Treasury bill · Matured

912796MK2

Original term: 52-Week
Maturity: Jul 19, 2018
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: Jul 18, 2018
Analyzed through: Jul 17, 2018

Still priced, no longer analyzed. Risk numbers below are as of Jul 17, 2018, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, July 17, 2018

Yield to maturity: 1.866%
Modified duration: 0.003 yr
DV01: 0.0000
Convexity: 0.000
Dirty price: 99.995

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 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, 249 observations

Price history

250 trading days to Jul 18, 2018

The most recent 20 trading days of prices for 912796MK2.
Date	Bid	Offer	Close
Jul 18, 2018	–	99.995	100.000
Jul 17, 2018	–	99.990	99.995
Jul 16, 2018	–	99.985	99.990
Jul 13, 2018	–	99.970	99.985
Jul 12, 2018	99.965	99.965	99.970
Jul 11, 2018	99.959	99.959	99.965
Jul 10, 2018	99.954	99.954	99.960
Jul 9, 2018	99.949	99.949	99.954
Jul 6, 2018	99.934	99.934	99.950
Jul 5, 2018	99.931	99.931	99.935
Jul 3, 2018	99.918	99.918	99.928
Jul 2, 2018	99.916	99.915	99.917
Jun 29, 2018	99.905	99.905	99.918
Jun 28, 2018	99.901	99.901	99.905
Jun 27, 2018	99.895	99.895	99.901
Jun 26, 2018	99.889	99.889	99.894
Jun 25, 2018	99.881	99.881	99.888
Jun 22, 2018	99.864	99.864	99.880
Jun 21, 2018	99.860	99.859	99.864
Jun 20, 2018	99.854	99.853	99.858

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 912796MK2.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Jul 18, 2017	Jul 20, 2017	New issue	$20.0bn	$20.0bn	3.17x	–
Jan 16, 2018	Jan 18, 2018	Reopening	$42.0bn	$42.0bn	3.18x	–
Apr 16, 2018	Apr 19, 2018	Reopening	$48.0bn	$48.0bn	3.13x	–
Jun 19, 2018	Jun 21, 2018	Reopening	$35.0bn	$35.0bn	3.16x	–

The curve this was priced against →