Rebalance of September 30, 2016
1-12 Month constituents
Every one of the 77 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
- 77
- Weights sum to
- 100.0000%
- Contributions sum to
- +0.063121%
- Market value
- $2.43tn
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 +0.063121% against a published month return of +0.063121%, a difference of 1.4e-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 |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 912796HQ5 | 0.000% | Nov 10, 2016 | $78.00bn | – | – | $78.00bn | 99.9467 | 99.9795 | 3.206% | +0.033% | +0.00105% |
| 912796HJ1 | 0.000% | Oct 13, 2016 | $71.00bn | – | – | $71.00bn | 99.9713 | 99.9928 | 2.919% | +0.021% | +0.00063% |
| 912796JU4 | 0.000% | Nov 17, 2016 | $66.00bn | – | – | $66.00bn | 99.9480 | 99.9773 | 2.713% | +0.029% | +0.00080% |
| 912796JV2 | 0.000% | Nov 25, 2016 | $66.00bn | – | – | $66.00bn | 99.9283 | 99.9751 | 2.712% | +0.047% | +0.00127% |
| 912796JQ3 | 0.000% | Oct 20, 2016 | $61.00bn | – | – | $61.00bn | 99.9681 | 99.9911 | 2.508% | +0.023% | +0.00058% |
| 912796JR1 | 0.000% | Oct 27, 2016 | $61.00bn | – | – | $61.00bn | 99.9636 | 99.9850 | 2.507% | +0.021% | +0.00054% |
| 912796JS9 | 0.000% | Nov 3, 2016 | $61.00bn | – | – | $61.00bn | 99.9520 | 99.9811 | 2.507% | +0.029% | +0.00073% |
| 912828TM2 | 0.625% | Aug 31, 2017 | $61.00bn | $5.0m | $269.0m | $60.73bn | 99.9705 | 100.0570 | 2.496% | +0.087% | +0.00216% |
| 912828SY7 | 0.625% | May 31, 2017 | $61.00bn | $9.0m | $408.5m | $60.58bn | 100.1901 | 100.2447 | 2.496% | +0.055% | +0.00136% |
| 912796JN0 | 0.000% | Oct 6, 2016 | $58.00bn | – | – | $58.00bn | 99.9780 | 99.9967 | 2.384% | +0.019% | +0.00045% |
| 912796JA8 | 0.000% | Feb 2, 2017 | $50.00bn | – | – | $50.00bn | 99.8149 | 99.8924 | 2.052% | +0.078% | +0.00159% |
| 912796HV4 | 0.000% | Jan 5, 2017 | $45.00bn | – | – | $45.00bn | 99.8801 | 99.9273 | 1.848% | +0.047% | +0.00087% |
| 912796HU6 | 0.000% | Dec 8, 2016 | $40.00bn | – | – | $40.00bn | 99.9147 | 99.9655 | 1.643% | +0.051% | +0.00083% |
| 912828RM4 | 1.000% | Oct 31, 2016 | $36.33bn | – | $1.33bn | $35.00bn | 100.4620 | 100.5082 | 1.446% | +0.046% | +0.00066% |
| 912828RU6 | 0.875% | Nov 30, 2016 | $36.59bn | – | $1.59bn | $35.00bn | 100.3161 | 100.3926 | 1.444% | +0.076% | +0.00110% |
| 912828RX0 | 0.875% | Dec 31, 2016 | $36.13bn | – | $1.13bn | $35.00bn | 100.2748 | 100.3509 | 1.443% | +0.076% | +0.00110% |
| 912828SS0 | 0.875% | Apr 30, 2017 | $35.94bn | – | $1.52bn | $34.42bn | 100.5136 | 100.5584 | 1.423% | +0.045% | +0.00063% |
| 912828SC5 | 0.875% | Jan 31, 2017 | $35.66bn | – | $1.26bn | $34.40bn | 100.2323 | 100.3397 | 1.418% | +0.107% | +0.00152% |
| 912796KG3 | 0.000% | Feb 9, 2017 | $34.00bn | – | – | $34.00bn | 99.8020 | 99.8790 | 1.395% | +0.077% | +0.00108% |
| 912796KH1 | 0.000% | Feb 16, 2017 | $34.00bn | – | – | $34.00bn | 99.7934 | 99.8726 | 1.395% | +0.079% | +0.00111% |
| 912796KJ7 | 0.000% | Feb 23, 2017 | $34.00bn | – | – | $34.00bn | 99.7751 | 99.8621 | 1.395% | +0.087% | +0.00122% |
| 912828SJ0 | 0.875% | Feb 28, 2017 | $35.50bn | – | $1.70bn | $33.80bn | 100.1899 | 100.2985 | 1.392% | +0.108% | +0.00151% |
| 912828SM3 | 1.000% | Mar 31, 2017 | $35.83bn | – | $2.93bn | $32.90bn | 100.7020 | 100.2582 | 1.362% | +0.056% | +0.00076% |
| 912828TB6 | 0.750% | Jun 30, 2017 | $35.36bn | – | $2.33bn | $33.03bn | 100.2534 | 100.2874 | 1.361% | +0.034% | +0.00046% |
| 912796KC2 | 0.000% | Jan 12, 2017 | $32.00bn | – | – | $32.00bn | 99.8660 | 99.9249 | 1.314% | +0.059% | +0.00077% |
| 912796KD0 | 0.000% | Jan 19, 2017 | $32.00bn | – | – | $32.00bn | 99.8551 | 99.9260 | 1.314% | +0.071% | +0.00093% |
| 912796KE8 | 0.000% | Jan 26, 2017 | $32.00bn | – | – | $32.00bn | 99.8314 | 99.9115 | 1.314% | +0.080% | +0.00105% |
| 912828TG5 | 0.500% | Jul 31, 2017 | $35.00bn | – | $4.22bn | $30.78bn | 99.9185 | 99.9932 | 1.265% | +0.075% | +0.00095% |
| 912828C73 | 0.875% | Apr 15, 2017 | $30.00bn | – | – | $30.00bn | 100.5198 | 100.6588 | 1.240% | +0.138% | +0.00171% |
| 912828C32 | 0.750% | Mar 15, 2017 | $30.00bn | – | – | $30.00bn | 100.4715 | 100.1623 | 1.239% | +0.066% | +0.00081% |
| 912828WF3 | 0.625% | Nov 15, 2016 | $30.00bn | – | – | $30.00bn | 100.2476 | 100.3020 | 1.237% | +0.054% | +0.00067% |
| 912828WA4 | 0.625% | Oct 15, 2016 | $30.00bn | – | – | $30.00bn | 100.2374 | 100.3176 | 1.237% | +0.080% | +0.00099% |
| 912828A91 | 0.750% | Jan 15, 2017 | $30.00bn | – | – | $30.00bn | 100.2228 | 100.2880 | 1.236% | +0.065% | +0.00080% |
| 912828A59 | 0.625% | Dec 15, 2016 | $30.00bn | – | – | $30.00bn | 100.1957 | 100.2816 | 1.236% | +0.086% | +0.00106% |
| 912828B74 | 0.625% | Feb 15, 2017 | $30.00bn | $1.0m | – | $30.00bn | 100.0914 | 100.1770 | 1.235% | +0.086% | +0.00106% |
| 912828WH9 | 0.875% | May 15, 2017 | $29.00bn | – | – | $29.00bn | 100.4779 | 100.5540 | 1.198% | +0.076% | +0.00091% |
| 912828F88 | 0.375% | Oct 31, 2016 | $29.00bn | – | – | $29.00bn | 100.1264 | 100.1590 | 1.194% | +0.033% | +0.00039% |
| 912828WP1 | 0.875% | Jun 15, 2017 | $28.00bn | – | – | $28.00bn | 100.3740 | 100.4817 | 1.156% | +0.107% | +0.00124% |
| 912828G46 | 0.500% | Nov 30, 2016 | $28.00bn | – | – | $28.00bn | 100.1583 | 100.2333 | 1.153% | +0.075% | +0.00086% |
| 912828NW6 | 1.875% | Aug 31, 2017 | $29.71bn | – | $2.93bn | $26.78bn | 101.1927 | 101.2647 | 1.114% | +0.071% | +0.00079% |
| 912828WT3 | 0.875% | Jul 15, 2017 | $27.00bn | – | – | $27.00bn | 100.3329 | 100.4090 | 1.114% | +0.076% | +0.00084% |
| 912828D49 | 0.875% | Aug 15, 2017 | $27.00bn | – | – | $27.00bn | 100.2592 | 100.3040 | 1.113% | +0.045% | +0.00050% |
| 912828H29 | 0.625% | Dec 31, 2016 | $27.00bn | – | – | $27.00bn | 100.1695 | 100.2551 | 1.112% | +0.085% | +0.00095% |
| 912828LU2 | 3.125% | Oct 31, 2016 | $31.76bn | – | $5.20bn | $26.57bn | 101.5217 | 101.5747 | 1.109% | +0.052% | +0.00058% |
| 912828MK3 | 3.125% | Jan 31, 2017 | $32.52bn | – | $6.10bn | $26.43bn | 101.3342 | 101.4497 | 1.101% | +0.114% | +0.00125% |
| 912828J92 | 0.500% | Mar 31, 2017 | $26.00bn | – | – | $26.00bn | 100.1791 | 100.0354 | 1.071% | +0.106% | +0.00114% |
| 912828K66 | 0.500% | Apr 30, 2017 | $26.10bn | $8.0m | $95.1m | $25.99bn | 100.1372 | 100.2120 | 1.070% | +0.075% | +0.00080% |
| 912828XJ4 | 0.625% | Jun 30, 2017 | $26.00bn | $2.0m | – | $26.00bn | 100.1070 | 100.1613 | 1.070% | +0.054% | +0.00058% |
| 912828XP0 | 0.625% | Jul 31, 2017 | $26.00bn | – | – | $26.00bn | 100.0543 | 100.1087 | 1.070% | +0.054% | +0.00058% |
| 912828H78 | 0.500% | Jan 31, 2017 | $26.00bn | – | – | $26.00bn | 100.0435 | 100.1807 | 1.070% | +0.137% | +0.00147% |
| 912828J35 | 0.500% | Feb 28, 2017 | $26.00bn | – | – | $26.00bn | 100.0014 | 100.1081 | 1.069% | +0.107% | +0.00114% |
| 912796JW0 | 0.000% | Dec 1, 2016 | $26.00bn | – | – | $26.00bn | 99.9157 | 99.9690 | 1.068% | +0.053% | +0.00057% |
| 912796JY6 | 0.000% | Dec 15, 2016 | $26.00bn | – | – | $26.00bn | 99.9117 | 99.9662 | 1.068% | +0.055% | +0.00058% |
| 912796JZ3 | 0.000% | Dec 22, 2016 | $26.00bn | – | – | $26.00bn | 99.8996 | 99.9470 | 1.068% | +0.047% | +0.00051% |
| 912796KA6 | 0.000% | Dec 29, 2016 | $26.00bn | – | – | $26.00bn | 99.8833 | 99.9300 | 1.068% | +0.047% | +0.00050% |
| 912828MA5 | 2.750% | Nov 30, 2016 | $32.96bn | – | $8.95bn | $24.01bn | 101.2613 | 101.3767 | 1.000% | +0.114% | +0.00114% |
| 912828MV9 | 3.250% | Mar 31, 2017 | $33.08bn | – | $10.63bn | $22.45bn | 102.9300 | 101.4018 | 0.950% | +0.094% | +0.00089% |
| 912828NR7 | 2.375% | Jul 31, 2017 | $29.95bn | – | $7.58bn | $22.38bn | 101.7690 | 101.8505 | 0.936% | +0.080% | +0.00075% |
| 912828MD9 | 3.250% | Dec 31, 2016 | $32.95bn | – | $10.57bn | $22.38bn | 101.4626 | 101.5890 | 0.934% | +0.125% | +0.00116% |
| 912828MS6 | 3.000% | Feb 28, 2017 | $32.79bn | – | $11.48bn | $21.31bn | 101.2270 | 101.3672 | 0.887% | +0.138% | +0.00123% |
| 912828NA4 | 3.125% | Apr 30, 2017 | $32.68bn | – | $12.39bn | $20.29bn | 102.7405 | 102.8247 | 0.857% | +0.082% | +0.00070% |
| 912828NK2 | 2.500% | Jun 30, 2017 | $30.87bn | – | $10.55bn | $20.31bn | 101.9905 | 102.0516 | 0.852% | +0.060% | +0.00051% |
| 912828NG1 | 2.750% | May 31, 2017 | $31.67bn | – | $11.50bn | $20.17bn | 102.2925 | 102.3767 | 0.848% | +0.082% | +0.00070% |
| 912796JE0 | 0.000% | Mar 2, 2017 | $20.00bn | – | – | $20.00bn | 99.7611 | 99.8470 | 0.820% | +0.086% | +0.00071% |
| 912796JJ9 | 0.000% | Mar 30, 2017 | $20.00bn | – | – | $20.00bn | 99.7304 | 99.7838 | 0.820% | +0.054% | +0.00044% |
| 912796JP5 | 0.000% | Apr 27, 2017 | $20.00bn | – | – | $20.00bn | 99.7013 | 99.7387 | 0.820% | +0.038% | +0.00031% |
| 912796JT7 | 0.000% | May 25, 2017 | $20.00bn | – | – | $20.00bn | 99.6663 | 99.7037 | 0.820% | +0.038% | +0.00031% |
| 912796JX8 | 0.000% | Jun 22, 2017 | $20.00bn | – | – | $20.00bn | 99.6149 | 99.6393 | 0.819% | +0.025% | +0.00020% |
| 912796KB4 | 0.000% | Jul 20, 2017 | $20.00bn | – | – | $20.00bn | 99.5155 | 99.5605 | 0.818% | +0.045% | +0.00037% |
| 912796KF5 | 0.000% | Aug 17, 2017 | $20.00bn | – | – | $20.00bn | 99.4442 | 99.5185 | 0.818% | +0.075% | +0.00061% |
| 912828FY1 | 4.625% | Nov 15, 2016 | $23.29bn | – | $5.01bn | $18.29bn | 102.2449 | 102.2721 | 0.769% | +0.027% | +0.00020% |
| 912828HA1 | 4.750% | Aug 15, 2017 | $28.00bn | – | $12.51bn | $15.49bn | 104.0632 | 104.1637 | 0.663% | +0.097% | +0.00064% |
| 912828GH7 | 4.625% | Feb 15, 2017 | $22.19bn | – | $7.16bn | $15.03bn | 102.0887 | 102.1471 | 0.631% | +0.057% | +0.00036% |
| 912828GS3 | 4.500% | May 15, 2017 | $25.59bn | – | $13.23bn | $12.36bn | 104.0829 | 104.1304 | 0.529% | +0.046% | +0.00024% |
| 912810DX3 | 7.500% | Nov 15, 2016 | $18.86bn | $77.0m | $8.57bn | $10.22bn | 103.6277 | 103.6861 | 0.435% | +0.056% | +0.00025% |
| 912810DY1 | 8.750% | May 15, 2017 | $18.19bn | $2.64bn | $7.26bn | $8.30bn | 108.2792 | 108.3838 | 0.369% | +0.097% | +0.00036% |
| 912810DZ8 | 8.875% | Aug 15, 2017 | $14.01bn | $3.05bn | $6.14bn | $4.82bn | 108.2225 | 108.2442 | 0.214% | +0.020% | +0.00004% |
| Total | $2.42tn | 100.000% | +0.06312% | ||||||||
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.