
May 16, 2018	99.867	99.866	99.871

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 912796PL7.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Dec 11, 2017	Dec 14, 2017	New issue	$39.0bn	$39.0bn	3.26x	–
Mar 12, 2018	Mar 15, 2018	Reopening	$51.0bn	$51.0bn	3.13x	–
May 15, 2018	May 17, 2018	Reopening	$45.0bn	$45.0bn	3.13x	–

The curve this was priced against →