Rebalance of August 31, 2020
1-12 Month constituents
Every one of the 92 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
- 92
- Weights sum to
- 100.0000%
- Contributions sum to
- +0.010810%
- Market value
- $4.72tn
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 +0.010810% against a published month return of +0.010810%, a difference of 3.6e-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 |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 912796TJ8 | 0.000% | Sep 10, 2020 | $197.42bn | – | $14.70bn | $182.72bn | 99.9886 | 99.9978 | 3.869% | +0.009% | +0.00035% |
| 912796XH7 | 0.000% | Sep 3, 2020 | $169.82bn | – | $12.70bn | $157.12bn | 99.9915 | 99.9993 | 3.327% | +0.008% | +0.00026% |
| 912796TN9 | 0.000% | Oct 8, 2020 | $176.67bn | – | $21.11bn | $155.56bn | 99.9827 | 99.9905 | 3.293% | +0.008% | +0.00026% |
| 9127962T5 | 0.000% | Oct 29, 2020 | $146.49bn | – | $3.23bn | $143.26bn | 99.9775 | 99.9836 | 3.033% | +0.006% | +0.00019% |
| 9127962R9 | 0.000% | Oct 15, 2020 | $153.50bn | – | $11.50bn | $142.00bn | 99.9810 | 99.9875 | 3.006% | +0.007% | +0.00020% |
| 9127962S7 | 0.000% | Oct 22, 2020 | $155.44bn | – | $13.44bn | $142.00bn | 99.9792 | 99.9856 | 3.006% | +0.006% | +0.00019% |
| 9127962G3 | 0.000% | Sep 17, 2020 | $144.39bn | – | $8.39bn | $136.00bn | 99.9880 | 99.9962 | 2.880% | +0.008% | +0.00024% |
| 9127962H1 | 0.000% | Sep 24, 2020 | $139.92bn | – | $3.92bn | $136.00bn | 99.9862 | 99.9947 | 2.880% | +0.008% | +0.00024% |
| 9127962J7 | 0.000% | Oct 1, 2020 | $144.75bn | – | $8.75bn | $136.00bn | 99.9845 | 99.9922 | 2.879% | +0.008% | +0.00022% |
| 9127963X5 | 0.000% | Sep 8, 2020 | $123.33bn | – | $3.33bn | $120.00bn | 99.9903 | 99.9982 | 2.541% | +0.008% | +0.00020% |
| 9127963Y3 | 0.000% | Sep 15, 2020 | $117.67bn | – | $2.67bn | $115.00bn | 99.9885 | 99.9967 | 2.435% | +0.008% | +0.00020% |
| 9127963Z0 | 0.000% | Sep 22, 2020 | $108.45bn | – | $3.45bn | $105.00bn | 99.9838 | 99.9945 | 2.223% | +0.011% | +0.00024% |
| 912796TP4 | 0.000% | Nov 5, 2020 | $118.75bn | – | $16.04bn | $102.71bn | 99.9731 | 99.9817 | 2.174% | +0.009% | +0.00019% |
| 912796UC1 | 0.000% | Jan 28, 2021 | $108.27bn | – | $8.17bn | $100.10bn | 99.9497 | 99.9542 | 2.119% | +0.004% | +0.00009% |
| 9127962Z1 | 0.000% | Nov 12, 2020 | $94.05bn | – | $5.05bn | $89.00bn | 99.9711 | 99.9797 | 1.884% | +0.009% | +0.00016% |
| 9127963A5 | 0.000% | Nov 19, 2020 | $91.25bn | – | $7.25bn | $84.00bn | 99.9692 | 99.9800 | 1.778% | +0.011% | +0.00019% |
| 9127963B3 | 0.000% | Nov 27, 2020 | $88.43bn | – | $4.43bn | $84.00bn | 99.9669 | 99.9756 | 1.778% | +0.009% | +0.00015% |
| 912796TU3 | 0.000% | Dec 3, 2020 | $84.71bn | – | $13.85bn | $70.85bn | 99.9653 | 99.9739 | 1.500% | +0.009% | +0.00013% |
| 9127964A4 | 0.000% | Sep 29, 2020 | $65.00bn | – | – | $65.00bn | 99.9850 | 99.9928 | 1.376% | +0.008% | +0.00011% |
| 9127964G1 | 0.000% | Oct 6, 2020 | $65.00bn | – | – | $65.00bn | 99.9832 | 99.9900 | 1.376% | +0.007% | +0.00009% |
| 9127964H9 | 0.000% | Oct 13, 2020 | $65.00bn | – | – | $65.00bn | 99.9815 | 99.9892 | 1.376% | +0.008% | +0.00011% |
| 9127964J5 | 0.000% | Oct 20, 2020 | $65.00bn | – | – | $65.00bn | 99.9797 | 99.9875 | 1.376% | +0.008% | +0.00011% |
| 9127964K2 | 0.000% | Oct 27, 2020 | $65.00bn | – | – | $65.00bn | 99.9780 | 99.9842 | 1.376% | +0.006% | +0.00008% |
| 9127964Q9 | 0.000% | Nov 3, 2020 | $65.00bn | – | – | $65.00bn | 99.9762 | 99.9840 | 1.376% | +0.008% | +0.00011% |
| 9127964R7 | 0.000% | Nov 10, 2020 | $65.00bn | – | – | $65.00bn | 99.9717 | 99.9822 | 1.376% | +0.011% | +0.00015% |
| 912796TY5 | 0.000% | Dec 31, 2020 | $83.57bn | – | $18.93bn | $64.64bn | 99.9532 | 99.9627 | 1.368% | +0.009% | +0.00013% |
| 9127963J6 | 0.000% | Dec 10, 2020 | $57.32bn | – | $3.32bn | $54.00bn | 99.9633 | 99.9719 | 1.143% | +0.009% | +0.00010% |
| 9127963K3 | 0.000% | Dec 17, 2020 | $60.44bn | – | $6.44bn | $54.00bn | 99.9614 | 99.9700 | 1.143% | +0.009% | +0.00010% |
| 9127963L1 | 0.000% | Dec 24, 2020 | $56.07bn | – | $2.07bn | $54.00bn | 99.9594 | 99.9649 | 1.143% | +0.005% | +0.00006% |
| 9127963T4 | 0.000% | Jan 7, 2021 | $56.28bn | – | $5.28bn | $51.00bn | 99.9556 | 99.9606 | 1.079% | +0.005% | +0.00005% |
| 9127963U1 | 0.000% | Jan 14, 2021 | $57.87bn | – | $6.87bn | $51.00bn | 99.9536 | 99.9584 | 1.079% | +0.005% | +0.00005% |
| 9127963V9 | 0.000% | Jan 21, 2021 | $58.91bn | – | $7.91bn | $51.00bn | 99.9517 | 99.9563 | 1.079% | +0.005% | +0.00005% |
| 9127962Q1 | 0.000% | Apr 22, 2021 | $50.95bn | – | $2.95bn | $48.00bn | 99.9190 | 99.9285 | 1.016% | +0.009% | +0.00010% |
| 912828C57 | 2.250% | Mar 31, 2021 | $69.00bn | – | $22.09bn | $46.91bn | 102.1434 | 102.1655 | 1.015% | +0.022% | +0.00022% |
| 9127962F5 | 0.000% | Mar 25, 2021 | $47.16bn | – | $1.16bn | $46.00bn | 99.9276 | 99.9371 | 0.973% | +0.009% | +0.00009% |
| 912796XE4 | 0.000% | Feb 25, 2021 | $51.55bn | – | $6.63bn | $44.92bn | 99.9361 | 99.9407 | 0.951% | +0.005% | +0.00004% |
| 912828PC8 | 2.625% | Nov 15, 2020 | $67.41bn | – | $23.26bn | $44.15bn | 101.2582 | 101.2775 | 0.947% | +0.019% | +0.00018% |
| 912828WG1 | 2.250% | Apr 30, 2021 | $69.51bn | – | $26.93bn | $42.58bn | 102.1433 | 102.1644 | 0.921% | +0.021% | +0.00019% |
| 912828PX2 | 3.625% | Feb 15, 2021 | $67.58bn | – | $26.37bn | $41.22bn | 103.5367 | 101.7612 | 0.904% | +0.036% | +0.00032% |
| 9127964S5 | 0.000% | Nov 17, 2020 | $40.00bn | – | – | $40.00bn | 99.9697 | 99.9805 | 0.847% | +0.011% | +0.00009% |
| 9127964T3 | 0.000% | Nov 24, 2020 | $40.00bn | – | – | $40.00bn | 99.9678 | 99.9764 | 0.847% | +0.009% | +0.00007% |
| 9127964U0 | 0.000% | Dec 1, 2020 | $35.00bn | – | – | $35.00bn | 99.9658 | 99.9744 | 0.741% | +0.009% | +0.00006% |
| 9127963H0 | 0.000% | Jun 17, 2021 | $38.05bn | – | $4.05bn | $34.00bn | 99.8930 | 99.9114 | 0.719% | +0.018% | +0.00013% |
| 9127963S6 | 0.000% | Jul 15, 2021 | $38.58bn | – | $4.58bn | $34.00bn | 99.8837 | 99.8852 | 0.719% | +0.002% | +0.00001% |
| 9128287F1 | 1.750% | Jul 31, 2021 | $41.59bn | – | $9.32bn | $32.27bn | 101.6080 | 101.6209 | 0.694% | +0.013% | +0.00009% |
| 912828S27 | 1.125% | Jun 30, 2021 | $38.96bn | – | $7.34bn | $31.62bn | 101.0102 | 101.0051 | 0.676% | -0.005% | -0.00003% |
| 9128285Q9 | 2.750% | Nov 30, 2020 | $42.42bn | – | $11.17bn | $31.26bn | 101.3246 | 101.3550 | 0.671% | +0.030% | +0.00020% |
| 912828S76 | 1.125% | Jul 31, 2021 | $36.37bn | – | $5.54bn | $30.84bn | 100.9779 | 101.0041 | 0.659% | +0.026% | +0.00017% |
| 9127962Y4 | 0.000% | May 20, 2021 | $35.16bn | – | $4.16bn | $31.00bn | 99.9105 | 99.9272 | 0.656% | +0.017% | +0.00011% |
| 9128285G1 | 2.875% | Oct 31, 2020 | $38.00bn | – | $8.34bn | $29.66bn | 101.3984 | 101.4063 | 0.637% | +0.008% | +0.00005% |
| 9127965B1 | 0.000% | Dec 8, 2020 | $30.00bn | – | – | $30.00bn | 99.9639 | 99.9725 | 0.635% | +0.009% | +0.00005% |
| 9127965C9 | 0.000% | Dec 15, 2020 | $30.00bn | – | – | $30.00bn | 99.9619 | 99.9706 | 0.635% | +0.009% | +0.00005% |
| 9127965D7 | 0.000% | Dec 22, 2020 | $30.00bn | – | – | $30.00bn | 99.9600 | 99.9686 | 0.635% | +0.009% | +0.00005% |
| 9127965F2 | 0.000% | Dec 29, 2020 | $30.00bn | – | – | $30.00bn | 99.9581 | 99.9633 | 0.635% | +0.005% | +0.00003% |
| 912828L65 | 1.375% | Sep 30, 2020 | $35.00bn | $9.0m | $5.21bn | $29.78bn | 100.6571 | 100.6723 | 0.635% | +0.015% | +0.00010% |
| 912828N89 | 1.375% | Jan 31, 2021 | $35.64bn | – | $6.46bn | $29.18bn | 100.6362 | 100.6508 | 0.622% | +0.015% | +0.00009% |
| 912828L99 | 1.375% | Oct 31, 2020 | $35.00bn | – | $6.02bn | $28.98bn | 100.6362 | 100.6508 | 0.618% | +0.015% | +0.00009% |
| 9128285B2 | 2.750% | Sep 30, 2020 | $37.00bn | – | $8.40bn | $28.60bn | 101.3455 | 101.3759 | 0.614% | +0.030% | +0.00018% |
| 912828R77 | 1.375% | May 31, 2021 | $42.67bn | – | $14.19bn | $28.48bn | 101.2717 | 101.2869 | 0.611% | +0.015% | +0.00009% |
| 912828Q37 | 1.250% | Mar 31, 2021 | $42.10bn | – | $14.06bn | $28.04bn | 101.1769 | 101.1822 | 0.601% | +0.005% | +0.00003% |
| 912828P87 | 1.125% | Feb 28, 2021 | $45.40bn | – | $17.34bn | $28.06bn | 101.0394 | 100.5031 | 0.600% | +0.026% | +0.00016% |
| 912828M98 | 1.625% | Nov 30, 2020 | $35.00bn | $2.0m | $7.04bn | $27.96bn | 100.7529 | 100.7879 | 0.597% | +0.035% | +0.00021% |
| 912828Q78 | 1.375% | Apr 30, 2021 | $43.04bn | – | $15.35bn | $27.69bn | 101.2925 | 101.2758 | 0.594% | -0.016% | -0.00010% |
| 9128286V7 | 2.125% | May 31, 2021 | $44.20bn | – | $17.05bn | $27.16bn | 101.9966 | 102.0087 | 0.587% | +0.012% | +0.00007% |
| 912828WY2 | 2.250% | Jul 31, 2021 | $29.01bn | – | $1.91bn | $27.10bn | 102.1121 | 102.1019 | 0.586% | -0.010% | -0.00006% |
| 9128285S5 | 2.500% | Dec 31, 2020 | $40.00bn | – | $13.25bn | $26.75bn | 101.1997 | 101.2092 | 0.573% | +0.009% | +0.00005% |
| 912828N48 | 1.750% | Dec 31, 2020 | $35.00bn | $4.0m | $8.24bn | $26.75bn | 100.8179 | 100.8308 | 0.571% | +0.013% | +0.00007% |
| 9128285X4 | 2.500% | Jan 31, 2021 | $40.00bn | – | $13.59bn | $26.41bn | 101.1766 | 101.2174 | 0.566% | +0.040% | +0.00023% |
| 912828Y20 | 2.625% | Jul 15, 2021 | $33.13bn | – | $7.62bn | $25.51bn | 102.4793 | 102.4986 | 0.554% | +0.019% | +0.00010% |
| 9128286D7 | 2.500% | Feb 28, 2021 | $41.93bn | – | $16.55bn | $25.38bn | 102.4348 | 101.1944 | 0.551% | +0.009% | +0.00005% |
| 912828QN3 | 3.125% | May 15, 2021 | $66.00bn | – | $41.06bn | $24.94bn | 102.9918 | 103.0194 | 0.544% | +0.027% | +0.00015% |
| 912828WR7 | 2.125% | Jun 30, 2021 | $29.00bn | – | $4.78bn | $24.22bn | 101.9776 | 102.0200 | 0.523% | +0.042% | +0.00022% |
| 9128287A2 | 1.625% | Jun 30, 2021 | $42.29bn | – | $18.10bn | $24.19bn | 101.4939 | 101.4969 | 0.520% | +0.003% | +0.00002% |
| 912828WN6 | 2.000% | May 31, 2021 | $29.01bn | – | $4.93bn | $24.08bn | 101.8810 | 101.8832 | 0.519% | +0.002% | +0.00001% |
| 9128284G2 | 2.375% | Apr 15, 2021 | $30.05bn | – | $7.28bn | $22.77bn | 102.2763 | 102.3082 | 0.493% | +0.031% | +0.00015% |
| 912828WC0 | 1.750% | Oct 31, 2020 | $29.00bn | – | $6.25bn | $22.75bn | 100.8268 | 100.8709 | 0.486% | +0.044% | +0.00021% |
| 9128284T4 | 2.625% | Jun 15, 2021 | $32.00bn | – | $10.11bn | $21.89bn | 102.5077 | 102.5282 | 0.475% | +0.020% | +0.00009% |
| 9128284P2 | 2.625% | May 15, 2021 | $38.47bn | – | $17.29bn | $21.18bn | 102.5082 | 102.5275 | 0.460% | +0.019% | +0.00009% |
| 9128284B3 | 2.375% | Mar 15, 2021 | $28.00bn | – | $7.24bn | $20.77bn | 102.2850 | 102.3159 | 0.450% | +0.030% | +0.00014% |
| 9128282Z2 | 1.625% | Oct 15, 2020 | $24.00bn | – | $3.08bn | $20.92bn | 100.7696 | 100.8046 | 0.446% | +0.035% | +0.00016% |
| 912828B90 | 2.000% | Feb 28, 2021 | $29.08bn | – | $8.92bn | $20.16bn | 101.9103 | 100.9430 | 0.435% | +0.032% | +0.00014% |
| 912828B58 | 2.125% | Jan 31, 2021 | $29.00bn | – | $9.18bn | $19.82bn | 100.9861 | 101.0285 | 0.424% | +0.042% | +0.00018% |
| 9128282V1 | 1.375% | Sep 15, 2020 | $24.00bn | – | $4.44bn | $19.56bn | 100.6831 | 100.6664 | 0.417% | -0.017% | -0.00007% |
| 9128283X6 | 2.250% | Feb 15, 2021 | $30.91bn | – | $11.67bn | $19.24bn | 102.1758 | 101.0727 | 0.416% | +0.021% | +0.00009% |
| 912828A42 | 2.000% | Nov 30, 2020 | $29.00bn | – | $9.68bn | $19.32bn | 100.9435 | 100.9769 | 0.413% | +0.033% | +0.00014% |
| 912828A83 | 2.375% | Dec 31, 2020 | $29.00bn | – | $9.85bn | $19.15bn | 101.1257 | 101.1566 | 0.410% | +0.031% | +0.00013% |
| 9128283L2 | 1.875% | Dec 15, 2020 | $24.00bn | – | $5.03bn | $18.97bn | 100.9073 | 100.9308 | 0.405% | +0.023% | +0.00009% |
| 9128283Q1 | 2.000% | Jan 15, 2021 | $24.81bn | – | $6.23bn | $18.58bn | 100.9470 | 100.9484 | 0.397% | +0.001% | +0.00001% |
| 9128283G3 | 1.750% | Nov 15, 2020 | $26.92bn | – | $8.86bn | $18.06bn | 100.8492 | 100.8621 | 0.386% | +0.013% | +0.00005% |
| 912828VZ0 | 2.000% | Sep 30, 2020 | $29.00bn | – | $12.17bn | $16.83bn | 100.9643 | 100.9978 | 0.360% | +0.033% | +0.00012% |
| 912810EH7 | 7.875% | Feb 15, 2021 | $11.11bn | $1.04bn | $7.05bn | $3.02bn | 107.7404 | 103.8950 | 0.069% | +0.086% | +0.00006% |
| 912810EJ3 | 8.125% | May 15, 2021 | $11.95bn | $1.89bn | $7.05bn | $3.01bn | 107.9538 | 107.9378 | 0.069% | -0.015% | -0.00001% |
| Total | $4.70tn | 100.000% | +0.01081% | ||||||||
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.