Treasury bill · Matured

912796UJ6

Original term: 8-Week
Maturity: Jan 15, 2019
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: Jan 14, 2019
Analyzed through: Jan 11, 2019

Still priced, no longer analyzed. Risk numbers below are as of Jan 11, 2019, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, January 11, 2019

Yield to maturity: 2.362%
Modified duration: 0.003 yr
DV01: 0.0000
Convexity: 0.000
Dirty price: 99.994

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 4 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, 33 observations

Price history

34 trading days to Jan 14, 2019

The most recent 20 trading days of prices for 912796UJ6.
Date	Bid	Offer	Close
Jan 14, 2019	–	99.993	100.000
Jan 11, 2019	–	99.974	99.994
Jan 10, 2019	–	99.968	99.974
Jan 9, 2019	–	99.962	99.968
Jan 8, 2019	99.956	99.955	99.962
Jan 7, 2019	99.950	99.950	99.955
Jan 4, 2019	99.931	99.931	99.949
Jan 3, 2019	99.925	99.925	99.931
Jan 2, 2019	99.917	99.917	99.924
Dec 31, 2018	99.906	99.906	99.918
Dec 28, 2018	99.887	99.886	99.906
Dec 27, 2018	99.879	99.879	99.885
Dec 26, 2018	99.870	99.870	99.876
Dec 24, 2018	99.858	99.858	99.870
Dec 21, 2018	99.839	99.838	99.858
Dec 20, 2018	99.832	99.832	99.838
Dec 19, 2018	99.826	99.826	99.834
Dec 18, 2018	99.821	99.820	99.828
Dec 17, 2018	99.813	99.812	99.820
Dec 14, 2018	99.796	99.796	99.814

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.

2 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 912796UJ6.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Nov 20, 2018	Nov 23, 2018	New issue	$30.0bn	$30.0bn	3.48x	–
Dec 13, 2018	Dec 18, 2018	Reopening	$40.0bn	$40.0bn	2.92x	–

The curve this was priced against →