Treasury bill · Matured

9127963B3

Original term
26-Week
Maturity
Nov 27, 2020
Coupon
–
Pays
None
Dated
–
First coupon
–
Priced through
Nov 25, 2020
Analyzed through
Nov 24, 2020

Still priced, no longer analyzed. Risk numbers below are as of Nov 24, 2020, analytics stop about three months before maturity, because a security with one cashflow left does not have a meaningful yield curve exposure.

Risk, November 24, 2020

Yield to maturity
0.051%
Modified duration
0.005 yr
DV01
0.0001
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 0.005 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 3 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, 125 observations

0.03%0.05%0.07%0.10%0.13%0.15%0.17%0.20%May 28, 2020Nov 24, 2020May 28, 2020Yield to maturity0.183%Jun 2, 2020Yield to maturity0.162%Jun 5, 2020Yield to maturity0.173%Jun 10, 2020Yield to maturity0.183%Jun 15, 2020Yield to maturity0.183%Jun 18, 2020Yield to maturity0.172%Jun 23, 2020Yield to maturity0.162%Jun 26, 2020Yield to maturity0.172%Jul 1, 2020Yield to maturity0.152%Jul 7, 2020Yield to maturity0.162%Jul 10, 2020Yield to maturity0.152%Jul 15, 2020Yield to maturity0.152%Jul 20, 2020Yield to maturity0.132%Jul 23, 2020Yield to maturity0.122%Jul 28, 2020Yield to maturity0.112%Jul 31, 2020Yield to maturity0.101%Aug 5, 2020Yield to maturity0.122%Aug 10, 2020Yield to maturity0.112%Aug 13, 2020Yield to maturity0.112%Aug 18, 2020Yield to maturity0.091%Aug 21, 2020Yield to maturity0.101%Aug 26, 2020Yield to maturity0.101%Aug 31, 2020Yield to maturity0.112%Sep 3, 2020Yield to maturity0.101%Sep 9, 2020Yield to maturity0.112%Sep 14, 2020Yield to maturity0.112%Sep 17, 2020Yield to maturity0.091%Sep 22, 2020Yield to maturity0.091%Sep 25, 2020Yield to maturity0.091%Sep 30, 2020Yield to maturity0.091%Oct 5, 2020Yield to maturity0.091%Oct 8, 2020Yield to maturity0.091%Oct 14, 2020Yield to maturity0.101%Oct 19, 2020Yield to maturity0.101%Oct 22, 2020Yield to maturity0.091%Oct 27, 2020Yield to maturity0.081%Oct 30, 2020Yield to maturity0.081%Nov 4, 2020Yield to maturity0.081%Nov 9, 2020Yield to maturity0.091%Nov 13, 2020Yield to maturity0.091%Nov 18, 2020Yield to maturity0.061%Nov 23, 2020Yield to maturity0.041%Nov 24, 2020Yield to maturity0.051%

Price history

126 trading days to Nov 25, 2020

99.9099.9299.9499.9699.98100.00May 28, 2020Nov 25, 2020May 28, 2020Close99.909Jun 2, 2020Close99.921Jun 5, 2020Close99.919Jun 10, 2020Close99.915Jun 15, 2020Close99.918Jun 18, 2020Close99.924Jun 23, 2020Close99.931Jun 26, 2020Close99.929Jul 1, 2020Close99.938Jul 7, 2020Close99.937Jul 10, 2020Close99.943Jul 15, 2020Close99.944Jul 20, 2020Close99.953Jul 23, 2020Close99.958Jul 28, 2020Close99.963Jul 31, 2020Close99.968Aug 5, 2020Close99.962Aug 10, 2020Close99.967Aug 13, 2020Close99.968Aug 18, 2020Close99.975Aug 21, 2020Close99.974Aug 26, 2020Close99.974Aug 31, 2020Close99.973Sep 3, 2020Close99.977Sep 9, 2020Close99.976Sep 14, 2020Close99.978Sep 17, 2020Close99.983Sep 22, 2020Close99.984Sep 25, 2020Close99.985Sep 30, 2020Close99.986Oct 5, 2020Close99.987Oct 8, 2020Close99.988Oct 14, 2020Close99.988Oct 19, 2020Close99.989Oct 22, 2020Close99.991Oct 27, 2020Close99.993Oct 30, 2020Close99.994Nov 4, 2020Close99.995Nov 9, 2020Close99.996Nov 13, 2020Close99.997Nov 18, 2020Close99.999Nov 23, 2020Close100.000Nov 25, 2020Close100.000
The most recent 20 trading days of prices for 9127963B3.
DateBidOfferClose
Nov 25, 2020–100.000100.000
Nov 24, 2020–100.000100.000
Nov 23, 2020–100.000100.000
Nov 20, 202099.99999.999100.000
Nov 19, 202099.99999.99999.999
Nov 18, 202099.99999.99999.999
Nov 17, 202099.99899.99899.998
Nov 16, 202099.99799.99799.998
Nov 13, 202099.99799.99699.997
Nov 12, 202099.99699.99699.996
Nov 10, 202099.99699.99699.996
Nov 9, 202099.99699.99699.996
Nov 6, 202099.99599.99599.996
Nov 5, 202099.99599.99599.995
Nov 4, 202099.99599.99499.995
Nov 3, 202099.99599.99599.994
Nov 2, 202099.99499.99499.994
Oct 30, 202099.99499.99499.994
Oct 29, 202099.99499.99499.994
Oct 28, 202099.99499.99399.994

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 9127963B3.
Auction dateIssuedTypeOfferedAcceptedBid to coverHigh yield
May 26, 2020May 28, 2020New issue$54.0bn$58.4bn3.00x–
Jul 28, 2020Jul 30, 2020Reopening$30.0bn$30.0bn3.40x–
Aug 24, 2020Aug 27, 2020Reopening$54.0bn$58.5bn2.57x–
Oct 13, 2020Oct 15, 2020Reopening$30.0bn$30.0bn3.43x–

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.