Rebalance of August 31, 2010
1-12 Month constituents
Every one of the 52 holdings, with the three deductions that set its weight, both prices, and its contribution to the month. The contributions add to the published return, which is what makes a level checkable rather than something to trust.
Check it yourself
- Holdings
- 52
- Weights sum to
- 100.0000%
- Contributions sum to
- +0.025305%
- Market value
- $1.87tn
Both totals are added up on this page from the rows in the table below, not read from a stored figure, a total computed somewhere you cannot see would prove nothing. The check below compares that sum against the level published on the 1-12 Month page, fetched separately.
These reconcile. The holdings below sum to +0.025305% against a published month return of +0.025305%, a difference of 7.2e-9 basis points, the published rounding rather than arithmetic. That shows this level is reproducible from these holdings; it is not a check on the prices behind them, since both sides use the same ones.
How each weight is set
Par auctioned, less what Treasury has bought back and retired, less what the Federal Reserve holds, gives the float that is actually investable. The two deductions are applied in that order rather than combined: a buyback destroys the debt, while the Federal Reserve only parks it, so merging them would restore retired par the moment quantitative tightening reversed.
| CUSIP | Coupon | Matures | Par auctioned | − Bought back | − Fed held | = Float par | Start dirty | End dirty | Weight | Return | Contribution |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 912795U90 | 0.000% | Sep 23, 2010 | $108.00bn | – | – | $108.00bn | 99.9756 | 99.9898 | 5.773% | +0.014% | +0.00082% |
| 912795UH2 | 0.000% | Oct 21, 2010 | $82.00bn | – | – | $82.00bn | 99.9654 | 99.9830 | 4.383% | +0.018% | +0.00077% |
| 912795VB4 | 0.000% | Sep 16, 2010 | $81.00bn | – | – | $81.00bn | 99.9800 | 99.9924 | 4.330% | +0.012% | +0.00054% |
| 912795V73 | 0.000% | Sep 2, 2010 | $80.00bn | – | – | $80.00bn | 99.9858 | 99.9993 | 4.277% | +0.013% | +0.00058% |
| 912795VA6 | 0.000% | Sep 9, 2010 | $80.00bn | – | – | $80.00bn | 99.9829 | 99.9970 | 4.277% | +0.014% | +0.00060% |
| 912795W23 | 0.000% | Oct 7, 2010 | $59.00bn | – | – | $59.00bn | 99.9732 | 99.9887 | 3.154% | +0.016% | +0.00049% |
| 912795VC2 | 0.000% | Sep 30, 2010 | $57.00bn | – | – | $57.00bn | 99.9724 | 99.9867 | 3.047% | +0.014% | +0.00043% |
| 912795W31 | 0.000% | Oct 14, 2010 | $57.00bn | – | – | $57.00bn | 99.9704 | 99.9853 | 3.047% | +0.015% | +0.00045% |
| 912795UX7 | 0.000% | Jan 13, 2011 | $56.00bn | – | – | $56.00bn | 99.9165 | 99.9437 | 2.992% | +0.027% | +0.00082% |
| 912795W49 | 0.000% | Oct 28, 2010 | $55.00bn | – | – | $55.00bn | 99.9625 | 99.9774 | 2.940% | +0.015% | +0.00044% |
| 912795UK5 | 0.000% | Dec 16, 2010 | $54.00bn | – | – | $54.00bn | 99.9344 | 99.9554 | 2.885% | +0.021% | +0.00061% |
| 912795UJ8 | 0.000% | Nov 18, 2010 | $53.00bn | – | – | $53.00bn | 99.9507 | 99.9693 | 2.833% | +0.019% | +0.00053% |
| 912828LG3 | 1.000% | Jul 31, 2011 | $43.05bn | – | $1.05bn | $42.00bn | 100.6929 | 100.7432 | 2.261% | +0.050% | +0.00113% |
| 912828LF5 | 1.125% | Jun 30, 2011 | $41.16bn | – | $1.16bn | $40.00bn | 100.8509 | 100.9113 | 2.157% | +0.060% | +0.00129% |
| 912828JY7 | 0.875% | Jan 31, 2011 | $41.70bn | – | $2.23bn | $39.47bn | 100.3173 | 100.3573 | 2.117% | +0.040% | +0.00085% |
| 912828KH2 | 0.875% | Mar 31, 2011 | $41.90bn | – | $2.98bn | $38.92bn | 100.7027 | 100.7119 | 2.095% | +0.009% | +0.00019% |
| 912828KE9 | 0.875% | Feb 28, 2011 | $42.14bn | – | $3.56bn | $38.59bn | 100.7435 | 100.3149 | 2.078% | +0.009% | +0.00018% |
| 912828KL3 | 0.875% | Apr 30, 2011 | $41.39bn | – | $3.94bn | $37.45bn | 100.6610 | 100.7323 | 2.016% | +0.071% | +0.00143% |
| 912828JV3 | 0.875% | Dec 31, 2010 | $40.77bn | – | $4.96bn | $35.81bn | 100.3597 | 100.3685 | 1.922% | +0.009% | +0.00017% |
| 912828JS0 | 1.250% | Nov 30, 2010 | $38.52bn | – | $3.90bn | $34.62bn | 100.5589 | 100.5676 | 1.861% | +0.009% | +0.00016% |
| 912828JL5 | 2.000% | Sep 30, 2010 | $37.15bn | – | $3.15bn | $34.00bn | 100.9588 | 100.9665 | 1.835% | +0.008% | +0.00014% |
| 912828JP6 | 1.500% | Oct 31, 2010 | $35.51bn | – | $2.03bn | $33.48bn | 100.6957 | 100.7242 | 1.802% | +0.028% | +0.00051% |
| 912828KU3 | 0.875% | May 31, 2011 | $41.38bn | – | $7.89bn | $33.49bn | 100.6194 | 100.6911 | 1.802% | +0.071% | +0.00128% |
| 912795X71 | 0.000% | Jan 6, 2011 | $30.00bn | – | – | $30.00bn | 99.9200 | 99.9467 | 1.603% | +0.027% | +0.00043% |
| 912795X89 | 0.000% | Jan 20, 2011 | $30.00bn | – | – | $30.00bn | 99.9082 | 99.9408 | 1.603% | +0.033% | +0.00052% |
| 912795X97 | 0.000% | Jan 27, 2011 | $30.00bn | – | – | $30.00bn | 99.8994 | 99.9338 | 1.603% | +0.034% | +0.00055% |
| 912795X55 | 0.000% | Dec 30, 2010 | $28.00bn | – | – | $28.00bn | 99.9193 | 99.9462 | 1.496% | +0.027% | +0.00040% |
| 912795W98 | 0.000% | Dec 2, 2010 | $27.00bn | – | – | $27.00bn | 99.9444 | 99.9638 | 1.443% | +0.019% | +0.00028% |
| 912795X30 | 0.000% | Dec 9, 2010 | $27.00bn | – | – | $27.00bn | 99.9377 | 99.9611 | 1.443% | +0.023% | +0.00034% |
| 912795X48 | 0.000% | Dec 23, 2010 | $27.00bn | – | – | $27.00bn | 99.9270 | 99.9525 | 1.443% | +0.026% | +0.00037% |
| 912795W72 | 0.000% | Nov 12, 2010 | $26.00bn | – | – | $26.00bn | 99.9562 | 99.9716 | 1.390% | +0.015% | +0.00021% |
| 912795W80 | 0.000% | Nov 26, 2010 | $26.00bn | – | – | $26.00bn | 99.9471 | 99.9710 | 1.389% | +0.024% | +0.00033% |
| 912795V40 | 0.000% | Feb 10, 2011 | $26.00bn | – | – | $26.00bn | 99.8917 | 99.9185 | 1.389% | +0.027% | +0.00037% |
| 912795V99 | 0.000% | Mar 10, 2011 | $26.00bn | – | – | $26.00bn | 99.8761 | 99.8992 | 1.389% | +0.023% | +0.00032% |
| 912795VD0 | 0.000% | Apr 7, 2011 | $26.00bn | – | – | $26.00bn | 99.8606 | 99.8966 | 1.388% | +0.036% | +0.00050% |
| 912795VE8 | 0.000% | May 5, 2011 | $26.00bn | – | – | $26.00bn | 99.8295 | 99.8696 | 1.388% | +0.040% | +0.00056% |
| 912795W56 | 0.000% | Nov 4, 2010 | $25.00bn | – | – | $25.00bn | 99.9596 | 99.9765 | 1.336% | +0.017% | +0.00023% |
| 912795W64 | 0.000% | Jun 2, 2011 | $25.00bn | – | – | $25.00bn | 99.7953 | 99.8472 | 1.334% | +0.052% | +0.00069% |
| 912795X22 | 0.000% | Jun 30, 2011 | $25.00bn | – | – | $25.00bn | 99.7581 | 99.8233 | 1.334% | +0.065% | +0.00087% |
| 912795X63 | 0.000% | Jul 28, 2011 | $25.00bn | – | – | $25.00bn | 99.7177 | 99.7885 | 1.333% | +0.071% | +0.00095% |
| 9128276T4 | 5.000% | Feb 15, 2011 | $23.43bn | – | $1.65bn | $21.78bn | 104.8517 | 102.3872 | 1.221% | +0.034% | +0.00041% |
| 912828FH8 | 4.875% | May 31, 2011 | $17.14bn | – | $1.37bn | $15.78bn | 104.6204 | 104.6762 | 0.883% | +0.053% | +0.00047% |
| 912828FA3 | 4.750% | Mar 31, 2011 | $17.50bn | – | $1.95bn | $15.55bn | 104.5780 | 104.5924 | 0.869% | +0.014% | +0.00012% |
| 912828FK1 | 5.125% | Jun 30, 2011 | $17.50bn | – | $2.25bn | $15.25bn | 104.8346 | 104.9086 | 0.855% | +0.071% | +0.00060% |
| 912828FD7 | 4.875% | Apr 30, 2011 | $17.50bn | – | $2.31bn | $15.19bn | 104.6515 | 104.7052 | 0.850% | +0.051% | +0.00044% |
| 912828EX4 | 4.500% | Feb 28, 2011 | $17.50bn | – | $2.38bn | $15.13bn | 104.3641 | 102.1062 | 0.844% | -0.008% | -0.00006% |
| 912828FN5 | 4.875% | Jul 31, 2011 | $16.83bn | – | $1.90bn | $14.93bn | 104.5265 | 104.5802 | 0.835% | +0.051% | +0.00043% |
| 912828EM8 | 4.500% | Nov 15, 2010 | $15.96bn | – | $2.20bn | $13.76bn | 102.1848 | 102.2079 | 0.752% | +0.023% | +0.00017% |
| 912828ES5 | 4.250% | Jan 15, 2011 | $13.00bn | – | $50.0m | $12.95bn | 102.0204 | 102.0543 | 0.706% | +0.033% | +0.00024% |
| 912828EJ5 | 4.250% | Oct 15, 2010 | $13.00bn | – | $580.0m | $12.42bn | 102.0782 | 102.0828 | 0.678% | +0.005% | +0.00003% |
| 912828EG1 | 3.875% | Sep 15, 2010 | $13.00bn | – | $833.0m | $12.17bn | 101.9117 | 101.9151 | 0.663% | +0.003% | +0.00002% |
| 912828EQ9 | 4.375% | Dec 15, 2010 | $13.00bn | – | $960.0m | $12.04bn | 102.1050 | 102.1199 | 0.657% | +0.015% | +0.00010% |
| Total | $1.86tn | 100.000% | +0.02530% | ||||||||
Prices are dirty, clean bid plus accrued, from Treasury's own end-of-day file. A security's return includes coupons received during the month, which are held as cash to the next reconstitution rather than reinvested intra-month. A dash in a deduction column means that security has none.