Rebalance of October 30, 2020
1-12 Month constituents
Every one of the 94 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
- 94
- Weights sum to
- 100.0000%
- Contributions sum to
- +0.009947%
- Market value
- $4.58tn
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 +0.009947% against a published month return of +0.009947%, a difference of 1.7e-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 |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 912796TP4 | 0.000% | Nov 5, 2020 | $208.69bn | – | $21.98bn | $186.71bn | 99.9910 | 99.9988 | 4.079% | +0.008% | +0.00032% |
| 912796TU3 | 0.000% | Dec 3, 2020 | $175.24bn | – | $20.39bn | $154.85bn | 99.9822 | 99.9906 | 3.383% | +0.008% | +0.00028% |
| 9127962Z1 | 0.000% | Nov 12, 2020 | $154.40bn | – | $11.40bn | $143.00bn | 99.9892 | 99.9975 | 3.124% | +0.008% | +0.00026% |
| 9127963A5 | 0.000% | Nov 19, 2020 | $152.18bn | – | $14.18bn | $138.00bn | 99.9861 | 99.9956 | 3.015% | +0.009% | +0.00028% |
| 9127963B3 | 0.000% | Nov 27, 2020 | $146.90bn | – | $8.89bn | $138.00bn | 99.9839 | 99.9938 | 3.015% | +0.010% | +0.00030% |
| 9127963J6 | 0.000% | Dec 10, 2020 | $147.03bn | – | $9.03bn | $138.00bn | 99.9822 | 99.9886 | 3.015% | +0.006% | +0.00019% |
| 9127963K3 | 0.000% | Dec 17, 2020 | $148.75bn | – | $10.75bn | $138.00bn | 99.9783 | 99.9867 | 3.015% | +0.008% | +0.00025% |
| 9127963L1 | 0.000% | Dec 24, 2020 | $142.08bn | – | $4.08bn | $138.00bn | 99.9764 | 99.9862 | 3.015% | +0.010% | +0.00030% |
| 9127964Q9 | 0.000% | Nov 3, 2020 | $103.40bn | – | $3.40bn | $100.00bn | 99.9924 | 99.9993 | 2.185% | +0.007% | +0.00015% |
| 9127964R7 | 0.000% | Nov 10, 2020 | $102.78bn | – | $2.78bn | $100.00bn | 99.9909 | 99.9979 | 2.185% | +0.007% | +0.00015% |
| 9127964S5 | 0.000% | Nov 17, 2020 | $103.40bn | – | $3.40bn | $100.00bn | 99.9880 | 99.9965 | 2.185% | +0.009% | +0.00019% |
| 9127964T3 | 0.000% | Nov 24, 2020 | $103.33bn | – | $3.32bn | $100.00bn | 99.9862 | 99.9938 | 2.185% | +0.008% | +0.00016% |
| 9127962F5 | 0.000% | Mar 25, 2021 | $100.06bn | $6.0m | $3.06bn | $96.99bn | 99.9511 | 99.9594 | 2.118% | +0.008% | +0.00018% |
| 912796XE4 | 0.000% | Feb 25, 2021 | $106.77bn | – | $10.85bn | $95.92bn | 99.9589 | 99.9639 | 2.095% | +0.005% | +0.00011% |
| 912796TY5 | 0.000% | Dec 31, 2020 | $113.57bn | – | $18.93bn | $94.64bn | 99.9744 | 99.9845 | 2.067% | +0.010% | +0.00021% |
| 912796UC1 | 0.000% | Jan 28, 2021 | $108.27bn | $4.0m | $14.07bn | $94.19bn | 99.9633 | 99.9750 | 2.057% | +0.012% | +0.00024% |
| 9127963U1 | 0.000% | Jan 14, 2021 | $87.87bn | – | $6.87bn | $81.00bn | 99.9676 | 99.9810 | 1.769% | +0.013% | +0.00024% |
| 9127963T4 | 0.000% | Jan 7, 2021 | $86.28bn | $4.0m | $5.28bn | $81.00bn | 99.9725 | 99.9827 | 1.769% | +0.010% | +0.00018% |
| 9127963V9 | 0.000% | Jan 21, 2021 | $88.91bn | – | $7.91bn | $81.00bn | 99.9655 | 99.9769 | 1.769% | +0.011% | +0.00020% |
| 9127964U0 | 0.000% | Dec 1, 2020 | $60.00bn | – | – | $60.00bn | 99.9845 | 99.9920 | 1.311% | +0.008% | +0.00010% |
| 9127965B1 | 0.000% | Dec 8, 2020 | $55.00bn | – | – | $55.00bn | 99.9808 | 99.9892 | 1.202% | +0.008% | +0.00010% |
| 9127965D7 | 0.000% | Dec 22, 2020 | $55.00bn | – | – | $55.00bn | 99.9792 | 99.9868 | 1.202% | +0.008% | +0.00009% |
| 9127965C9 | 0.000% | Dec 15, 2020 | $55.00bn | – | – | $55.00bn | 99.9789 | 99.9898 | 1.201% | +0.011% | +0.00013% |
| 9127965F2 | 0.000% | Dec 29, 2020 | $55.00bn | – | – | $55.00bn | 99.9775 | 99.9833 | 1.201% | +0.006% | +0.00007% |
| 912796A58 | 0.000% | Jan 5, 2021 | $55.00bn | – | – | $55.00bn | 99.9731 | 99.9832 | 1.201% | +0.010% | +0.00012% |
| 912796A66 | 0.000% | Jan 12, 2021 | $55.00bn | – | – | $55.00bn | 99.9682 | 99.9815 | 1.201% | +0.013% | +0.00016% |
| 9127964C0 | 0.000% | Feb 11, 2021 | $56.99bn | – | $5.99bn | $51.00bn | 99.9628 | 99.9711 | 1.114% | +0.008% | +0.00009% |
| 9127963W7 | 0.000% | Feb 4, 2021 | $56.61bn | – | $5.61bn | $51.00bn | 99.9612 | 99.9731 | 1.114% | +0.012% | +0.00013% |
| 9127964F3 | 0.000% | Mar 4, 2021 | $57.17bn | – | $6.17bn | $51.00bn | 99.9569 | 99.9618 | 1.114% | +0.005% | +0.00005% |
| 9127964D8 | 0.000% | Feb 18, 2021 | $57.55bn | – | $6.55bn | $51.00bn | 99.9569 | 99.9692 | 1.114% | +0.012% | +0.00014% |
| 9127964M8 | 0.000% | Mar 11, 2021 | $56.39bn | – | $5.39bn | $51.00bn | 99.9550 | 99.9633 | 1.114% | +0.008% | +0.00009% |
| 9127964N6 | 0.000% | Mar 18, 2021 | $55.07bn | – | $4.07bn | $51.00bn | 99.9531 | 99.9614 | 1.114% | +0.008% | +0.00009% |
| 9127962Q1 | 0.000% | Apr 22, 2021 | $50.95bn | – | $2.95bn | $48.00bn | 99.9377 | 99.9420 | 1.048% | +0.004% | +0.00005% |
| 912828C57 | 2.250% | Mar 31, 2021 | $69.00bn | – | $23.39bn | $45.61bn | 101.0687 | 101.0790 | 1.007% | +0.010% | +0.00010% |
| 912828PC8 | 2.625% | Nov 15, 2020 | $67.41bn | – | $24.26bn | $43.15bn | 101.3040 | 101.3135 | 0.955% | +0.009% | +0.00009% |
| 912828WG1 | 2.250% | Apr 30, 2021 | $69.51bn | – | $27.26bn | $42.25bn | 102.1916 | 101.0749 | 0.943% | +0.008% | +0.00008% |
| 912828PX2 | 3.625% | Feb 15, 2021 | $67.58bn | – | $26.37bn | $41.22bn | 101.7755 | 101.7782 | 0.917% | +0.003% | +0.00002% |
| 912828RC6 | 2.125% | Aug 15, 2021 | $66.73bn | – | $33.36bn | $33.38bn | 101.9901 | 102.0187 | 0.744% | +0.028% | +0.00021% |
| 9127963S6 | 0.000% | Jul 15, 2021 | $38.58bn | – | $4.58bn | $34.00bn | 99.9120 | 99.9283 | 0.742% | +0.016% | +0.00012% |
| 9127964B2 | 0.000% | Aug 12, 2021 | $38.00bn | – | $4.00bn | $34.00bn | 99.9034 | 99.9126 | 0.742% | +0.009% | +0.00007% |
| 9127963H0 | 0.000% | Jun 17, 2021 | $38.05bn | $8.0m | $4.05bn | $33.99bn | 99.9206 | 99.9361 | 0.742% | +0.016% | +0.00012% |
| 9127964L0 | 0.000% | Sep 9, 2021 | $37.60bn | – | $3.60bn | $34.00bn | 99.8853 | 99.8953 | 0.742% | +0.010% | +0.00007% |
| 912828YJ3 | 1.500% | Sep 30, 2021 | $44.16bn | – | $11.08bn | $33.08bn | 101.3791 | 101.3860 | 0.733% | +0.007% | +0.00005% |
| 9128287F1 | 1.750% | Jul 31, 2021 | $41.59bn | – | $10.45bn | $31.14bn | 101.6386 | 101.6658 | 0.692% | +0.027% | +0.00018% |
| 9128282F6 | 1.125% | Aug 31, 2021 | $36.33bn | – | $5.16bn | $31.16bn | 101.0026 | 101.0083 | 0.688% | +0.006% | +0.00004% |
| 912828S27 | 1.125% | Jun 30, 2021 | $38.96bn | – | $8.10bn | $30.86bn | 101.0343 | 101.0384 | 0.681% | +0.004% | +0.00003% |
| 9127962Y4 | 0.000% | May 20, 2021 | $35.16bn | $3.0m | $4.16bn | $31.00bn | 99.9291 | 99.9383 | 0.677% | +0.009% | +0.00006% |
| 9128285Q9 | 2.750% | Nov 30, 2020 | $42.42bn | – | $11.97bn | $30.45bn | 101.3617 | 101.3521 | 0.674% | -0.009% | -0.00006% |
| 912828S76 | 1.125% | Jul 31, 2021 | $36.37bn | – | $5.93bn | $30.45bn | 101.0333 | 101.0374 | 0.672% | +0.004% | +0.00003% |
| 912796A74 | 0.000% | Jan 19, 2021 | $30.00bn | – | – | $30.00bn | 99.9692 | 99.9797 | 0.655% | +0.011% | +0.00007% |
| 912796B65 | 0.000% | Feb 2, 2021 | $30.00bn | – | – | $30.00bn | 99.9653 | 99.9736 | 0.655% | +0.008% | +0.00005% |
| 912796A82 | 0.000% | Jan 26, 2021 | $30.00bn | – | – | $30.00bn | 99.9672 | 99.9780 | 0.655% | +0.011% | +0.00007% |
| 912796B73 | 0.000% | Feb 9, 2021 | $30.00bn | – | – | $30.00bn | 99.9633 | 99.9717 | 0.655% | +0.008% | +0.00005% |
| 912796B99 | 0.000% | Feb 23, 2021 | $30.00bn | – | – | $30.00bn | 99.9594 | 99.9710 | 0.655% | +0.012% | +0.00008% |
| 912796B81 | 0.000% | Feb 16, 2021 | $30.00bn | – | – | $30.00bn | 99.9575 | 99.9728 | 0.655% | +0.015% | +0.00010% |
| 912796C23 | 0.000% | Mar 2, 2021 | $30.00bn | – | – | $30.00bn | 99.9575 | 99.9658 | 0.655% | +0.008% | +0.00005% |
| 912828N89 | 1.375% | Jan 31, 2021 | $35.64bn | – | $6.59bn | $29.04bn | 100.6379 | 100.6637 | 0.639% | +0.026% | +0.00016% |
| 912828YC8 | 1.500% | Aug 31, 2021 | $45.19bn | – | $16.44bn | $28.75bn | 101.3785 | 101.3860 | 0.637% | +0.007% | +0.00005% |
| 912828M98 | 1.625% | Nov 30, 2020 | $35.00bn | $2.0m | $7.04bn | $27.96bn | 100.7961 | 100.8132 | 0.616% | +0.017% | +0.00010% |
| 912828R77 | 1.375% | May 31, 2021 | $42.67bn | – | $15.07bn | $27.60bn | 101.2746 | 101.3011 | 0.611% | +0.026% | +0.00016% |
| 912828P87 | 1.125% | Feb 28, 2021 | $45.40bn | – | $17.81bn | $27.58bn | 100.5026 | 100.5395 | 0.606% | +0.037% | +0.00022% |
| 912828T34 | 1.125% | Sep 30, 2021 | $36.07bn | – | $8.78bn | $27.29bn | 101.0031 | 101.0082 | 0.602% | +0.005% | +0.00003% |
| 912828Q78 | 1.375% | Apr 30, 2021 | $43.04bn | – | $15.92bn | $27.12bn | 101.2942 | 100.6326 | 0.600% | +0.026% | +0.00015% |
| 912828Q37 | 1.250% | Mar 31, 2021 | $42.10bn | – | $14.98bn | $27.12bn | 100.5659 | 100.5821 | 0.596% | +0.016% | +0.00010% |
| 912828WY2 | 2.250% | Jul 31, 2021 | $29.01bn | – | $2.45bn | $26.56bn | 102.1291 | 102.1685 | 0.593% | +0.039% | +0.00023% |
| 9128286V7 | 2.125% | May 31, 2021 | $44.20bn | – | $17.69bn | $26.52bn | 102.0266 | 102.0562 | 0.591% | +0.029% | +0.00017% |
| 912828N48 | 1.750% | Dec 31, 2020 | $35.00bn | $4.0m | $8.60bn | $26.40bn | 100.8485 | 100.8444 | 0.582% | -0.004% | -0.00002% |
| 912828D72 | 2.000% | Aug 31, 2021 | $29.00bn | – | $2.87bn | $26.13bn | 101.8588 | 101.8793 | 0.582% | +0.020% | +0.00012% |
| 912828F21 | 2.125% | Sep 30, 2021 | $29.00bn | – | $3.10bn | $25.90bn | 101.9746 | 102.0052 | 0.577% | +0.030% | +0.00017% |
| 9128285S5 | 2.500% | Dec 31, 2020 | $40.00bn | – | $14.10bn | $25.90bn | 101.2255 | 101.2242 | 0.573% | -0.001% | -0.00001% |
| 9128284W7 | 2.750% | Aug 15, 2021 | $38.57bn | – | $13.47bn | $25.10bn | 102.6325 | 102.6529 | 0.563% | +0.020% | +0.00011% |
| 9128285X4 | 2.500% | Jan 31, 2021 | $40.00bn | – | $14.60bn | $25.40bn | 101.2024 | 101.2323 | 0.562% | +0.030% | +0.00017% |
| 912828QN3 | 3.125% | May 15, 2021 | $66.00bn | – | $41.20bn | $24.81bn | 103.0241 | 103.0459 | 0.558% | +0.021% | +0.00012% |
| 912828Y20 | 2.625% | Jul 15, 2021 | $33.13bn | – | $8.56bn | $24.57bn | 102.5251 | 102.5346 | 0.550% | +0.009% | +0.00005% |
| 9128286D7 | 2.500% | Feb 28, 2021 | $41.93bn | – | $17.30bn | $24.63bn | 101.1828 | 101.2163 | 0.544% | +0.033% | +0.00018% |
| 912828WR7 | 2.125% | Jun 30, 2021 | $29.00bn | – | $4.82bn | $24.18bn | 102.0370 | 102.0343 | 0.539% | -0.003% | -0.00001% |
| 912828WN6 | 2.000% | May 31, 2021 | $29.01bn | – | $4.93bn | $24.08bn | 101.9221 | 101.9407 | 0.536% | +0.018% | +0.00010% |
| 9128287A2 | 1.625% | Jun 30, 2021 | $42.29bn | – | $18.13bn | $24.16bn | 101.5357 | 101.5520 | 0.536% | +0.016% | +0.00009% |
| 9128285A4 | 2.750% | Sep 15, 2021 | $35.00bn | – | $11.39bn | $23.61bn | 102.6215 | 102.6146 | 0.529% | -0.007% | -0.00004% |
| 9128284G2 | 2.375% | Apr 15, 2021 | $30.05bn | – | $7.37bn | $22.68bn | 102.3154 | 101.1174 | 0.507% | -0.010% | -0.00005% |
| 9128284T4 | 2.625% | Jun 15, 2021 | $32.00bn | – | $10.81bn | $21.19bn | 102.5246 | 102.5353 | 0.475% | +0.010% | +0.00005% |
| 9128284P2 | 2.625% | May 15, 2021 | $38.47bn | – | $17.75bn | $20.72bn | 102.5540 | 102.5635 | 0.464% | +0.009% | +0.00004% |
| 9128284B3 | 2.375% | Mar 15, 2021 | $28.00bn | – | $7.27bn | $20.73bn | 101.1362 | 101.1274 | 0.458% | -0.009% | -0.00004% |
| 912828B58 | 2.125% | Jan 31, 2021 | $29.00bn | – | $9.35bn | $19.65bn | 101.0143 | 101.0428 | 0.434% | +0.028% | +0.00012% |
| 912828A42 | 2.000% | Nov 30, 2020 | $29.00bn | – | $9.71bn | $19.29bn | 100.9846 | 101.0032 | 0.426% | +0.018% | +0.00008% |
| 912828B90 | 2.000% | Feb 28, 2021 | $29.08bn | – | $9.84bn | $19.24bn | 100.9525 | 100.9731 | 0.424% | +0.020% | +0.00009% |
| 912828A83 | 2.375% | Dec 31, 2020 | $29.00bn | – | $10.00bn | $19.00bn | 101.1627 | 101.1505 | 0.420% | -0.012% | -0.00005% |
| 9128283L2 | 1.875% | Dec 15, 2020 | $24.00bn | – | $5.03bn | $18.97bn | 100.9283 | 100.9360 | 0.418% | +0.008% | +0.00003% |
| 9128283X6 | 2.250% | Feb 15, 2021 | $30.91bn | – | $12.04bn | $18.88bn | 101.0686 | 101.0768 | 0.417% | +0.008% | +0.00003% |
| 9128283Q1 | 2.000% | Jan 15, 2021 | $24.81bn | – | $6.48bn | $18.33bn | 100.9864 | 100.9728 | 0.404% | -0.013% | -0.00005% |
| 9128283G3 | 1.750% | Nov 15, 2020 | $26.92bn | – | $9.20bn | $17.72bn | 100.8798 | 100.8757 | 0.391% | -0.004% | -0.00002% |
| 912810EJ3 | 8.125% | May 15, 2021 | $11.95bn | $1.89bn | $7.05bn | $3.01bn | 107.9752 | 107.9942 | 0.071% | +0.018% | +0.00001% |
| 912810EH7 | 7.875% | Feb 15, 2021 | $11.11bn | $1.04bn | $7.05bn | $3.02bn | 103.8183 | 103.8468 | 0.069% | +0.027% | +0.00002% |
| 912810EK0 | 8.125% | Aug 15, 2021 | $12.16bn | $2.66bn | $6.65bn | $2.85bn | 107.9440 | 107.9317 | 0.067% | -0.011% | -0.00001% |
| Total | $4.56tn | 100.000% | +0.00995% | ||||||||
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.