2001-09-11
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Events of September 11
Following the attacks in the United States on September 11, 2001, financial markets were unsettled for a few days. That did not prevent the Ministère des Finances du Québec from paying, on Friday, September 14, Treasury bills that matured that day. However, the auction of new Treasury bills scheduled for Wednesday, September 12 was postponed until Monday, September 17; these bills were issued the same day as their auction.
The benchmark portfolio is developed so that there is usually no outflow of funds. On each Treasury bill maturity date, the amount received is used to purchase a new Treasury bill issued the same day. The situation on September 14 was special in the following sense: there was indeed an amount maturing on Friday, September 14, but a new issue of Treasury bills did not become available for investment until the following Monday. To adhere as closely as possible to the principle of a continuous investment in 91-day Québec Treasury bills, the following approach was used: it was assumed that the amount maturing on September 14 was temporarily invested, from September 14 to September 17, in the remaining 12 Treasury bills making up the benchmark portfolio on September 14. The investment was made in proportion to the respective weights of the 12 Treasury bills within the benchmark portfolio. The amount flowing from this investment (including interest earned for three days until September 17) was used to purchase the Treasury bill issued on September 14.
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