Treasury bill · Matured

912796PC7

Original term: 26-Week
Maturity: May 3, 2018
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: May 2, 2018
Analyzed through: May 1, 2018

Still priced, no longer analyzed. Risk numbers below are as of May 1, 2018, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, May 1, 2018

Yield to maturity: 1.653%
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 0.02 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, 123 observations

Price history

124 trading days to May 2, 2018

The most recent 20 trading days of prices for 912796PC7.
Date	Bid	Offer	Close
May 2, 2018	–	99.996	100.000
May 1, 2018	–	99.991	99.995
Apr 30, 2018	–	99.987	99.991
Apr 27, 2018	–	99.974	99.987
Apr 26, 2018	99.970	99.970	99.975
Apr 25, 2018	99.965	99.964	99.969
Apr 24, 2018	99.960	99.959	99.964
Apr 23, 2018	99.955	99.955	99.959
Apr 20, 2018	99.943	99.943	99.955
Apr 19, 2018	99.937	99.937	99.942
Apr 18, 2018	99.932	99.931	99.936
Apr 17, 2018	99.929	99.929	99.932
Apr 16, 2018	99.924	99.924	99.928
Apr 13, 2018	99.911	99.911	99.924
Apr 12, 2018	99.908	99.907	99.910
Apr 11, 2018	99.903	99.902	99.907
Apr 10, 2018	99.897	99.897	99.902
Apr 9, 2018	99.890	99.890	99.895
Apr 6, 2018	99.876	99.876	99.890
Apr 5, 2018	99.873	99.872	99.877

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 912796PC7.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Oct 30, 2017	Nov 2, 2017	New issue	$36.0bn	$36.0bn	3.47x	–
Jan 29, 2018	Feb 1, 2018	Reopening	$48.0bn	$48.0bn	2.98x	–
Apr 3, 2018	Apr 5, 2018	Reopening	$55.0bn	$55.0bn	2.90x	–

The curve this was priced against →