Treasury bill · Matured

912796KD0

Original term: 26-Week
Maturity: Jan 19, 2017
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: Jan 18, 2017
Analyzed through: Jan 17, 2017

Still priced, no longer analyzed. Risk numbers below are as of Jan 17, 2017, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, January 17, 2017

Yield to maturity: 0.517%
Modified duration: 0.003 yr
DV01: 0.0000
Convexity: 0.000
Dirty price: 99.999

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 0.00 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, 122 observations

Price history

123 trading days to Jan 18, 2017

The most recent 20 trading days of prices for 912796KD0.
Date	Bid	Offer	Close
Jan 18, 2017	–	99.999	100.000
Jan 17, 2017	–	99.997	99.999
Jan 13, 2017	–	99.991	99.997
Jan 12, 2017	99.990	99.990	99.992
Jan 11, 2017	99.989	99.989	99.990
Jan 10, 2017	99.987	99.987	99.989
Jan 9, 2017	99.986	99.986	99.987
Jan 6, 2017	99.983	99.983	99.986
Jan 5, 2017	99.983	99.983	99.983
Jan 4, 2017	99.981	99.980	99.982
Jan 3, 2017	99.980	99.980	99.981
Dec 30, 2016	99.977	99.977	99.981
Dec 29, 2016	99.980	99.980	99.978
Dec 28, 2016	99.974	99.974	99.975
Dec 27, 2016	99.972	99.972	99.973
Dec 23, 2016	99.969	99.969	99.974
Dec 22, 2016	99.970	99.970	99.969
Dec 21, 2016	99.963	99.962	99.965
Dec 20, 2016	99.962	99.962	99.962
Dec 19, 2016	99.963	99.962	99.962

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 912796KD0.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Jul 18, 2016	Jul 21, 2016	New issue	$32.0bn	$32.0bn	3.28x	–
Oct 17, 2016	Oct 20, 2016	Reopening	$42.0bn	$42.0bn	3.27x	–
Dec 20, 2016	Dec 22, 2016	Reopening	$55.0bn	$55.0bn	3.01x	–

The curve this was priced against →