Treasury bill · Matured

9127962K4

Original term
8-Week
Maturity
May 5, 2020
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
May 4, 2020
Analyzed through
May 1, 2020

Still priced, no longer analyzed. Risk numbers below are as of May 1, 2020, 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, 2020

Yield to maturity
0.061%
Modified duration
0.003 yr
DV01
0.0000
Convexity
0.000
Dirty price
100.000

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 4 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, 38 observations

0.0%0.1%0.2%0.3%0.4%0.5%0.6%Mar 10, 2020May 1, 2020Mar 10, 2020Yield to maturity0.558%Mar 11, 2020Yield to maturity0.426%Mar 12, 2020Yield to maturity0.294%Mar 13, 2020Yield to maturity0.294%Mar 16, 2020Yield to maturity0.172%Mar 17, 2020Yield to maturity0.172%Mar 18, 2020Yield to maturity0.081%Mar 19, 2020Yield to maturity0.071%Mar 20, 2020Yield to maturity0.041%Mar 23, 2020Yield to maturity0.030%Mar 24, 2020Yield to maturity0.041%Mar 25, 2020Yield to maturity0.010%Mar 26, 2020Yield to maturity0.010%Mar 27, 2020Yield to maturity0.000%Mar 30, 2020Yield to maturity0.081%Mar 31, 2020Yield to maturity0.061%Apr 1, 2020Yield to maturity0.081%Apr 2, 2020Yield to maturity0.101%Apr 3, 2020Yield to maturity0.081%Apr 6, 2020Yield to maturity0.101%Apr 7, 2020Yield to maturity0.091%Apr 8, 2020Yield to maturity0.142%Apr 9, 2020Yield to maturity0.187%Apr 13, 2020Yield to maturity0.122%Apr 14, 2020Yield to maturity0.142%Apr 15, 2020Yield to maturity0.112%Apr 16, 2020Yield to maturity0.091%Apr 17, 2020Yield to maturity0.071%Apr 20, 2020Yield to maturity0.061%Apr 21, 2020Yield to maturity0.061%Apr 22, 2020Yield to maturity0.081%Apr 23, 2020Yield to maturity0.061%Apr 24, 2020Yield to maturity0.081%Apr 27, 2020Yield to maturity0.071%Apr 28, 2020Yield to maturity0.051%Apr 29, 2020Yield to maturity0.081%Apr 30, 2020Yield to maturity0.061%May 1, 2020Yield to maturity0.061%

Price history

39 trading days to May 4, 2020

99.9099.9299.9499.9699.98100.00Mar 10, 2020May 4, 2020Mar 10, 2020Close99.916Mar 11, 2020Close99.937Mar 12, 2020Close99.957Mar 13, 2020Close99.960Mar 16, 2020Close99.977Mar 17, 2020Close99.977Mar 18, 2020Close99.990Mar 19, 2020Close99.991Mar 20, 2020Close99.995Mar 23, 2020Close99.996Mar 24, 2020Close99.995Mar 25, 2020Close99.999Mar 26, 2020Close99.999Mar 27, 2020Close100.000Mar 30, 2020Close99.992Mar 31, 2020Close99.994Apr 1, 2020Close99.993Apr 2, 2020Close99.991Apr 3, 2020Close99.994Apr 6, 2020Close99.992Apr 7, 2020Close99.993Apr 8, 2020Close99.990Apr 9, 2020Close99.987Apr 13, 2020Close99.993Apr 14, 2020Close99.992Apr 15, 2020Close99.994Apr 16, 2020Close99.996Apr 17, 2020Close99.997Apr 20, 2020Close99.998Apr 21, 2020Close99.998Apr 22, 2020Close99.997Apr 23, 2020Close99.998Apr 24, 2020Close99.998Apr 27, 2020Close99.999Apr 28, 2020Close99.999Apr 29, 2020Close99.999Apr 30, 2020Close99.999May 1, 2020Close100.000May 4, 2020Close100.000
The most recent 20 trading days of prices for 9127962K4.
DateBidOfferClose
May 4, 2020–100.000100.000
May 1, 2020–99.999100.000
Apr 30, 2020–99.99999.999
Apr 29, 2020–99.99999.999
Apr 28, 202099.99999.99999.999
Apr 27, 202099.99999.99899.999
Apr 24, 202099.99899.99899.998
Apr 23, 202099.99999.99899.998
Apr 22, 202099.99899.99799.997
Apr 21, 202099.99899.99799.998
Apr 20, 202099.99899.99799.998
Apr 17, 202099.99899.99699.997
Apr 16, 202099.99699.99599.996
Apr 15, 202099.99499.99399.994
Apr 14, 202099.99299.99199.992
Apr 13, 202099.98999.98799.993
Apr 9, 202099.99099.98999.987
Apr 8, 202099.99399.99199.990
Apr 7, 202099.99599.99499.993
Apr 6, 202099.99499.99399.992

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.

2 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 9127962K4.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Mar 5, 2020Mar 10, 2020New issue$45.0bn$47.8bn2.73x–
Apr 2, 2020Apr 7, 2020Reopening$80.0bn$83.9bn3.00x–

The curve this was priced against →

Index levels before September 30, 2026 are back-tested. They were computed after the fact by applying the rules to historical data, which benefits from hindsight in the choice of rules, and an index cannot be invested in directly. Methodology v1.0 takes effect at that rebalance, when levels begin to be struck on the day; the rulebook is identical either way, and the version is published on every row.

A fitted curve is a fit, not a quote. Daily error averages 3.8 basis points across the history and reaches about 20 on the worst days, in December 2008, when the market was genuinely hard to fit one smooth curve to. Every curve page publishes its own fit error rather than burying it.

Free to benchmark against. Paid only to track. Measuring anything against these curves and indices is free. No license, no fee, no registration, and no permission needed to say that you did, including in a prospectus. A fee applies to one thing: launching a product that tracks an index.

Safe Rate™, Safe Rate Indices™ and the Safe Rate US Treasury Index™ are trademarks of Safe Rate, claimed through use in commerce and not registered. Third-party marks are the property of their owners, which are not affiliated with and do not endorse this data.

Curves are fitted from public Treasury data and carry fit error; figures are not a record of trading, and an index cannot be invested in directly. No claim of compliance with the IOSCO Principles for Financial Benchmarks is made or implied. Not investment advice, not an offer, and not a recommendation to buy or sell any security.