Rebalance of July 31, 2014
1-12 Month constituents
Every one of the 66 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
- 66
- Weights sum to
- 100.0000%
- Contributions sum to
- -0.000443%
- Market value
- $2.36tn
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 -0.000443% against a published month return of -0.000443%, a difference of 1.8e-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 |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 912796BX6 | 0.000% | Aug 21, 2014 | $80.00bn | – | – | $80.00bn | 99.9957 | 99.9994 | 3.393% | +0.004% | +0.00013% |
| 912796CB3 | 0.000% | Sep 18, 2014 | $70.00bn | – | – | $70.00bn | 99.9956 | 99.9973 | 2.969% | +0.002% | +0.00005% |
| 912796DQ9 | 0.000% | Aug 14, 2014 | $67.00bn | – | – | $67.00bn | 99.9975 | 99.9996 | 2.841% | +0.002% | +0.00006% |
| 912796DR7 | 0.000% | Aug 28, 2014 | $50.00bn | – | – | $50.00bn | 99.9967 | 99.9992 | 2.121% | +0.003% | +0.00005% |
| 912796DS5 | 0.000% | Sep 4, 2014 | $50.00bn | – | – | $50.00bn | 99.9963 | 99.9981 | 2.121% | +0.002% | +0.00004% |
| 912796DV8 | 0.000% | Sep 11, 2014 | $48.00bn | – | – | $48.00bn | 99.9959 | 99.9977 | 2.036% | +0.002% | +0.00004% |
| 912796DW6 | 0.000% | Sep 25, 2014 | $48.00bn | – | – | $48.00bn | 99.9928 | 99.9969 | 2.036% | +0.004% | +0.00008% |
| 912796CL1 | 0.000% | Nov 13, 2014 | $48.00bn | – | – | $48.00bn | 99.9811 | 99.9883 | 2.035% | +0.007% | +0.00015% |
| 912796DB2 | 0.000% | Dec 11, 2014 | $48.00bn | – | – | $48.00bn | 99.9772 | 99.9815 | 2.035% | +0.004% | +0.00009% |
| 912796DL0 | 0.000% | Aug 7, 2014 | $45.00bn | – | – | $45.00bn | 99.9979 | 100.0000 | 1.908% | +0.002% | +0.00004% |
| 912796CF4 | 0.000% | Oct 16, 2014 | $45.00bn | – | – | $45.00bn | 99.9880 | 99.9957 | 1.908% | +0.008% | +0.00015% |
| 912828MW7 | 2.500% | Mar 31, 2015 | $43.42bn | – | $0.7m | $43.42bn | 102.4409 | 102.4339 | 1.886% | -0.007% | -0.00013% |
| 912828MR8 | 2.375% | Feb 28, 2015 | $43.03bn | – | $0.2m | $43.03bn | 102.3251 | 102.3064 | 1.867% | -0.018% | -0.00034% |
| 912828ME7 | 2.625% | Dec 31, 2014 | $43.24bn | – | $0.8m | $43.24bn | 101.2884 | 101.2908 | 1.858% | +0.002% | +0.00004% |
| 912828LZ1 | 2.125% | Nov 30, 2014 | $43.26bn | – | $0.2m | $43.26bn | 101.0237 | 101.0162 | 1.854% | -0.007% | -0.00014% |
| 912828MH0 | 2.250% | Jan 31, 2015 | $42.68bn | – | $0.4m | $42.68bn | 102.2198 | 101.0686 | 1.850% | -0.026% | -0.00047% |
| 912828MZ0 | 2.500% | Apr 30, 2015 | $42.90bn | – | $449.9m | $42.45bn | 102.4212 | 102.4130 | 1.844% | -0.008% | -0.00015% |
| 912828LS7 | 2.375% | Oct 31, 2014 | $42.01bn | – | $0.8m | $42.01bn | 101.1814 | 101.1627 | 1.803% | -0.018% | -0.00033% |
| 912828NF3 | 2.125% | May 31, 2015 | $40.87bn | – | $0.2m | $40.87bn | 101.9925 | 102.0162 | 1.768% | +0.023% | +0.00041% |
| 912828LQ1 | 2.375% | Sep 30, 2014 | $40.71bn | – | $0.5m | $40.71bn | 101.1595 | 101.1732 | 1.746% | +0.014% | +0.00024% |
| 912828LK4 | 2.375% | Aug 31, 2014 | $40.17bn | – | $4.7m | $40.17bn | 101.1688 | 101.1501 | 1.723% | -0.018% | -0.00032% |
| 912828NL0 | 1.875% | Jun 30, 2015 | $39.10bn | – | $0.7m | $39.10bn | 101.7551 | 101.7568 | 1.687% | +0.002% | +0.00003% |
| 912828SP6 | 0.375% | Apr 15, 2015 | $37.82bn | – | $0.7m | $37.82bn | 100.2976 | 100.3294 | 1.609% | +0.032% | +0.00051% |
| 912828SE1 | 0.250% | Feb 15, 2015 | $35.90bn | – | $0.8m | $35.90bn | 100.2189 | 100.2091 | 1.526% | -0.010% | -0.00015% |
| 912828DM9 | 4.000% | Feb 15, 2015 | $34.21bn | – | $0.9m | $34.21bn | 103.9715 | 103.9391 | 1.509% | -0.031% | -0.00047% |
| 912828VH0 | 0.375% | Jun 30, 2015 | $35.00bn | – | – | $35.00bn | 100.2510 | 100.2514 | 1.488% | +0.000% | +0.00001% |
| 912828UK4 | 0.250% | Jan 31, 2015 | $35.00bn | – | – | $35.00bn | 100.2293 | 100.0632 | 1.488% | -0.041% | -0.00061% |
| 912828UP3 | 0.250% | Feb 28, 2015 | $35.00bn | – | – | $35.00bn | 100.2086 | 100.1984 | 1.487% | -0.010% | -0.00015% |
| 912828UT5 | 0.250% | Mar 31, 2015 | $35.00bn | – | – | $35.00bn | 100.1878 | 100.1778 | 1.487% | -0.010% | -0.00015% |
| 912828VD9 | 0.250% | May 31, 2015 | $35.00bn | – | – | $35.00bn | 100.1462 | 100.1673 | 1.487% | +0.021% | +0.00031% |
| 912828TL4 | 0.250% | Aug 31, 2014 | $35.00bn | – | – | $35.00bn | 100.1148 | 100.1046 | 1.486% | -0.010% | -0.00015% |
| 912828TU4 | 0.250% | Oct 31, 2014 | $35.00bn | – | – | $35.00bn | 100.1046 | 100.0944 | 1.486% | -0.010% | -0.00015% |
| 912828TQ3 | 0.250% | Sep 30, 2014 | $35.00bn | – | – | $35.00bn | 100.0941 | 100.1153 | 1.486% | +0.021% | +0.00031% |
| 912828UY4 | 0.125% | Apr 30, 2015 | $35.00bn | – | – | $35.00bn | 100.0523 | 100.0628 | 1.485% | +0.011% | +0.00016% |
| 912828TZ3 | 0.250% | Nov 30, 2014 | $35.00bn | – | – | $35.00bn | 100.0524 | 100.0736 | 1.485% | +0.021% | +0.00031% |
| 912828UD0 | 0.125% | Dec 31, 2014 | $35.00bn | – | – | $35.00bn | 100.0316 | 100.0109 | 1.485% | -0.021% | -0.00031% |
| 912828RQ5 | 0.375% | Nov 15, 2014 | $34.45bn | – | $0.5m | $34.45bn | 100.1416 | 100.1420 | 1.463% | +0.000% | +0.00000% |
| 912828DV9 | 4.125% | May 15, 2015 | $34.47bn | – | $1.45bn | $33.02bn | 104.0268 | 104.0306 | 1.457% | +0.004% | +0.00005% |
| 912828SZ4 | 0.375% | Jun 15, 2015 | $34.26bn | – | $0.4m | $34.26bn | 100.2664 | 100.2669 | 1.457% | +0.001% | +0.00001% |
| 912828RZ5 | 0.250% | Jan 15, 2015 | $34.27bn | – | $0.1m | $34.27bn | 100.2091 | 100.0740 | 1.456% | -0.010% | -0.00015% |
| 912828SK7 | 0.375% | Mar 15, 2015 | $34.22bn | – | $0.9m | $34.22bn | 100.2976 | 100.2979 | 1.456% | +0.000% | +0.00000% |
| 912828SU5 | 0.250% | May 15, 2015 | $34.00bn | – | $0.9m | $34.00bn | 100.1569 | 100.1467 | 1.444% | -0.010% | -0.00015% |
| 912828RV4 | 0.250% | Dec 15, 2014 | $33.17bn | – | $0.1m | $33.17bn | 100.1047 | 100.0946 | 1.408% | -0.010% | -0.00014% |
| 912828RB8 | 0.500% | Aug 15, 2014 | $32.98bn | – | $0.9m | $32.98bn | 100.2503 | 100.2307 | 1.402% | -0.020% | -0.00028% |
| 912828RL6 | 0.500% | Oct 15, 2014 | $32.00bn | – | – | $32.00bn | 100.2302 | 100.2413 | 1.360% | +0.011% | +0.00015% |
| 912828RG7 | 0.250% | Sep 15, 2014 | $32.00bn | – | – | $32.00bn | 100.1046 | 100.0944 | 1.359% | -0.010% | -0.00014% |
| 912828DC1 | 4.250% | Nov 15, 2014 | $25.47bn | – | $87.6m | $25.38bn | 102.1053 | 102.0883 | 1.099% | -0.017% | -0.00018% |
| 912828CT5 | 4.250% | Aug 15, 2014 | $24.72bn | – | $0.8m | $24.72bn | 102.1279 | 102.1169 | 1.071% | -0.011% | -0.00012% |
| 912796DP1 | 0.000% | Mar 5, 2015 | $25.00bn | – | – | $25.00bn | 99.9587 | 99.9638 | 1.060% | +0.005% | +0.00005% |
| 912796DU0 | 0.000% | Apr 2, 2015 | $25.00bn | – | – | $25.00bn | 99.9540 | 99.9592 | 1.060% | +0.005% | +0.00005% |
| 912796DY2 | 0.000% | Apr 30, 2015 | $25.00bn | – | – | $25.00bn | 99.9409 | 99.9469 | 1.060% | +0.006% | +0.00006% |
| 912796EC9 | 0.000% | May 28, 2015 | $25.00bn | – | – | $25.00bn | 99.9078 | 99.9248 | 1.059% | +0.017% | +0.00018% |
| 912796EJ4 | 0.000% | Jun 25, 2015 | $25.00bn | – | – | $25.00bn | 99.8900 | 99.9086 | 1.059% | +0.019% | +0.00020% |
| 912796DZ9 | 0.000% | Oct 9, 2014 | $23.00bn | – | – | $23.00bn | 99.9916 | 99.9961 | 0.975% | +0.005% | +0.00004% |
| 912796EB1 | 0.000% | Oct 30, 2014 | $23.00bn | – | – | $23.00bn | 99.9898 | 99.9924 | 0.975% | +0.003% | +0.00003% |
| 912796EA3 | 0.000% | Oct 23, 2014 | $23.00bn | – | – | $23.00bn | 99.9904 | 99.9930 | 0.975% | +0.003% | +0.00003% |
| 912796DX4 | 0.000% | Oct 2, 2014 | $23.00bn | – | – | $23.00bn | 99.9922 | 99.9965 | 0.975% | +0.004% | +0.00004% |
| 912796EE5 | 0.000% | Nov 20, 2014 | $23.00bn | – | – | $23.00bn | 99.9801 | 99.9876 | 0.975% | +0.007% | +0.00007% |
| 912796ED7 | 0.000% | Nov 6, 2014 | $23.00bn | – | – | $23.00bn | 99.9821 | 99.9946 | 0.975% | +0.012% | +0.00012% |
| 912796EF2 | 0.000% | Nov 28, 2014 | $23.00bn | – | – | $23.00bn | 99.9790 | 99.9867 | 0.975% | +0.008% | +0.00007% |
| 912796EG0 | 0.000% | Dec 4, 2014 | $23.00bn | – | – | $23.00bn | 99.9782 | 99.9860 | 0.975% | +0.008% | +0.00008% |
| 912796EK1 | 0.000% | Dec 18, 2014 | $23.00bn | – | – | $23.00bn | 99.9762 | 99.9844 | 0.975% | +0.008% | +0.00008% |
| 912796DF3 | 0.000% | Jan 8, 2015 | $23.00bn | – | – | $23.00bn | 99.9733 | 99.9776 | 0.975% | +0.004% | +0.00004% |
| 912796EL9 | 0.000% | Dec 26, 2014 | $23.00bn | – | – | $23.00bn | 99.9652 | 99.9794 | 0.975% | +0.014% | +0.00014% |
| 912796DG1 | 0.000% | Feb 5, 2015 | $18.00bn | – | – | $18.00bn | 99.9694 | 99.9737 | 0.763% | +0.004% | +0.00003% |
| 912810DP0 | 11.250% | Feb 15, 2015 | $12.67bn | $2.15bn | $0.7m | $10.52bn | 111.1640 | 111.1587 | 0.496% | -0.005% | -0.00002% |
| Total | $2.34tn | 100.000% | -0.00044% | ||||||||
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.