Rebalance of September 28, 2012
1-12 Month constituents
Every one of the 65 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
- 65
- Weights sum to
- 100.0000%
- Contributions sum to
- +0.008648%
- Market value
- $2.28tn
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 +0.008648% against a published month return of +0.008648%, a difference of 4.4e-8 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 9127955L1 | 0.000% | Nov 15, 2012 | $84.00bn | – | – | $84.00bn | 99.9810 | 99.9907 | 3.676% | +0.010% | +0.00036% |
| 9127955G2 | 0.000% | Oct 18, 2012 | $83.00bn | – | – | $83.00bn | 99.9893 | 99.9972 | 3.632% | +0.008% | +0.00029% |
| 9127956P1 | 0.000% | Nov 1, 2012 | $60.00bn | – | – | $60.00bn | 99.9862 | 99.9953 | 2.626% | +0.009% | +0.00024% |
| 9127956S5 | 0.000% | Nov 8, 2012 | $60.00bn | – | – | $60.00bn | 99.9827 | 99.9932 | 2.626% | +0.010% | +0.00027% |
| 9127956M8 | 0.000% | Oct 11, 2012 | $59.00bn | – | – | $59.00bn | 99.9909 | 99.9982 | 2.582% | +0.007% | +0.00019% |
| 9127956T3 | 0.000% | Nov 23, 2012 | $59.00bn | – | – | $59.00bn | 99.9767 | 99.9891 | 2.582% | +0.012% | +0.00032% |
| 9127956U0 | 0.000% | Nov 29, 2012 | $59.00bn | – | – | $59.00bn | 99.9750 | 99.9897 | 2.582% | +0.015% | +0.00038% |
| 9127956N6 | 0.000% | Oct 25, 2012 | $58.00bn | – | – | $58.00bn | 99.9878 | 99.9963 | 2.538% | +0.008% | +0.00022% |
| 9127955Z0 | 0.000% | Feb 7, 2013 | $54.00bn | – | – | $54.00bn | 99.9422 | 99.9633 | 2.362% | +0.021% | +0.00050% |
| 9127955Q0 | 0.000% | Dec 13, 2012 | $52.00bn | – | – | $52.00bn | 99.9711 | 99.9831 | 2.275% | +0.012% | +0.00027% |
| 9127955V9 | 0.000% | Jan 10, 2013 | $52.00bn | – | – | $52.00bn | 99.9633 | 99.9769 | 2.275% | +0.014% | +0.00031% |
| 912828LX6 | 1.375% | Nov 15, 2012 | $44.97bn | – | $0.3m | $44.97bn | 100.6685 | 100.6756 | 1.982% | +0.007% | +0.00014% |
| 912828MN7 | 1.375% | Feb 15, 2013 | $44.49bn | – | $1.85bn | $42.64bn | 100.6060 | 100.6131 | 1.878% | +0.007% | +0.00013% |
| 912828MX5 | 1.750% | Apr 15, 2013 | $42.93bn | – | $1.43bn | $41.50bn | 101.6477 | 101.6518 | 1.846% | +0.004% | +0.00007% |
| 912828NC0 | 1.375% | May 15, 2013 | $41.31bn | – | $0.8m | $41.31bn | 101.2622 | 101.2694 | 1.831% | +0.007% | +0.00013% |
| 912828MG2 | 1.375% | Jan 15, 2013 | $41.55bn | – | $0.1m | $41.55bn | 100.6281 | 100.6352 | 1.830% | +0.007% | +0.00013% |
| 912828MT4 | 1.375% | Mar 15, 2013 | $40.47bn | – | $0.2m | $40.47bn | 101.3026 | 100.6233 | 1.794% | +0.008% | +0.00014% |
| 912828MB3 | 1.125% | Dec 15, 2012 | $40.22bn | – | $0.1m | $40.22bn | 100.5302 | 100.5195 | 1.769% | -0.011% | -0.00019% |
| 912828LR9 | 1.375% | Oct 15, 2012 | $39.31bn | – | $0.0m | $39.31bn | 100.6897 | 100.6974 | 1.732% | +0.008% | +0.00013% |
| 912828QZ6 | 0.500% | May 31, 2013 | $37.95bn | – | $0.9m | $37.95bn | 100.3811 | 100.3868 | 1.667% | +0.006% | +0.00009% |
| 912828QE3 | 0.625% | Apr 30, 2013 | $37.21bn | – | $0.2m | $37.21bn | 100.5282 | 100.5428 | 1.637% | +0.015% | +0.00024% |
| 912828QK9 | 0.625% | Feb 28, 2013 | $36.92bn | – | $0.6m | $36.92bn | 100.2257 | 100.2723 | 1.620% | +0.047% | +0.00075% |
| 912828PW4 | 0.625% | Dec 31, 2012 | $36.75bn | – | $0.4m | $36.75bn | 100.2996 | 100.2829 | 1.613% | -0.017% | -0.00027% |
| 912828QL7 | 0.750% | Mar 31, 2013 | $36.57bn | – | $0.6m | $36.57bn | 100.6655 | 100.3146 | 1.611% | +0.024% | +0.00039% |
| 912828NH9 | 1.125% | Jun 15, 2013 | $36.21bn | – | $0.8m | $36.21bn | 100.9990 | 100.9882 | 1.601% | -0.011% | -0.00017% |
| 912828PV6 | 0.500% | Nov 30, 2012 | $36.38bn | – | $0.1m | $36.38bn | 100.2249 | 100.2305 | 1.596% | +0.006% | +0.00009% |
| 912828NU0 | 0.750% | Aug 15, 2013 | $36.04bn | – | $0.0m | $36.04bn | 100.5720 | 100.5958 | 1.586% | +0.024% | +0.00038% |
| 912828RA0 | 0.375% | Jun 30, 2013 | $36.13bn | – | $0.8m | $36.13bn | 100.2235 | 100.2198 | 1.585% | -0.004% | -0.00006% |
| 912828QW3 | 0.375% | Jul 31, 2013 | $36.04bn | – | $0.2m | $36.04bn | 100.2232 | 100.2194 | 1.581% | -0.004% | -0.00006% |
| 912828RD4 | 0.125% | Aug 31, 2013 | $36.07bn | – | $0.5m | $36.07bn | 99.9389 | 99.9795 | 1.578% | +0.041% | +0.00064% |
| 912828PR5 | 0.625% | Jan 31, 2013 | $35.70bn | – | $0.4m | $35.70bn | 100.2469 | 100.2615 | 1.566% | +0.015% | +0.00023% |
| 912828PD6 | 0.375% | Oct 31, 2012 | $35.72bn | – | $0.5m | $35.72bn | 100.1607 | 100.1569 | 1.566% | -0.004% | -0.00006% |
| 912828NN6 | 1.000% | Jul 15, 2013 | $35.01bn | – | $0.9m | $35.01bn | 100.8573 | 100.8370 | 1.545% | -0.020% | -0.00031% |
| 912828BH2 | 4.250% | Aug 15, 2013 | $33.52bn | – | $0.2m | $33.52bn | 104.0747 | 104.0740 | 1.527% | -0.001% | -0.00001% |
| 9127957D7 | 0.000% | Jan 31, 2013 | $28.00bn | – | – | $28.00bn | 99.9490 | 99.9653 | 1.225% | +0.016% | +0.00020% |
| 9127957G0 | 0.000% | Feb 21, 2013 | $28.00bn | – | – | $28.00bn | 99.9420 | 99.9513 | 1.225% | +0.009% | +0.00011% |
| 9127957F2 | 0.000% | Feb 14, 2013 | $28.00bn | – | – | $28.00bn | 99.9397 | 99.9614 | 1.225% | +0.022% | +0.00027% |
| 9127957H8 | 0.000% | Feb 28, 2013 | $28.00bn | – | – | $28.00bn | 99.9346 | 99.9447 | 1.225% | +0.010% | +0.00012% |
| 9127956V8 | 0.000% | Dec 6, 2012 | $27.00bn | – | – | $27.00bn | 99.9731 | 99.9847 | 1.181% | +0.012% | +0.00014% |
| 9127956X4 | 0.000% | Dec 20, 2012 | $27.00bn | – | – | $27.00bn | 99.9692 | 99.9816 | 1.181% | +0.012% | +0.00015% |
| 9127956Z9 | 0.000% | Jan 3, 2013 | $27.00bn | – | – | $27.00bn | 99.9653 | 99.9784 | 1.181% | +0.013% | +0.00016% |
| 9127956Y2 | 0.000% | Dec 27, 2012 | $27.00bn | – | – | $27.00bn | 99.9639 | 99.9775 | 1.181% | +0.014% | +0.00016% |
| 9127957B1 | 0.000% | Jan 17, 2013 | $27.00bn | – | – | $27.00bn | 99.9614 | 99.9753 | 1.181% | +0.014% | +0.00016% |
| 9127957C9 | 0.000% | Jan 24, 2013 | $27.00bn | – | – | $27.00bn | 99.9554 | 99.9738 | 1.181% | +0.018% | +0.00022% |
| 9127956E6 | 0.000% | Mar 7, 2013 | $26.00bn | – | – | $26.00bn | 99.9321 | 99.9422 | 1.137% | +0.010% | +0.00012% |
| 9127956F3 | 0.000% | Apr 4, 2013 | $26.00bn | – | – | $26.00bn | 99.9220 | 99.9269 | 1.137% | +0.005% | +0.00006% |
| 9127956L0 | 0.000% | May 2, 2013 | $26.00bn | – | – | $26.00bn | 99.9051 | 99.9100 | 1.137% | +0.005% | +0.00006% |
| 9127956R7 | 0.000% | May 30, 2013 | $25.00bn | – | – | $25.00bn | 99.8867 | 99.8983 | 1.093% | +0.012% | +0.00013% |
| 9127956W6 | 0.000% | Jun 27, 2013 | $25.00bn | – | – | $25.00bn | 99.8833 | 99.8867 | 1.093% | +0.003% | +0.00004% |
| 9127957A3 | 0.000% | Jul 25, 2013 | $25.00bn | – | – | $25.00bn | 99.8542 | 99.8750 | 1.093% | +0.021% | +0.00023% |
| 9127957E5 | 0.000% | Aug 22, 2013 | $25.00bn | – | – | $25.00bn | 99.8418 | 99.8633 | 1.092% | +0.022% | +0.00024% |
| 912828JK7 | 3.125% | Aug 31, 2013 | $23.83bn | – | $0.8m | $23.83bn | 102.9408 | 102.9551 | 1.074% | +0.014% | +0.00015% |
| 912828JG6 | 3.375% | Jul 31, 2013 | $23.31bn | – | $9.4m | $23.30bn | 103.1960 | 103.1936 | 1.053% | -0.002% | -0.00002% |
| 912828JD3 | 3.375% | Jun 30, 2013 | $22.14bn | – | $0.3m | $22.14bn | 103.2303 | 103.2279 | 1.000% | -0.002% | -0.00002% |
| 912828HY9 | 3.125% | Apr 30, 2013 | $20.74bn | – | $2.8m | $20.74bn | 103.0160 | 103.0265 | 0.935% | +0.010% | +0.00010% |
| 912828JB7 | 3.500% | May 31, 2013 | $20.52bn | – | $0.5m | $20.52bn | 103.3555 | 103.3637 | 0.928% | +0.008% | +0.00007% |
| 912828HV5 | 2.500% | Mar 31, 2013 | $20.57bn | – | $805.0m | $19.76bn | 102.4162 | 101.1631 | 0.886% | -0.003% | -0.00003% |
| 912828AU4 | 3.875% | Feb 15, 2013 | $19.50bn | – | $6.5m | $19.49bn | 101.8668 | 101.8699 | 0.869% | +0.003% | +0.00003% |
| 912828BA7 | 3.625% | May 15, 2013 | $18.25bn | – | $0.7m | $18.25bn | 103.5095 | 103.4942 | 0.827% | -0.015% | -0.00012% |
| 912828AP5 | 4.000% | Nov 15, 2012 | $18.11bn | – | $0.9m | $18.11bn | 101.9674 | 101.9796 | 0.808% | +0.012% | +0.00010% |
| 912828HT0 | 2.750% | Feb 28, 2013 | $17.78bn | – | $214.7m | $17.57bn | 101.3116 | 101.2980 | 0.779% | -0.013% | -0.00010% |
| 912828HK9 | 3.375% | Nov 30, 2012 | $15.95bn | – | $100.2m | $15.85bn | 101.6665 | 101.6655 | 0.705% | -0.001% | -0.00001% |
| 912828HQ6 | 2.875% | Jan 31, 2013 | $15.70bn | – | $1.0m | $15.70bn | 101.3984 | 101.3906 | 0.697% | -0.008% | -0.00005% |
| 912828HG8 | 3.875% | Oct 31, 2012 | $15.51bn | – | $0.9m | $15.51bn | 101.8998 | 101.9341 | 0.692% | +0.034% | +0.00023% |
| 912828HM5 | 3.625% | Dec 31, 2012 | $15.66bn | – | $381.4m | $15.28bn | 101.7751 | 101.7599 | 0.680% | -0.015% | -0.00010% |
| Total | $2.27tn | 100.000% | +0.00865% | ||||||||
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.