Rebalance of July 31, 2015
1-12 Month constituents
Every one of the 74 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
- 74
- Weights sum to
- 100.0000%
- Contributions sum to
- -0.006118%
- Market value
- $2.25tn
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 -0.006118% against a published month return of -0.006118%, a difference of 3.5e-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 |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 912796ET2 | 0.000% | Aug 20, 2015 | $75.00bn | – | – | $75.00bn | 99.9986 | 99.9989 | 3.337% | +0.000% | +0.00001% |
| 912796EX3 | 0.000% | Sep 17, 2015 | $75.00bn | – | – | $75.00bn | 99.9978 | 99.9947 | 3.336% | -0.003% | -0.00010% |
| 912796GB9 | 0.000% | Aug 27, 2015 | $50.00bn | – | – | $50.00bn | 100.0000 | 99.9985 | 2.224% | -0.002% | -0.00003% |
| 912796FY0 | 0.000% | Aug 6, 2015 | $50.00bn | – | – | $50.00bn | 100.0000 | 99.9997 | 2.224% | -0.000% | -0.00001% |
| 912796GE3 | 0.000% | Sep 10, 2015 | $50.00bn | – | – | $50.00bn | 100.0000 | 99.9954 | 2.224% | -0.005% | -0.00010% |
| 912796GC7 | 0.000% | Sep 3, 2015 | $50.00bn | – | – | $50.00bn | 100.0000 | 99.9972 | 2.224% | -0.003% | -0.00006% |
| 912796GA1 | 0.000% | Aug 13, 2015 | $50.00bn | – | – | $50.00bn | 100.0000 | 99.9989 | 2.224% | -0.001% | -0.00002% |
| 912796FB0 | 0.000% | Oct 15, 2015 | $49.00bn | – | – | $49.00bn | 99.9941 | 99.9916 | 2.180% | -0.003% | -0.00005% |
| 912796FG9 | 0.000% | Nov 12, 2015 | $49.00bn | – | – | $49.00bn | 99.9850 | 99.9798 | 2.180% | -0.005% | -0.00011% |
| 912796FN4 | 0.000% | Dec 10, 2015 | $49.00bn | – | – | $49.00bn | 99.9819 | 99.9743 | 2.179% | -0.008% | -0.00016% |
| 912796GF0 | 0.000% | Sep 24, 2015 | $48.00bn | – | – | $48.00bn | 99.9976 | 99.9939 | 2.135% | -0.004% | -0.00008% |
| 912828PM6 | 2.125% | Dec 31, 2015 | $36.75bn | – | $0.4m | $36.75bn | 100.9745 | 100.9463 | 1.651% | -0.028% | -0.00046% |
| 912828NV8 | 1.250% | Aug 31, 2015 | $36.88bn | – | $0.4m | $36.88bn | 100.6053 | 100.6236 | 1.651% | +0.018% | +0.00030% |
| 912828PJ3 | 1.375% | Nov 30, 2015 | $36.38bn | – | $0.1m | $36.38bn | 100.6477 | 100.6154 | 1.629% | -0.032% | -0.00052% |
| 912828NZ9 | 1.250% | Sep 30, 2015 | $36.10bn | – | $0.7m | $36.10bn | 100.6267 | 100.5832 | 1.616% | -0.043% | -0.00070% |
| 912828PE4 | 1.250% | Oct 31, 2015 | $35.72bn | – | $0.5m | $35.72bn | 100.6168 | 100.5727 | 1.599% | -0.044% | -0.00070% |
| 912828PS3 | 2.000% | Jan 31, 2016 | $35.70bn | – | $1.91bn | $33.79bn | 101.8968 | 100.8913 | 1.532% | -0.005% | -0.00008% |
| 912828VU1 | 0.375% | Aug 31, 2015 | $34.00bn | – | – | $34.00bn | 100.1878 | 100.1590 | 1.515% | -0.029% | -0.00044% |
| 912828VY3 | 0.250% | Sep 30, 2015 | $33.00bn | – | – | $33.00bn | 100.0941 | 100.0854 | 1.469% | -0.009% | -0.00013% |
| 912828QR4 | 1.500% | Jun 30, 2016 | $36.13bn | – | $3.86bn | $32.27bn | 101.1603 | 101.2323 | 1.452% | +0.071% | +0.00103% |
| 912828UG3 | 0.375% | Jan 15, 2016 | $32.00bn | – | – | $32.00bn | 100.3292 | 100.0819 | 1.428% | -0.060% | -0.00085% |
| 912828B41 | 0.375% | Jan 31, 2016 | $32.00bn | – | – | $32.00bn | 100.2814 | 100.0656 | 1.428% | -0.028% | -0.00040% |
| 912828UM0 | 0.375% | Feb 15, 2016 | $32.00bn | – | – | $32.00bn | 100.2659 | 100.2376 | 1.427% | -0.028% | -0.00040% |
| 912828VG2 | 0.500% | Jun 15, 2016 | $32.00bn | – | – | $32.00bn | 100.2406 | 100.2544 | 1.427% | +0.014% | +0.00020% |
| 912828US7 | 0.375% | Mar 15, 2016 | $32.00bn | – | – | $32.00bn | 100.2351 | 100.2062 | 1.427% | -0.029% | -0.00041% |
| 912828EE6 | 4.250% | Aug 15, 2015 | $32.47bn | – | $1.07bn | $31.40bn | 102.0967 | 102.0779 | 1.426% | -0.018% | -0.00026% |
| 912828C40 | 0.375% | Mar 31, 2016 | $32.00bn | – | – | $32.00bn | 100.1880 | 100.1906 | 1.426% | +0.003% | +0.00004% |
| 912828C81 | 0.375% | Apr 30, 2016 | $32.00bn | – | – | $32.00bn | 100.1569 | 100.1593 | 1.426% | +0.002% | +0.00003% |
| 912828TX8 | 0.375% | Nov 15, 2015 | $32.00bn | – | – | $32.00bn | 100.1416 | 100.1128 | 1.426% | -0.029% | -0.00041% |
| 912828TP5 | 0.250% | Sep 15, 2015 | $32.00bn | – | – | $32.00bn | 100.1257 | 100.0958 | 1.425% | -0.030% | -0.00043% |
| 912828TK6 | 0.250% | Aug 15, 2015 | $32.00bn | – | – | $32.00bn | 100.1252 | 100.0855 | 1.425% | -0.040% | -0.00057% |
| 912828TT7 | 0.250% | Oct 15, 2015 | $32.00bn | – | – | $32.00bn | 100.1151 | 100.1064 | 1.425% | -0.009% | -0.00012% |
| 912828WB2 | 0.250% | Oct 31, 2015 | $32.00bn | – | – | $32.00bn | 100.1046 | 100.0645 | 1.425% | -0.040% | -0.00057% |
| 912828A26 | 0.250% | Nov 30, 2015 | $32.00bn | – | – | $32.00bn | 100.0837 | 100.0437 | 1.425% | -0.040% | -0.00057% |
| 912828B82 | 0.250% | Feb 29, 2016 | $32.09bn | $22.0m | $89.9m | $31.98bn | 100.1461 | 100.1060 | 1.425% | -0.040% | -0.00057% |
| 912828UC2 | 0.250% | Dec 15, 2015 | $32.00bn | – | – | $32.00bn | 100.0734 | 100.0647 | 1.425% | -0.009% | -0.00012% |
| 912828A67 | 0.250% | Dec 31, 2015 | $32.00bn | – | – | $32.00bn | 100.0632 | 100.0231 | 1.424% | -0.040% | -0.00057% |
| 912828UW8 | 0.250% | Apr 15, 2016 | $32.00bn | – | – | $32.00bn | 100.0213 | 100.0126 | 1.424% | -0.009% | -0.00012% |
| 912828VC1 | 0.250% | May 15, 2016 | $32.00bn | – | – | $32.00bn | 100.0007 | 100.0231 | 1.424% | +0.022% | +0.00032% |
| 912828WM8 | 0.375% | May 31, 2016 | $31.01bn | – | $11.9m | $31.00bn | 100.0943 | 100.1281 | 1.380% | +0.034% | +0.00047% |
| 912828WQ9 | 0.500% | Jun 30, 2016 | $30.00bn | – | – | $30.00bn | 100.1889 | 100.2024 | 1.337% | +0.014% | +0.00018% |
| 912796FP9 | 0.000% | Jan 7, 2016 | $25.00bn | – | – | $25.00bn | 99.9629 | 99.9556 | 1.112% | -0.007% | -0.00008% |
| 912796FV6 | 0.000% | Feb 4, 2016 | $25.00bn | – | – | $25.00bn | 99.9453 | 99.9164 | 1.112% | -0.029% | -0.00032% |
| 912796FZ7 | 0.000% | Mar 3, 2016 | $25.00bn | – | – | $25.00bn | 99.8971 | 99.8920 | 1.111% | -0.005% | -0.00006% |
| 912796GD5 | 0.000% | Mar 31, 2016 | $25.00bn | – | – | $25.00bn | 99.8625 | 99.8780 | 1.111% | +0.016% | +0.00017% |
| 912796GH6 | 0.000% | Apr 28, 2016 | $25.00bn | – | – | $25.00bn | 99.8401 | 99.8489 | 1.110% | +0.009% | +0.00010% |
| 912796GN3 | 0.000% | May 26, 2016 | $25.00bn | – | – | $25.00bn | 99.7977 | 99.8000 | 1.110% | +0.002% | +0.00003% |
| 912796GS2 | 0.000% | Jun 23, 2016 | $25.00bn | – | – | $25.00bn | 99.7407 | 99.7449 | 1.109% | +0.004% | +0.00005% |
| 912796GL7 | 0.000% | Oct 29, 2015 | $24.00bn | – | – | $24.00bn | 99.9966 | 99.9850 | 1.068% | -0.012% | -0.00012% |
| 912796GK9 | 0.000% | Oct 22, 2015 | $24.00bn | – | – | $24.00bn | 99.9968 | 99.9862 | 1.068% | -0.011% | -0.00011% |
| 912796GJ2 | 0.000% | Oct 8, 2015 | $24.00bn | – | – | $24.00bn | 99.9972 | 99.9923 | 1.068% | -0.005% | -0.00005% |
| 912796GG8 | 0.000% | Oct 1, 2015 | $24.00bn | – | – | $24.00bn | 99.9948 | 99.9931 | 1.068% | -0.002% | -0.00002% |
| 912796GM5 | 0.000% | Nov 5, 2015 | $24.00bn | – | – | $24.00bn | 99.9929 | 99.9838 | 1.068% | -0.009% | -0.00010% |
| 912796GP8 | 0.000% | Nov 19, 2015 | $24.00bn | – | – | $24.00bn | 99.9882 | 99.9815 | 1.068% | -0.007% | -0.00007% |
| 912796GR4 | 0.000% | Dec 3, 2015 | $24.00bn | – | – | $24.00bn | 99.9827 | 99.9757 | 1.068% | -0.007% | -0.00007% |
| 912796GQ6 | 0.000% | Nov 27, 2015 | $24.00bn | – | – | $24.00bn | 99.9833 | 99.9802 | 1.068% | -0.003% | -0.00003% |
| 912796GT0 | 0.000% | Dec 17, 2015 | $24.00bn | – | – | $24.00bn | 99.9717 | 99.9652 | 1.067% | -0.006% | -0.00007% |
| 912796GU7 | 0.000% | Dec 24, 2015 | $24.00bn | – | – | $24.00bn | 99.9607 | 99.9554 | 1.067% | -0.005% | -0.00006% |
| 912828QF0 | 2.000% | Apr 30, 2016 | $37.21bn | – | $13.80bn | $23.41bn | 101.7432 | 101.7976 | 1.060% | +0.053% | +0.00057% |
| 912828EN6 | 4.500% | Nov 15, 2015 | $23.22bn | – | $0.6m | $23.22bn | 102.1997 | 102.1970 | 1.056% | -0.003% | -0.00003% |
| 912828QP8 | 1.750% | May 31, 2016 | $37.95bn | – | $14.67bn | $23.28bn | 101.4607 | 101.4935 | 1.051% | +0.032% | +0.00034% |
| 912828QA1 | 2.250% | Mar 31, 2016 | $36.57bn | – | $14.55bn | $22.02bn | 102.0343 | 102.0497 | 0.999% | +0.015% | +0.00015% |
| 912828EW6 | 4.500% | Feb 15, 2016 | $21.84bn | – | $2.46bn | $19.38bn | 104.3469 | 104.3508 | 0.900% | +0.004% | +0.00003% |
| 912828KZ2 | 3.250% | Jun 30, 2016 | $27.78bn | – | $9.71bn | $18.07bn | 102.9151 | 102.9565 | 0.827% | +0.040% | +0.00033% |
| 912828KW9 | 3.250% | May 31, 2016 | $26.90bn | – | $10.57bn | $16.33bn | 102.9628 | 102.9746 | 0.748% | +0.011% | +0.00009% |
| 912828KT6 | 2.375% | Mar 31, 2016 | $25.14bn | – | $9.04bn | $16.10bn | 102.1907 | 102.1861 | 0.732% | -0.005% | -0.00003% |
| 912828QJ2 | 2.125% | Feb 29, 2016 | $36.92bn | – | $21.17bn | $15.75bn | 101.9915 | 101.9946 | 0.715% | +0.003% | +0.00002% |
| 912828FF2 | 5.125% | May 15, 2016 | $23.29bn | – | $8.40bn | $14.90bn | 104.8421 | 104.8954 | 0.695% | +0.051% | +0.00035% |
| 912810DW5 | 7.250% | May 15, 2016 | $18.82bn | – | $5.62bn | $13.20bn | 106.8947 | 106.9823 | 0.628% | +0.082% | +0.00051% |
| 912828KR0 | 2.625% | Apr 30, 2016 | $26.90bn | – | $13.58bn | $13.33bn | 102.3798 | 102.3964 | 0.607% | +0.016% | +0.00010% |
| 912828KS8 | 2.625% | Feb 29, 2016 | $23.18bn | – | $10.58bn | $12.60bn | 102.5024 | 102.4878 | 0.574% | -0.014% | -0.00008% |
| 912810DT2 | 9.875% | Nov 15, 2015 | $6.89bn | $1.31bn | $325.5m | $5.25bn | 104.8550 | 104.8342 | 0.245% | -0.020% | -0.00005% |
| 912810DS4 | 10.625% | Aug 15, 2015 | $7.15bn | $3.13bn | $217.4m | $3.81bn | 105.2730 | 105.2415 | 0.178% | -0.030% | -0.00005% |
| 912810DV7 | 9.250% | Feb 15, 2016 | $7.25bn | $1.84bn | $2.41bn | $3.01bn | 109.0376 | 109.0684 | 0.146% | +0.028% | +0.00004% |
| Total | $2.24tn | 100.000% | -0.00612% | ||||||||
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.