Treasury bill · Matured
912796KE8
- Original term
- 26-Week
- Maturity
- Jan 26, 2017
- Coupon
- –
- Pays
- None
- Dated
- –
- First coupon
- –
- Priced through
- Jan 25, 2017
- Analyzed through
- Jan 24, 2017
Still priced, no longer analyzed. Risk numbers below are as of Jan 24, 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 24, 2017
- Yield to maturity
- 0.456%
- 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 0.01 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 25, 2017
| Date | Bid | Offer | Close |
|---|---|---|---|
| Jan 25, 2017 | – | 99.999 | 100.000 |
| Jan 24, 2017 | – | 99.998 | 99.999 |
| Jan 23, 2017 | – | 99.996 | 99.998 |
| Jan 20, 2017 | – | 99.993 | 99.996 |
| Jan 19, 2017 | 99.991 | 99.991 | 99.993 |
| Jan 18, 2017 | 99.989 | 99.989 | 99.990 |
| Jan 17, 2017 | 99.987 | 99.987 | 99.989 |
| Jan 13, 2017 | 99.982 | 99.982 | 99.987 |
| Jan 12, 2017 | 99.981 | 99.981 | 99.982 |
| Jan 11, 2017 | 99.979 | 99.979 | 99.980 |
| Jan 10, 2017 | 99.978 | 99.977 | 99.979 |
| Jan 9, 2017 | 99.976 | 99.976 | 99.977 |
| Jan 6, 2017 | 99.973 | 99.973 | 99.976 |
| Jan 5, 2017 | 99.973 | 99.972 | 99.973 |
| Jan 4, 2017 | 99.971 | 99.971 | 99.972 |
| Jan 3, 2017 | 99.972 | 99.971 | 99.972 |
| Dec 30, 2016 | 99.970 | 99.969 | 99.973 |
| Dec 29, 2016 | 99.975 | 99.974 | 99.972 |
| Dec 28, 2016 | 99.962 | 99.961 | 99.963 |
| Dec 27, 2016 | 99.964 | 99.963 | 99.965 |
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 date | Issued | Type | Offered | Accepted | Bid to cover | High yield |
|---|---|---|---|---|---|---|
| Jul 25, 2016 | Jul 28, 2016 | New issue | $32.0bn | $32.0bn | 3.84x | – |
| Oct 24, 2016 | Oct 27, 2016 | Reopening | $42.0bn | $42.0bn | 3.48x | – |
| Dec 27, 2016 | Dec 29, 2016 | Reopening | $50.0bn | $50.0bn | 3.48x | – |