Rebalance of May 29, 2020
1-12 Month constituents
Every one of the 89 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
- 89
- Weights sum to
- 100.0000%
- Contributions sum to
- +0.006653%
- Market value
- $3.76tn
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 +0.006653% against a published month return of +0.006653%, a difference of 1.1e-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 |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 912796TZ2 | 0.000% | Jun 11, 2020 | $154.80bn | – | $7.19bn | $147.61bn | 99.9872 | 99.9960 | 3.929% | +0.009% | +0.00035% |
| 912796TX7 | 0.000% | Jun 4, 2020 | $148.69bn | – | $10.19bn | $138.49bn | 99.9903 | 99.9982 | 3.687% | +0.008% | +0.00029% |
| 912796WY1 | 0.000% | Jul 30, 2020 | $140.38bn | – | $8.32bn | $132.06bn | 99.9747 | 99.9759 | 3.515% | +0.001% | +0.00004% |
| 9127962U2 | 0.000% | Jun 9, 2020 | $118.06bn | – | $3.06bn | $115.00bn | 99.9900 | 99.9969 | 3.061% | +0.007% | +0.00021% |
| 9127962V0 | 0.000% | Jun 16, 2020 | $118.33bn | – | $3.33bn | $115.00bn | 99.9869 | 99.9945 | 3.061% | +0.008% | +0.00023% |
| 912796SZ3 | 0.000% | Jul 16, 2020 | $126.56bn | – | $18.72bn | $107.83bn | 99.9808 | 99.9827 | 2.870% | +0.002% | +0.00006% |
| 9127962W8 | 0.000% | Jun 23, 2020 | $108.01bn | – | $3.01bn | $105.00bn | 99.9850 | 99.9917 | 2.795% | +0.007% | +0.00019% |
| 912796SV2 | 0.000% | Jun 18, 2020 | $105.47bn | – | $17.65bn | $87.83bn | 99.9864 | 99.9922 | 2.338% | +0.006% | +0.00014% |
| 912796WW5 | 0.000% | Jul 9, 2020 | $95.44bn | – | $10.88bn | $84.56bn | 99.9806 | 99.9841 | 2.251% | +0.004% | +0.00008% |
| 912796WX3 | 0.000% | Jul 23, 2020 | $99.71bn | – | $16.28bn | $83.44bn | 99.9767 | 99.9817 | 2.221% | +0.005% | +0.00011% |
| 912796TD1 | 0.000% | Aug 13, 2020 | $93.12bn | – | $10.45bn | $82.67bn | 99.9650 | 99.9704 | 2.200% | +0.005% | +0.00012% |
| 912796UA5 | 0.000% | Jun 25, 2020 | $83.67bn | – | $4.25bn | $79.42bn | 99.9876 | 99.9910 | 2.114% | +0.003% | +0.00007% |
| 912796UB3 | 0.000% | Jul 2, 2020 | $89.17bn | – | $13.53bn | $75.64bn | 99.9825 | 99.9877 | 2.013% | +0.005% | +0.00011% |
| 912796WZ8 | 0.000% | Aug 6, 2020 | $79.57bn | – | $5.97bn | $73.60bn | 99.9673 | 99.9732 | 1.959% | +0.006% | +0.00011% |
| 912796TN9 | 0.000% | Oct 8, 2020 | $77.08bn | – | $15.52bn | $61.56bn | 99.9463 | 99.9377 | 1.638% | -0.009% | -0.00014% |
| 912796XG9 | 0.000% | Aug 27, 2020 | $64.83bn | – | $3.50bn | $61.33bn | 99.9603 | 99.9650 | 1.632% | +0.005% | +0.00008% |
| 9127962P3 | 0.000% | Jun 2, 2020 | $62.92bn | – | $2.92bn | $60.00bn | 99.9927 | 99.9991 | 1.597% | +0.006% | +0.00010% |
| 912796XF1 | 0.000% | Aug 20, 2020 | $64.61bn | – | $5.02bn | $59.59bn | 99.9627 | 99.9654 | 1.586% | +0.003% | +0.00004% |
| 912796TJ8 | 0.000% | Sep 10, 2020 | $65.54bn | – | $10.83bn | $54.72bn | 99.9557 | 99.9538 | 1.456% | -0.002% | -0.00003% |
| 9127962T5 | 0.000% | Oct 29, 2020 | $51.23bn | – | – | $51.23bn | 99.9444 | 99.9278 | 1.363% | -0.017% | -0.00023% |
| 912828C57 | 2.250% | Mar 31, 2021 | $69.00bn | – | $19.10bn | $49.90bn | 102.0968 | 102.0999 | 1.356% | +0.003% | +0.00004% |
| 912828WG1 | 2.250% | Apr 30, 2021 | $69.51bn | – | $21.73bn | $47.78bn | 102.0686 | 102.0707 | 1.298% | +0.002% | +0.00003% |
| 912828PC8 | 2.625% | Nov 15, 2020 | $67.41bn | – | $20.30bn | $47.11bn | 102.5553 | 101.2463 | 1.286% | +0.003% | +0.00004% |
| 9127962R9 | 0.000% | Oct 15, 2020 | $52.22bn | – | $4.22bn | $48.00bn | 99.9440 | 99.9382 | 1.277% | -0.006% | -0.00007% |
| 9127962S7 | 0.000% | Oct 22, 2020 | $53.07bn | – | $5.07bn | $48.00bn | 99.9417 | 99.9351 | 1.277% | -0.007% | -0.00008% |
| 912828PX2 | 3.625% | Feb 15, 2021 | $67.58bn | – | $25.30bn | $42.28bn | 103.4756 | 103.5031 | 1.165% | +0.027% | +0.00031% |
| 912796UC1 | 0.000% | Jan 28, 2021 | $51.36bn | – | $8.17bn | $43.19bn | 99.8863 | 99.8848 | 1.149% | -0.001% | -0.00002% |
| 9127962J7 | 0.000% | Oct 1, 2020 | $43.79bn | – | $1.79bn | $42.00bn | 99.9487 | 99.9410 | 1.118% | -0.008% | -0.00009% |
| 9127963D9 | 0.000% | Jul 14, 2020 | $40.00bn | – | – | $40.00bn | 99.9854 | 99.9834 | 1.065% | -0.002% | -0.00002% |
| 9127963F4 | 0.000% | Jul 21, 2020 | $40.00bn | – | – | $40.00bn | 99.9795 | 99.9809 | 1.065% | +0.001% | +0.00001% |
| 9127963X5 | 0.000% | Sep 8, 2020 | $40.00bn | – | – | $40.00bn | 99.9600 | 99.9547 | 1.065% | -0.005% | -0.00006% |
| 9127963Y3 | 0.000% | Sep 15, 2020 | $40.00bn | – | – | $40.00bn | 99.9578 | 99.9485 | 1.065% | -0.009% | -0.00010% |
| 9127962H1 | 0.000% | Sep 24, 2020 | $40.73bn | – | $1.73bn | $39.00bn | 99.9469 | 99.9443 | 1.038% | -0.003% | -0.00003% |
| 9127962G3 | 0.000% | Sep 17, 2020 | $37.23bn | – | $1.23bn | $36.00bn | 99.9572 | 99.9476 | 0.958% | -0.010% | -0.00009% |
| 9128284Y3 | 2.625% | Aug 31, 2020 | $38.54bn | – | $4.67bn | $33.87bn | 101.2548 | 101.2571 | 0.913% | +0.002% | +0.00002% |
| 912796XH7 | 0.000% | Sep 3, 2020 | $41.33bn | – | $7.21bn | $34.12bn | 99.9545 | 99.9569 | 0.908% | +0.002% | +0.00002% |
| 912828XH8 | 1.625% | Jun 30, 2020 | $35.00bn | $7.0m | $1.94bn | $33.06bn | 100.7634 | 100.7768 | 0.887% | +0.013% | +0.00012% |
| 9128285Q9 | 2.750% | Nov 30, 2020 | $42.42bn | – | $10.01bn | $32.42bn | 102.6496 | 101.2888 | 0.886% | +0.014% | +0.00012% |
| 912828XY1 | 2.500% | Jun 30, 2020 | $38.23bn | – | $6.40bn | $31.83bn | 101.1504 | 101.2071 | 0.857% | +0.056% | +0.00048% |
| 912828L32 | 1.375% | Aug 31, 2020 | $35.00bn | – | $3.40bn | $31.60bn | 100.6379 | 100.6287 | 0.847% | -0.009% | -0.00008% |
| 9128285G1 | 2.875% | Oct 31, 2020 | $38.00bn | – | $6.89bn | $31.11bn | 101.3516 | 101.3750 | 0.840% | +0.023% | +0.00019% |
| 912828Y46 | 2.625% | Jul 31, 2020 | $36.90bn | – | $5.92bn | $30.98bn | 101.2813 | 101.2861 | 0.835% | +0.005% | +0.00004% |
| 912828L99 | 1.375% | Oct 31, 2020 | $35.00bn | – | $4.19bn | $30.81bn | 100.5975 | 100.6196 | 0.825% | +0.022% | +0.00018% |
| 912828L65 | 1.375% | Sep 30, 2020 | $35.00bn | $9.0m | $4.41bn | $30.59bn | 100.6165 | 100.6392 | 0.819% | +0.023% | +0.00018% |
| 912828Q37 | 1.250% | Mar 31, 2021 | $42.10bn | – | $11.74bn | $30.36bn | 101.0746 | 101.1180 | 0.817% | +0.043% | +0.00035% |
| 912828NT3 | 2.625% | Aug 15, 2020 | $67.85bn | – | $37.72bn | $30.13bn | 101.2668 | 101.2716 | 0.812% | +0.005% | +0.00004% |
| 912828N89 | 1.375% | Jan 31, 2021 | $35.64bn | – | $5.52bn | $30.11bn | 101.2500 | 101.2734 | 0.812% | +0.023% | +0.00019% |
| 9127963G2 | 0.000% | Jul 28, 2020 | $30.00bn | – | – | $30.00bn | 99.9778 | 99.9767 | 0.799% | -0.001% | -0.00001% |
| 9127963M9 | 0.000% | Aug 4, 2020 | $30.00bn | – | – | $30.00bn | 99.9733 | 99.9758 | 0.799% | +0.002% | +0.00002% |
| 9127963N7 | 0.000% | Aug 11, 2020 | $30.00bn | – | – | $30.00bn | 99.9685 | 99.9733 | 0.798% | +0.005% | +0.00004% |
| 9127963Z0 | 0.000% | Sep 22, 2020 | $30.00bn | – | – | $30.00bn | 99.9557 | 99.9484 | 0.798% | -0.007% | -0.00006% |
| 9127964A4 | 0.000% | Sep 29, 2020 | $30.00bn | – | – | $30.00bn | 99.9536 | 99.9453 | 0.798% | -0.008% | -0.00007% |
| 9128285B2 | 2.750% | Sep 30, 2020 | $37.00bn | – | $7.44bn | $29.56bn | 101.3267 | 101.3096 | 0.797% | -0.017% | -0.00013% |
| 912828M98 | 1.625% | Nov 30, 2020 | $35.00bn | $2.0m | $5.52bn | $29.48bn | 101.5231 | 100.7232 | 0.797% | +0.012% | +0.00010% |
| 912828Q78 | 1.375% | Apr 30, 2021 | $43.04bn | – | $13.61bn | $29.43bn | 101.1912 | 101.2133 | 0.793% | +0.022% | +0.00017% |
| 9128285X4 | 2.500% | Jan 31, 2021 | $40.00bn | – | $11.09bn | $28.91bn | 102.3438 | 102.4004 | 0.788% | +0.055% | +0.00044% |
| 912828P87 | 1.125% | Feb 28, 2021 | $45.40bn | – | $16.18bn | $29.21bn | 100.9708 | 100.9718 | 0.785% | +0.001% | +0.00001% |
| 912828XM7 | 1.625% | Jul 31, 2020 | $35.00bn | $8.0m | $5.81bn | $29.18bn | 100.7500 | 100.7946 | 0.783% | +0.044% | +0.00035% |
| 9128285S5 | 2.500% | Dec 31, 2020 | $40.00bn | – | $11.73bn | $28.27bn | 102.3692 | 102.3946 | 0.771% | +0.025% | +0.00019% |
| 9128286D7 | 2.500% | Feb 28, 2021 | $41.93bn | – | $14.55bn | $27.37bn | 102.3587 | 102.3505 | 0.746% | -0.008% | -0.00006% |
| 9127962Q1 | 0.000% | Apr 22, 2021 | $30.95bn | – | $2.95bn | $28.00bn | 99.8512 | 99.8451 | 0.744% | -0.006% | -0.00005% |
| 912828N48 | 1.750% | Dec 31, 2020 | $35.00bn | $4.0m | $7.99bn | $27.01bn | 101.6490 | 101.6418 | 0.731% | -0.007% | -0.00005% |
| 9127962F5 | 0.000% | Mar 25, 2021 | $27.16bn | – | $1.16bn | $26.00bn | 99.8629 | 99.8500 | 0.691% | -0.013% | -0.00009% |
| 912828WC0 | 1.750% | Oct 31, 2020 | $29.00bn | – | $5.02bn | $23.98bn | 100.7860 | 100.8084 | 0.643% | +0.022% | +0.00014% |
| 9128284G2 | 2.375% | Apr 15, 2021 | $30.05bn | – | $6.70bn | $23.35bn | 102.1976 | 102.2112 | 0.635% | +0.013% | +0.00008% |
| 912828VV9 | 2.125% | Aug 31, 2020 | $29.00bn | – | $5.79bn | $23.21bn | 101.0143 | 101.0058 | 0.624% | -0.008% | -0.00005% |
| 912828XU9 | 1.500% | Jun 15, 2020 | $24.00bn | – | $1.31bn | $22.69bn | 100.6906 | 100.7239 | 0.608% | +0.033% | +0.00020% |
| 9128284B3 | 2.375% | Mar 15, 2021 | $28.00bn | – | $5.68bn | $22.32bn | 102.2096 | 102.2221 | 0.607% | +0.012% | +0.00007% |
| 9128282Z2 | 1.625% | Oct 15, 2020 | $24.00bn | – | $2.00bn | $22.00bn | 100.7273 | 100.7399 | 0.590% | +0.013% | +0.00007% |
| 912828VP2 | 2.000% | Jul 31, 2020 | $29.00bn | – | $7.42bn | $21.58bn | 100.9375 | 100.9516 | 0.580% | +0.014% | +0.00008% |
| 9128282J8 | 1.500% | Jul 15, 2020 | $24.55bn | – | $2.96bn | $21.58bn | 100.6909 | 100.7249 | 0.579% | +0.034% | +0.00020% |
| 912828B90 | 2.000% | Feb 28, 2021 | $29.08bn | – | $7.75bn | $21.33bn | 101.8370 | 101.8492 | 0.578% | +0.012% | +0.00007% |
| 912828B58 | 2.125% | Jan 31, 2021 | $29.00bn | – | $8.48bn | $20.52bn | 102.0000 | 102.0247 | 0.557% | +0.024% | +0.00014% |
| 9128283X6 | 2.250% | Feb 15, 2021 | $30.91bn | – | $10.75bn | $20.17bn | 102.0635 | 102.1302 | 0.548% | +0.065% | +0.00036% |
| 9128283Q1 | 2.000% | Jan 15, 2021 | $24.81bn | – | $4.75bn | $20.06bn | 101.9004 | 101.8832 | 0.544% | -0.017% | -0.00009% |
| 912828A83 | 2.375% | Dec 31, 2020 | $29.00bn | – | $9.10bn | $19.90bn | 102.2335 | 102.2795 | 0.542% | +0.045% | +0.00024% |
| 912828A42 | 2.000% | Nov 30, 2020 | $29.00bn | – | $9.04bn | $19.96bn | 101.8986 | 100.9117 | 0.541% | +0.013% | +0.00007% |
| 9128282V1 | 1.375% | Sep 15, 2020 | $24.00bn | – | $3.87bn | $20.13bn | 100.6131 | 100.6352 | 0.539% | +0.022% | +0.00012% |
| 9128283L2 | 1.875% | Dec 15, 2020 | $24.00bn | – | $4.26bn | $19.74bn | 101.7695 | 101.8033 | 0.535% | +0.033% | +0.00018% |
| 912796XE4 | 0.000% | Feb 25, 2021 | $26.55bn | – | $6.63bn | $19.92bn | 99.8746 | 99.8640 | 0.530% | -0.011% | -0.00006% |
| 9128283G3 | 1.750% | Nov 15, 2020 | $26.92bn | – | $7.55bn | $19.37bn | 101.6827 | 100.7996 | 0.524% | -0.008% | -0.00004% |
| 912828VZ0 | 2.000% | Sep 30, 2020 | $29.00bn | – | $12.12bn | $16.88bn | 100.9194 | 100.9325 | 0.453% | +0.013% | +0.00006% |
| 912796TU3 | 0.000% | Dec 3, 2020 | $26.00bn | – | $9.15bn | $16.85bn | 99.9096 | 99.9164 | 0.448% | +0.007% | +0.00003% |
| 912796TP4 | 0.000% | Nov 5, 2020 | $28.00bn | – | $11.29bn | $16.71bn | 99.9317 | 99.9244 | 0.444% | -0.007% | -0.00003% |
| 912828VJ6 | 1.875% | Jun 30, 2020 | $29.00bn | – | $13.73bn | $15.27bn | 100.8784 | 100.9131 | 0.410% | +0.034% | +0.00014% |
| 9128282Q2 | 1.500% | Aug 15, 2020 | $31.22bn | – | $16.26bn | $14.96bn | 100.7194 | 100.6909 | 0.401% | -0.028% | -0.00011% |
| 912796TY5 | 0.000% | Dec 31, 2020 | $26.00bn | – | $12.36bn | $13.64bn | 99.9047 | 99.9040 | 0.363% | -0.001% | -0.00000% |
| 912810EG9 | 8.750% | Aug 15, 2020 | $21.41bn | $4.36bn | $11.94bn | $5.11bn | 104.2019 | 104.3534 | 0.142% | +0.145% | +0.00021% |
| 912810EH7 | 7.875% | Feb 15, 2021 | $11.11bn | $1.04bn | $7.05bn | $3.02bn | 107.6442 | 107.7837 | 0.087% | +0.130% | +0.00011% |
| Total | $3.74tn | 100.000% | +0.00665% | ||||||||
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.