Rebalance of August 30, 2019
1-12 Month constituents
Every one of the 80 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
- 80
- Weights sum to
- 100.0000%
- Contributions sum to
- +0.230205%
- Market value
- $2.82tn
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 +0.230205% against a published month return of +0.230205%, a difference of 3.4e-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 |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 912796RA9 | 0.000% | Sep 12, 2019 | $101.00bn | – | – | $101.00bn | 99.7731 | 99.9314 | 3.576% | +0.159% | +0.00567% |
| 912796RF8 | 0.000% | Oct 10, 2019 | $98.00bn | – | – | $98.00bn | 99.6036 | 99.7722 | 3.464% | +0.169% | +0.00586% |
| 912796SG5 | 0.000% | Sep 5, 2019 | $75.00bn | – | – | $75.00bn | 99.7990 | 99.9703 | 2.656% | +0.172% | +0.00456% |
| 912796SJ9 | 0.000% | Sep 19, 2019 | $75.00bn | – | – | $75.00bn | 99.7292 | 99.8917 | 2.654% | +0.163% | +0.00432% |
| 912796SK6 | 0.000% | Sep 26, 2019 | $75.00bn | – | – | $75.00bn | 99.6817 | 99.8552 | 2.653% | +0.174% | +0.00462% |
| 912796SL4 | 0.000% | Oct 3, 2019 | $75.00bn | – | – | $75.00bn | 99.6409 | 99.8121 | 2.652% | +0.172% | +0.00456% |
| 912796SN0 | 0.000% | Oct 17, 2019 | $72.00bn | – | – | $72.00bn | 99.5623 | 99.7373 | 2.544% | +0.176% | +0.00447% |
| 912796SP5 | 0.000% | Oct 24, 2019 | $72.00bn | – | – | $72.00bn | 99.5254 | 99.7036 | 2.543% | +0.179% | +0.00455% |
| 912796RM3 | 0.000% | Nov 7, 2019 | $62.00bn | – | – | $62.00bn | 99.4445 | 99.6282 | 2.188% | +0.185% | +0.00404% |
| 912796RN1 | 0.000% | Dec 5, 2019 | $62.00bn | – | – | $62.00bn | 99.2944 | 99.4908 | 2.184% | +0.198% | +0.00432% |
| 912796RT8 | 0.000% | Jan 2, 2020 | $62.00bn | – | – | $62.00bn | 99.1432 | 99.3576 | 2.181% | +0.216% | +0.00472% |
| 912828F62 | 1.500% | Oct 31, 2019 | $61.65bn | – | $650.4m | $61.00bn | 100.2228 | 100.4198 | 2.169% | +0.197% | +0.00426% |
| 912828MP2 | 3.625% | Feb 15, 2020 | $71.59bn | – | $27.74bn | $43.85bn | 102.4536 | 100.9059 | 1.594% | +0.259% | +0.00412% |
| 912828LY4 | 3.375% | Nov 15, 2019 | $71.04bn | – | $34.52bn | $36.52bn | 101.0591 | 101.2680 | 1.309% | +0.207% | +0.00271% |
| 912796SQ3 | 0.000% | Oct 31, 2019 | $36.00bn | – | – | $36.00bn | 99.4838 | 99.6659 | 1.271% | +0.183% | +0.00233% |
| 912796SS9 | 0.000% | Nov 14, 2019 | $36.00bn | – | – | $36.00bn | 99.4111 | 99.5926 | 1.270% | +0.183% | +0.00232% |
| 912796ST7 | 0.000% | Nov 21, 2019 | $36.00bn | – | – | $36.00bn | 99.3722 | 99.5527 | 1.269% | +0.182% | +0.00231% |
| 912796SU4 | 0.000% | Nov 29, 2019 | $36.00bn | – | – | $36.00bn | 99.3278 | 99.5096 | 1.269% | +0.183% | +0.00232% |
| 912796SW0 | 0.000% | Dec 12, 2019 | $36.00bn | – | – | $36.00bn | 99.2556 | 99.4540 | 1.268% | +0.200% | +0.00253% |
| 912796SX8 | 0.000% | Dec 19, 2019 | $36.00bn | – | – | $36.00bn | 99.2127 | 99.4172 | 1.267% | +0.206% | +0.00261% |
| 912796SY6 | 0.000% | Dec 26, 2019 | $36.00bn | – | – | $36.00bn | 99.1696 | 99.3805 | 1.267% | +0.213% | +0.00269% |
| 912796TA7 | 0.000% | Jan 9, 2020 | $36.00bn | – | – | $36.00bn | 99.0955 | 99.3180 | 1.266% | +0.225% | +0.00284% |
| 912796TB5 | 0.000% | Jan 16, 2020 | $36.00bn | – | – | $36.00bn | 99.0564 | 99.2857 | 1.265% | +0.231% | +0.00293% |
| 912796TC3 | 0.000% | Jan 23, 2020 | $36.00bn | – | – | $36.00bn | 99.0222 | 99.2538 | 1.265% | +0.234% | +0.00296% |
| 912828Y46 | 2.625% | Jul 31, 2020 | $36.90bn | – | $1.90bn | $35.00bn | 100.6321 | 100.9613 | 1.250% | +0.327% | +0.00409% |
| 912828F39 | 1.750% | Sep 30, 2019 | $35.00bn | – | – | $35.00bn | 100.5256 | 100.7147 | 1.248% | +0.188% | +0.00235% |
| 912828J50 | 1.375% | Feb 29, 2020 | $35.00bn | – | – | $35.00bn | 100.1379 | 99.7613 | 1.244% | +0.310% | +0.00386% |
| 912828G61 | 1.500% | Nov 30, 2019 | $35.00bn | – | – | $35.00bn | 100.0353 | 100.2643 | 1.242% | +0.229% | +0.00284% |
| 912828J84 | 1.375% | Mar 31, 2020 | $35.00bn | – | – | $35.00bn | 99.9933 | 100.3048 | 1.242% | +0.311% | +0.00387% |
| 912828G95 | 1.625% | Dec 31, 2019 | $35.00bn | – | – | $35.00bn | 99.9226 | 100.1620 | 1.241% | +0.240% | +0.00297% |
| 912828K58 | 1.375% | Apr 30, 2020 | $35.13bn | – | $128.0m | $35.00bn | 99.8475 | 100.1583 | 1.240% | +0.311% | +0.00386% |
| 912796VT3 | 0.000% | Sep 3, 2019 | $35.00bn | – | – | $35.00bn | 99.8111 | 100.0000 | 1.240% | +0.189% | +0.00235% |
| 912828XE5 | 1.500% | May 31, 2020 | $35.00bn | $5.0m | – | $35.00bn | 99.8166 | 100.1393 | 1.239% | +0.323% | +0.00401% |
| 912828XH8 | 1.625% | Jun 30, 2020 | $35.00bn | $7.0m | – | $34.99bn | 99.7976 | 100.1308 | 1.239% | +0.334% | +0.00414% |
| 912796VU0 | 0.000% | Sep 10, 2019 | $35.00bn | – | – | $35.00bn | 99.7722 | 99.9380 | 1.239% | +0.166% | +0.00206% |
| 912796VV8 | 0.000% | Sep 17, 2019 | $35.00bn | – | – | $35.00bn | 99.7373 | 99.8985 | 1.239% | +0.162% | +0.00200% |
| 912796VW6 | 0.000% | Sep 24, 2019 | $35.00bn | – | – | $35.00bn | 99.6929 | 99.8590 | 1.238% | +0.167% | +0.00206% |
| 912828XM7 | 1.625% | Jul 31, 2020 | $35.00bn | $8.0m | – | $34.99bn | 99.6607 | 99.9939 | 1.237% | +0.334% | +0.00414% |
| 912828H52 | 1.250% | Jan 31, 2020 | $35.00bn | – | – | $35.00bn | 99.5659 | 99.8342 | 1.237% | +0.270% | +0.00333% |
| 912828XY1 | 2.500% | Jun 30, 2020 | $38.23bn | – | $4.23bn | $34.00bn | 100.6549 | 101.0041 | 1.214% | +0.347% | +0.00421% |
| 9128284Q0 | 2.500% | May 31, 2020 | $38.73bn | – | $5.73bn | $33.00bn | 100.7985 | 101.1177 | 1.180% | +0.317% | +0.00374% |
| 9128284J6 | 2.375% | Apr 30, 2020 | $36.08bn | – | $4.08bn | $32.00bn | 100.8502 | 101.1257 | 1.145% | +0.273% | +0.00313% |
| 912828ND8 | 3.500% | May 15, 2020 | $68.22bn | – | $36.62bn | $31.60bn | 101.8668 | 102.1807 | 1.142% | +0.308% | +0.00352% |
| 9128284C1 | 2.250% | Mar 31, 2020 | $35.28bn | – | $5.28bn | $30.00bn | 100.8811 | 101.1778 | 1.074% | +0.294% | +0.00316% |
| 9128283Y4 | 2.250% | Feb 29, 2020 | $34.83bn | – | $6.83bn | $28.00bn | 101.0353 | 100.1748 | 1.004% | +0.262% | +0.00263% |
| 9128282X7 | 1.375% | Sep 30, 2019 | $29.23bn | – | $3.23bn | $26.00bn | 100.3371 | 100.5236 | 0.926% | +0.186% | +0.00172% |
| 9128283H1 | 1.750% | Nov 30, 2019 | $27.41bn | – | $1.41bn | $26.00bn | 100.1714 | 100.3917 | 0.924% | +0.220% | +0.00203% |
| 9128283N8 | 1.875% | Dec 31, 2019 | $29.40bn | – | $3.40bn | $26.00bn | 100.0693 | 100.2999 | 0.923% | +0.230% | +0.00213% |
| 9128283S7 | 2.000% | Jan 31, 2020 | $29.82bn | – | $3.82bn | $26.00bn | 99.9429 | 100.2160 | 0.922% | +0.273% | +0.00252% |
| 912796RY7 | 0.000% | Jan 30, 2020 | $26.00bn | – | – | $26.00bn | 98.9783 | 99.2223 | 0.913% | +0.247% | +0.00225% |
| 912796SD2 | 0.000% | Feb 27, 2020 | $26.00bn | – | – | $26.00bn | 98.8512 | 99.0749 | 0.912% | +0.226% | +0.00206% |
| 912796SH3 | 0.000% | Mar 26, 2020 | $26.00bn | – | – | $26.00bn | 98.7253 | 98.9840 | 0.911% | +0.262% | +0.00239% |
| 912796SM2 | 0.000% | Apr 23, 2020 | $26.00bn | – | – | $26.00bn | 98.5760 | 98.8413 | 0.909% | +0.269% | +0.00245% |
| 912796SR1 | 0.000% | May 21, 2020 | $26.00bn | – | – | $26.00bn | 98.4185 | 98.7118 | 0.908% | +0.298% | +0.00271% |
| 912796SV2 | 0.000% | Jun 18, 2020 | $26.00bn | – | – | $26.00bn | 98.2863 | 98.5838 | 0.907% | +0.303% | +0.00274% |
| 912796SZ3 | 0.000% | Jul 16, 2020 | $26.00bn | – | – | $26.00bn | 98.1475 | 98.4485 | 0.905% | +0.307% | +0.00278% |
| 912828VF4 | 1.375% | May 31, 2020 | $29.00bn | $5.0m | $4.75bn | $24.24bn | 99.6704 | 100.0131 | 0.857% | +0.344% | +0.00295% |
| 912828W63 | 1.625% | Mar 15, 2020 | $24.00bn | – | – | $24.00bn | 100.3325 | 100.6345 | 0.854% | +0.301% | +0.00257% |
| 912828W22 | 1.375% | Feb 15, 2020 | $26.77bn | – | $2.77bn | $24.00bn | 100.2281 | 99.8210 | 0.854% | +0.280% | +0.00239% |
| 9128282G4 | 0.875% | Sep 15, 2019 | $24.00bn | – | – | $24.00bn | 100.1743 | 100.3465 | 0.853% | +0.172% | +0.00147% |
| 912828T59 | 1.000% | Oct 15, 2019 | $24.00bn | – | – | $24.00bn | 100.0763 | 100.2602 | 0.852% | +0.184% | +0.00157% |
| 912828X21 | 1.500% | Apr 15, 2020 | $24.20bn | – | $197.3m | $24.00bn | 100.0364 | 100.3591 | 0.852% | +0.323% | +0.00275% |
| 912828U73 | 1.375% | Dec 15, 2019 | $24.00bn | – | – | $24.00bn | 99.9266 | 100.1130 | 0.851% | +0.187% | +0.00159% |
| 912828U32 | 1.000% | Nov 15, 2019 | $29.25bn | – | $5.25bn | $24.00bn | 99.8995 | 100.1141 | 0.851% | +0.215% | +0.00183% |
| 912828X96 | 1.500% | May 15, 2020 | $31.93bn | – | $7.93bn | $24.00bn | 99.8804 | 100.2024 | 0.851% | +0.322% | +0.00274% |
| 912828XU9 | 1.500% | Jun 15, 2020 | $24.00bn | – | – | $24.00bn | 99.7551 | 100.0779 | 0.850% | +0.324% | +0.00275% |
| 912828V31 | 1.375% | Jan 15, 2020 | $25.33bn | – | $1.33bn | $24.00bn | 99.7198 | 99.9993 | 0.849% | +0.280% | +0.00238% |
| 9128282J8 | 1.500% | Jul 15, 2020 | $24.55bn | – | $547.8m | $24.00bn | 99.6005 | 99.9538 | 0.848% | +0.355% | +0.00301% |
| 912828VA5 | 1.125% | Apr 30, 2020 | $29.00bn | – | $5.17bn | $23.83bn | 99.5968 | 99.8852 | 0.842% | +0.290% | +0.00244% |
| 912828VP2 | 2.000% | Jul 31, 2020 | $29.00bn | – | $6.03bn | $22.97bn | 100.0054 | 100.3723 | 0.815% | +0.367% | +0.00299% |
| 912828UL2 | 1.375% | Jan 31, 2020 | $29.00bn | – | $6.01bn | $22.99bn | 99.6287 | 99.9083 | 0.813% | +0.281% | +0.00228% |
| 912828UB4 | 1.000% | Nov 30, 2019 | $29.00bn | – | $6.98bn | $22.02bn | 99.7944 | 100.0096 | 0.780% | +0.216% | +0.00168% |
| 912828UF5 | 1.125% | Dec 31, 2019 | $29.00bn | – | $7.08bn | $21.92bn | 99.6916 | 99.9175 | 0.775% | +0.227% | +0.00176% |
| 912828UQ1 | 1.250% | Feb 29, 2020 | $29.00bn | – | $9.64bn | $19.36bn | 100.0231 | 99.6666 | 0.687% | +0.268% | +0.00184% |
| 912828TR1 | 1.000% | Sep 30, 2019 | $29.00bn | – | $9.75bn | $19.25bn | 100.1173 | 100.3325 | 0.684% | +0.215% | +0.00147% |
| 912828UV0 | 1.125% | Mar 31, 2020 | $29.00bn | – | $11.30bn | $17.70bn | 99.7843 | 100.0420 | 0.627% | +0.258% | +0.00162% |
| 912828VJ6 | 1.875% | Jun 30, 2020 | $29.00bn | – | $12.87bn | $16.13bn | 100.0380 | 100.3624 | 0.573% | +0.324% | +0.00186% |
| 912828TV2 | 1.250% | Oct 31, 2019 | $29.00bn | – | $14.66bn | $14.34bn | 100.0971 | 100.3030 | 0.509% | +0.206% | +0.00105% |
| 912810EE4 | 8.500% | Feb 15, 2020 | $10.23bn | $753.0m | $6.63bn | $2.84bn | 107.3275 | 103.3139 | 0.108% | +0.220% | +0.00024% |
| 912810EF1 | 8.750% | May 15, 2020 | $10.16bn | $2.58bn | $5.31bn | $2.27bn | 107.0421 | 107.3893 | 0.086% | +0.324% | +0.00028% |
| Total | $2.82tn | 100.000% | +0.23020% | ||||||||
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.