Rebalance of October 30, 2015
1-12 Month constituents
Every one of the 76 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
- 76
- Weights sum to
- 100.0000%
- Contributions sum to
- -0.009297%
- Market value
- $2.24tn
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 -0.009297% against a published month return of -0.009297%, a difference of 5.4e-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 |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 912796FG9 | 0.000% | Nov 12, 2015 | $73.00bn | – | – | $73.00bn | 100.0000 | 99.9996 | 3.258% | -0.000% | -0.00001% |
| 912796FN4 | 0.000% | Dec 10, 2015 | $71.00bn | – | – | $71.00bn | 100.0000 | 99.9966 | 3.169% | -0.003% | -0.00011% |
| 912796FP9 | 0.000% | Jan 7, 2016 | $49.00bn | – | – | $49.00bn | 100.0000 | 99.9885 | 2.187% | -0.011% | -0.00025% |
| 912796FV6 | 0.000% | Feb 4, 2016 | $49.00bn | – | – | $49.00bn | 99.9965 | 99.9758 | 2.187% | -0.021% | -0.00045% |
| 912796FZ7 | 0.000% | Mar 3, 2016 | $49.00bn | – | – | $49.00bn | 99.9914 | 99.9722 | 2.187% | -0.019% | -0.00042% |
| 912796GR4 | 0.000% | Dec 3, 2015 | $48.00bn | – | – | $48.00bn | 100.0000 | 99.9972 | 2.142% | -0.003% | -0.00006% |
| 912796GM5 | 0.000% | Nov 5, 2015 | $48.00bn | – | – | $48.00bn | 100.0000 | 99.9998 | 2.142% | -0.000% | -0.00000% |
| 912796GQ6 | 0.000% | Nov 27, 2015 | $48.00bn | – | – | $48.00bn | 100.0000 | 99.9992 | 2.142% | -0.001% | -0.00002% |
| 912796GP8 | 0.000% | Nov 19, 2015 | $48.00bn | – | – | $48.00bn | 100.0000 | 99.9994 | 2.142% | -0.001% | -0.00001% |
| 912796GT0 | 0.000% | Dec 17, 2015 | $44.00bn | – | – | $44.00bn | 100.0000 | 99.9960 | 1.964% | -0.004% | -0.00008% |
| 912796GU7 | 0.000% | Dec 24, 2015 | $44.00bn | – | – | $44.00bn | 100.0000 | 99.9924 | 1.964% | -0.008% | -0.00015% |
| 912828PM6 | 2.125% | Dec 31, 2015 | $36.75bn | – | $0.4m | $36.75bn | 101.0370 | 101.0343 | 1.657% | -0.003% | -0.00004% |
| 912828PJ3 | 1.375% | Nov 30, 2015 | $36.38bn | – | $0.1m | $36.38bn | 100.6808 | 100.6761 | 1.635% | -0.005% | -0.00008% |
| 912828QX1 | 1.500% | Jul 31, 2016 | $36.04bn | – | $1.04bn | $35.00bn | 101.2215 | 101.2269 | 1.581% | +0.005% | +0.00008% |
| 912828RF9 | 1.000% | Aug 31, 2016 | $36.07bn | – | $1.07bn | $35.00bn | 100.6477 | 100.6418 | 1.572% | -0.006% | -0.00009% |
| 912828RJ1 | 1.000% | Sep 30, 2016 | $36.09bn | – | $1.09bn | $35.00bn | 100.6277 | 100.6214 | 1.572% | -0.006% | -0.00010% |
| 912828PS3 | 2.000% | Jan 31, 2016 | $35.70bn | – | $1.91bn | $33.79bn | 100.9620 | 100.9796 | 1.523% | +0.017% | +0.00027% |
| 912828QR4 | 1.500% | Jun 30, 2016 | $36.13bn | – | $3.86bn | $32.27bn | 101.3166 | 101.2595 | 1.459% | -0.056% | -0.00082% |
| 912828VL1 | 0.625% | Jul 15, 2016 | $32.00bn | – | – | $32.00bn | 100.3825 | 100.3431 | 1.434% | -0.039% | -0.00056% |
| 912828VG2 | 0.500% | Jun 15, 2016 | $32.00bn | – | – | $32.00bn | 100.3350 | 100.3163 | 1.433% | -0.019% | -0.00027% |
| 912828VR8 | 0.625% | Aug 15, 2016 | $32.00bn | – | – | $32.00bn | 100.3298 | 100.3217 | 1.433% | -0.008% | -0.00012% |
| 912828C81 | 0.375% | Apr 30, 2016 | $32.00bn | – | – | $32.00bn | 100.2194 | 100.0646 | 1.431% | +0.033% | +0.00047% |
| 912828TX8 | 0.375% | Nov 15, 2015 | $32.00bn | – | – | $32.00bn | 100.1885 | 100.1743 | 1.431% | -0.014% | -0.00020% |
| 912828B41 | 0.375% | Jan 31, 2016 | $32.00bn | – | – | $32.00bn | 100.1569 | 100.1583 | 1.431% | +0.001% | +0.00002% |
| 912828UW8 | 0.250% | Apr 15, 2016 | $32.00bn | – | – | $32.00bn | 100.1467 | 100.0123 | 1.430% | -0.009% | -0.00013% |
| 912828UG3 | 0.375% | Jan 15, 2016 | $32.00bn | – | – | $32.00bn | 100.1420 | 100.1746 | 1.430% | +0.033% | +0.00047% |
| 912828UM0 | 0.375% | Feb 15, 2016 | $32.00bn | – | – | $32.00bn | 100.1416 | 100.1430 | 1.430% | +0.001% | +0.00002% |
| 912828US7 | 0.375% | Mar 15, 2016 | $32.00bn | – | – | $32.00bn | 100.1415 | 100.1432 | 1.430% | +0.002% | +0.00002% |
| 912828A26 | 0.250% | Nov 30, 2015 | $32.00bn | – | – | $32.00bn | 100.1153 | 100.1270 | 1.430% | +0.012% | +0.00017% |
| 912828UC2 | 0.250% | Dec 15, 2015 | $32.00bn | – | – | $32.00bn | 100.1050 | 100.1269 | 1.430% | +0.022% | +0.00031% |
| 912828C40 | 0.375% | Mar 31, 2016 | $32.00bn | – | – | $32.00bn | 100.0948 | 100.0963 | 1.430% | +0.002% | +0.00002% |
| 912828A67 | 0.250% | Dec 31, 2015 | $32.00bn | – | – | $32.00bn | 100.0944 | 100.1162 | 1.430% | +0.022% | +0.00031% |
| 912828VC1 | 0.250% | May 15, 2016 | $32.00bn | – | – | $32.00bn | 100.0944 | 100.0849 | 1.430% | -0.010% | -0.00014% |
| 912828B82 | 0.250% | Feb 29, 2016 | $32.09bn | $22.0m | $89.9m | $31.98bn | 100.0525 | 100.0745 | 1.428% | +0.022% | +0.00031% |
| 912828VW7 | 0.875% | Sep 15, 2016 | $31.00bn | – | – | $31.00bn | 100.5385 | 100.4904 | 1.391% | -0.048% | -0.00067% |
| 912828WM8 | 0.375% | May 31, 2016 | $31.01bn | – | $11.9m | $31.00bn | 100.2198 | 100.1901 | 1.387% | -0.030% | -0.00041% |
| 912828WQ9 | 0.500% | Jun 30, 2016 | $30.00bn | – | – | $30.00bn | 100.3139 | 100.2636 | 1.343% | -0.050% | -0.00067% |
| 912828WX4 | 0.500% | Jul 31, 2016 | $29.01bn | – | $9.4m | $29.00bn | 100.2405 | 100.2215 | 1.298% | -0.019% | -0.00025% |
| 912828D64 | 0.500% | Aug 31, 2016 | $29.00bn | – | $1.5m | $29.00bn | 100.1676 | 100.1490 | 1.297% | -0.019% | -0.00024% |
| 912828F47 | 0.500% | Sep 30, 2016 | $29.00bn | – | – | $29.00bn | 100.1264 | 100.1076 | 1.296% | -0.019% | -0.00024% |
| 912796GH6 | 0.000% | Apr 28, 2016 | $25.00bn | – | – | $25.00bn | 99.9590 | 99.8894 | 1.115% | -0.070% | -0.00078% |
| 912796GD5 | 0.000% | Mar 31, 2016 | $25.00bn | – | – | $25.00bn | 99.9543 | 99.9235 | 1.115% | -0.031% | -0.00034% |
| 912796GN3 | 0.000% | May 26, 2016 | $25.00bn | – | – | $25.00bn | 99.9469 | 99.8723 | 1.115% | -0.075% | -0.00083% |
| 912796GS2 | 0.000% | Jun 23, 2016 | $25.00bn | – | – | $25.00bn | 99.8813 | 99.8222 | 1.115% | -0.059% | -0.00066% |
| 912796GW3 | 0.000% | Jul 21, 2016 | $25.00bn | – | – | $25.00bn | 99.8115 | 99.7865 | 1.114% | -0.025% | -0.00028% |
| 912828LP3 | 3.000% | Sep 30, 2016 | $29.51bn | – | $5.74bn | $23.78bn | 102.6019 | 102.6142 | 1.089% | +0.012% | +0.00013% |
| 912796GV5 | 0.000% | Dec 31, 2015 | $24.00bn | – | – | $24.00bn | 100.0000 | 99.9914 | 1.071% | -0.009% | -0.00009% |
| 912796GX1 | 0.000% | Jan 14, 2016 | $24.00bn | – | – | $24.00bn | 99.9971 | 99.9831 | 1.071% | -0.014% | -0.00015% |
| 912796GY9 | 0.000% | Jan 21, 2016 | $24.00bn | – | – | $24.00bn | 99.9969 | 99.9839 | 1.071% | -0.013% | -0.00014% |
| 912796GZ6 | 0.000% | Jan 28, 2016 | $24.00bn | – | – | $24.00bn | 99.9933 | 99.9825 | 1.071% | -0.011% | -0.00012% |
| 912796HB8 | 0.000% | Feb 11, 2016 | $24.00bn | – | – | $24.00bn | 99.9888 | 99.9798 | 1.071% | -0.009% | -0.00010% |
| 912796HC6 | 0.000% | Feb 18, 2016 | $24.00bn | – | – | $24.00bn | 99.9882 | 99.9784 | 1.071% | -0.010% | -0.00011% |
| 912796HD4 | 0.000% | Feb 25, 2016 | $24.00bn | – | – | $24.00bn | 99.9836 | 99.9738 | 1.071% | -0.010% | -0.00010% |
| 912828QF0 | 2.000% | Apr 30, 2016 | $37.21bn | – | $13.80bn | $23.41bn | 101.8682 | 100.8547 | 1.065% | -0.013% | -0.00014% |
| 912828EN6 | 4.500% | Nov 15, 2015 | $23.22bn | – | $0.6m | $23.22bn | 102.2622 | 102.2473 | 1.060% | -0.015% | -0.00015% |
| 912828QP8 | 1.750% | May 31, 2016 | $37.95bn | – | $14.67bn | $23.28bn | 101.5881 | 101.5536 | 1.055% | -0.034% | -0.00036% |
| 912828LL2 | 3.000% | Aug 31, 2016 | $28.84bn | – | $5.90bn | $22.94bn | 102.6305 | 102.6442 | 1.051% | +0.013% | +0.00014% |
| 912828LD0 | 3.250% | Jul 31, 2016 | $28.70bn | – | $6.14bn | $22.57bn | 102.9851 | 102.9552 | 1.037% | -0.029% | -0.00030% |
| 912828QA1 | 2.250% | Mar 31, 2016 | $36.57bn | – | $14.55bn | $22.02bn | 101.0374 | 101.0466 | 0.993% | +0.009% | +0.00009% |
| 912796HF9 | 0.000% | Mar 10, 2016 | $22.00bn | – | – | $22.00bn | 99.9820 | 99.9670 | 0.982% | -0.015% | -0.00015% |
| 912796HA0 | 0.000% | Aug 18, 2016 | $22.00bn | – | – | $22.00bn | 99.7398 | 99.7558 | 0.979% | +0.016% | +0.00016% |
| 912796HG7 | 0.000% | Mar 17, 2016 | $20.00bn | – | – | $20.00bn | 99.9812 | 99.9614 | 0.893% | -0.020% | -0.00018% |
| 912796HH5 | 0.000% | Mar 24, 2016 | $20.00bn | – | – | $20.00bn | 99.9756 | 99.9473 | 0.892% | -0.028% | -0.00025% |
| 912796HE2 | 0.000% | Sep 15, 2016 | $20.00bn | – | – | $20.00bn | 99.7075 | 99.7236 | 0.890% | +0.016% | +0.00014% |
| 912828EW6 | 4.500% | Feb 15, 2016 | $21.84bn | – | $2.46bn | $19.38bn | 102.1997 | 102.2160 | 0.884% | +0.016% | +0.00014% |
| 912828KZ2 | 3.250% | Jun 30, 2016 | $27.78bn | – | $9.71bn | $18.07bn | 103.0401 | 103.0102 | 0.831% | -0.029% | -0.00024% |
| 912828FQ8 | 4.875% | Aug 15, 2016 | $22.56bn | – | $6.35bn | $16.21bn | 104.5601 | 104.5465 | 0.756% | -0.013% | -0.00010% |
| 912828KW9 | 3.250% | May 31, 2016 | $26.90bn | – | $10.57bn | $16.33bn | 103.0922 | 103.0639 | 0.751% | -0.027% | -0.00021% |
| 912828KT6 | 2.375% | Mar 31, 2016 | $25.14bn | – | $9.04bn | $16.10bn | 101.1002 | 101.1204 | 0.727% | +0.020% | +0.00014% |
| 912828QJ2 | 2.125% | Feb 29, 2016 | $36.92bn | – | $21.17bn | $15.75bn | 101.0247 | 101.0240 | 0.710% | -0.001% | -0.00000% |
| 912828FF2 | 5.125% | May 15, 2016 | $23.29bn | – | $8.40bn | $14.90bn | 104.9671 | 104.9440 | 0.698% | -0.022% | -0.00015% |
| 912810DW5 | 7.250% | May 15, 2016 | $18.82bn | – | $5.62bn | $13.20bn | 107.0822 | 107.0564 | 0.631% | -0.024% | -0.00015% |
| 912828KR0 | 2.625% | Apr 30, 2016 | $26.90bn | – | $13.58bn | $13.33bn | 102.5048 | 101.1707 | 0.610% | -0.021% | -0.00013% |
| 912828KS8 | 2.625% | Feb 29, 2016 | $23.18bn | – | $10.58bn | $12.60bn | 101.2548 | 101.2668 | 0.569% | +0.012% | +0.00007% |
| 912810DT2 | 9.875% | Nov 15, 2015 | $6.89bn | $1.31bn | $325.5m | $5.25bn | 104.9175 | 104.9324 | 0.246% | +0.014% | +0.00004% |
| 912810DV7 | 9.250% | Feb 15, 2016 | $7.25bn | $1.84bn | $2.41bn | $3.01bn | 104.5564 | 104.5482 | 0.141% | -0.008% | -0.00001% |
| Total | $2.23tn | 100.000% | -0.00930% | ||||||||
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.