Treasury bill · Matured

9127962W8

Original term
69-Day
Maturity
Jun 23, 2020
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Jun 22, 2020
Analyzed through
Jun 19, 2020

Still priced, no longer analyzed. Risk numbers below are as of Jun 19, 2020, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, June 19, 2020

Yield to maturity
0.101%
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 0.00 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, 47 observations

0.04%0.06%0.08%0.10%0.12%0.14%0.16%Apr 15, 2020Jun 19, 2020Apr 15, 2020Yield to maturity0.132%Apr 17, 2020Yield to maturity0.091%Apr 21, 2020Yield to maturity0.061%Apr 23, 2020Yield to maturity0.132%Apr 27, 2020Yield to maturity0.142%Apr 29, 2020Yield to maturity0.091%May 1, 2020Yield to maturity0.122%May 5, 2020Yield to maturity0.101%May 7, 2020Yield to maturity0.081%May 11, 2020Yield to maturity0.112%May 13, 2020Yield to maturity0.101%May 15, 2020Yield to maturity0.091%May 19, 2020Yield to maturity0.101%May 21, 2020Yield to maturity0.101%May 26, 2020Yield to maturity0.101%May 28, 2020Yield to maturity0.132%Jun 1, 2020Yield to maturity0.112%Jun 3, 2020Yield to maturity0.112%Jun 5, 2020Yield to maturity0.132%Jun 9, 2020Yield to maturity0.132%Jun 11, 2020Yield to maturity0.091%Jun 15, 2020Yield to maturity0.101%Jun 17, 2020Yield to maturity0.101%Jun 19, 2020Yield to maturity0.101%

Price history

48 trading days to Jun 22, 2020

99.97599.98099.98599.99099.995100.000Apr 15, 2020Jun 22, 2020Apr 15, 2020Close99.975Apr 17, 2020Close99.984Apr 21, 2020Close99.990Apr 23, 2020Close99.978Apr 27, 2020Close99.978Apr 29, 2020Close99.987May 1, 2020Close99.983May 5, 2020Close99.987May 7, 2020Close99.990May 11, 2020Close99.987May 13, 2020Close99.989May 15, 2020Close99.991May 19, 2020Close99.991May 21, 2020Close99.991May 26, 2020Close99.993May 28, 2020Close99.991Jun 1, 2020Close99.994Jun 3, 2020Close99.994Jun 5, 2020Close99.995Jun 9, 2020Close99.995Jun 11, 2020Close99.997Jun 15, 2020Close99.998Jun 17, 2020Close99.999Jun 19, 2020Close100.000Jun 22, 2020Close100.000
The most recent 20 trading days of prices for 9127962W8.
DateBidOfferClose
Jun 22, 2020–100.000100.000
Jun 19, 2020–99.999100.000
Jun 18, 2020–99.99899.999
Jun 17, 2020–99.99899.999
Jun 16, 202099.99899.99899.999
Jun 15, 202099.99899.99799.998
Jun 12, 202099.99799.99799.997
Jun 11, 202099.99799.99699.997
Jun 10, 202099.99699.99699.996
Jun 9, 202099.99599.99599.995
Jun 8, 202099.99599.99599.994
Jun 5, 202099.99599.99499.995
Jun 4, 202099.99499.99499.994
Jun 3, 202099.99499.99399.994
Jun 2, 202099.99399.99399.993
Jun 1, 202099.99399.99399.994
May 29, 202099.99299.99299.993
May 28, 202099.99299.99299.991
May 27, 202099.99199.99199.993
May 26, 202099.99399.99299.993

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 9127962W8.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
Apr 13, 2020Apr 15, 2020New issue$35.0bn$35.0bn3.22x–
Apr 23, 2020Apr 28, 2020Reopening$70.0bn$73.0bn2.53x–
May 21, 2020May 26, 2020Reopening$80.0bn$82.7bn2.75x–

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.

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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.