Treasury bill · Matured

912796RK7

Original term: 123-Day
Maturity: Jan 2, 2018
Coupon: –
Pays: None
Dated: –
First coupon: –
Priced through: Dec 29, 2017
Analyzed through: Dec 28, 2017

Still priced, no longer analyzed. Risk numbers below are as of Dec 28, 2017, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, December 28, 2017

Yield to maturity: 1.105%
Modified duration: 0.011 yr
DV01: 0.0001
Convexity: 0.000
Dirty price: 99.988

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 0.011 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 0.04 cents per 100 of face rich to the curve on that day.

Shown as a price rather than a yield. This bill is 5 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, 81 observations

Price history

82 trading days to Dec 29, 2017

The most recent 20 trading days of prices for 912796RK7.
Date	Bid	Offer	Close
Dec 29, 2017	–	99.988	100.000
Dec 28, 2017	–	99.985	99.988
Dec 27, 2017	–	99.982	99.985
Dec 26, 2017	99.979	99.978	99.983
Dec 22, 2017	99.966	99.965	99.978
Dec 21, 2017	99.963	99.963	99.965
Dec 20, 2017	99.956	99.955	99.960
Dec 19, 2017	99.953	99.953	99.956
Dec 18, 2017	99.951	99.950	99.953
Dec 15, 2017	99.942	99.942	99.951
Dec 14, 2017	99.939	99.939	99.943
Dec 13, 2017	99.935	99.935	99.939
Dec 12, 2017	99.932	99.932	99.936
Dec 11, 2017	99.931	99.931	99.934
Dec 8, 2017	99.922	99.922	99.932
Dec 7, 2017	99.918	99.918	99.921
Dec 6, 2017	99.913	99.913	99.918
Dec 5, 2017	99.912	99.911	99.914
Dec 4, 2017	99.910	99.910	99.912
Dec 1, 2017	99.902	99.901	99.910

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.

Auction

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 912796RK7.
Auction date	Issued	Type	Offered	Accepted	Bid to cover	High yield
Aug 29, 2017	Sep 1, 2017	New issue	$40.0bn	$40.0bn	3.04x	–

The curve this was priced against →