Rebalance of July 30, 2021
1-12 Month constituents
Every one of the 91 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
- 91
- Weights sum to
- 100.0000%
- Contributions sum to
- +0.006785%
- Market value
- $4.02tn
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 +0.006785% against a published month return of +0.006785%, a difference of 2.9e-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 |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 912796C64 | 0.000% | Aug 5, 2021 | $162.75bn | – | $14.75bn | $148.00bn | 99.9960 | 99.9995 | 3.681% | +0.004% | +0.00013% |
| 9127964B2 | 0.000% | Aug 12, 2021 | $157.73bn | – | $15.73bn | $142.00bn | 99.9940 | 99.9989 | 3.532% | +0.005% | +0.00017% |
| 9127964L0 | 0.000% | Sep 9, 2021 | $155.38bn | – | $13.38bn | $142.00bn | 99.9901 | 99.9954 | 3.532% | +0.005% | +0.00019% |
| 912796F46 | 0.000% | Sep 16, 2021 | $121.26bn | – | $10.26bn | $111.00bn | 99.9913 | 99.9947 | 2.761% | +0.003% | +0.00009% |
| 912796F53 | 0.000% | Sep 23, 2021 | $114.98bn | – | $3.98bn | $111.00bn | 99.9906 | 99.9924 | 2.761% | +0.002% | +0.00005% |
| 912796D48 | 0.000% | Aug 19, 2021 | $121.87bn | – | $13.86bn | $108.00bn | 99.9944 | 99.9978 | 2.686% | +0.003% | +0.00009% |
| 912796D55 | 0.000% | Aug 26, 2021 | $118.96bn | – | $10.95bn | $108.00bn | 99.9937 | 99.9970 | 2.686% | +0.003% | +0.00009% |
| 912796D63 | 0.000% | Sep 2, 2021 | $122.41bn | – | $14.40bn | $108.00bn | 99.9911 | 99.9962 | 2.686% | +0.005% | +0.00014% |
| 9127964V8 | 0.000% | Oct 7, 2021 | $100.31bn | – | $12.31bn | $88.00bn | 99.9890 | 99.9904 | 2.189% | +0.001% | +0.00003% |
| 9127964W6 | 0.000% | Nov 4, 2021 | $100.84bn | – | $12.84bn | $88.00bn | 99.9824 | 99.9865 | 2.188% | +0.004% | +0.00009% |
| 9127965G0 | 0.000% | Dec 2, 2021 | $100.15bn | – | $12.15bn | $88.00bn | 99.9785 | 99.9826 | 2.188% | +0.004% | +0.00009% |
| 912796J83 | 0.000% | Aug 3, 2021 | $78.13bn | – | $3.13bn | $75.00bn | 99.9962 | 99.9998 | 1.865% | +0.004% | +0.00007% |
| 912796K24 | 0.000% | Aug 17, 2021 | $77.70bn | – | $2.70bn | $75.00bn | 99.9947 | 99.9985 | 1.865% | +0.004% | +0.00007% |
| 912796K32 | 0.000% | Aug 24, 2021 | $78.24bn | – | $3.23bn | $75.00bn | 99.9939 | 99.9972 | 1.865% | +0.003% | +0.00006% |
| 912796J91 | 0.000% | Aug 10, 2021 | $78.27bn | – | $3.27bn | $75.00bn | 99.9943 | 99.9991 | 1.865% | +0.005% | +0.00009% |
| 912796F61 | 0.000% | Sep 30, 2021 | $60.50bn | – | $6.49bn | $54.00bn | 99.9898 | 99.9914 | 1.343% | +0.002% | +0.00002% |
| 912796G52 | 0.000% | Oct 14, 2021 | $59.92bn | – | $5.91bn | $54.00bn | 99.9853 | 99.9894 | 1.343% | +0.004% | +0.00006% |
| 912796G60 | 0.000% | Oct 21, 2021 | $60.37bn | – | $6.37bn | $54.00bn | 99.9843 | 99.9885 | 1.343% | +0.004% | +0.00006% |
| 912796G78 | 0.000% | Oct 28, 2021 | $59.82bn | – | $5.82bn | $54.00bn | 99.9833 | 99.9875 | 1.343% | +0.004% | +0.00006% |
| 912796H69 | 0.000% | Nov 18, 2021 | $60.77bn | – | $6.77bn | $54.00bn | 99.9804 | 99.9846 | 1.343% | +0.004% | +0.00006% |
| 912796J59 | 0.000% | Dec 9, 2021 | $58.65bn | – | $4.65bn | $54.00bn | 99.9775 | 99.9817 | 1.343% | +0.004% | +0.00006% |
| 912796H77 | 0.000% | Nov 26, 2021 | $59.02bn | – | $5.02bn | $54.00bn | 99.9793 | 99.9868 | 1.343% | +0.007% | +0.00010% |
| 912796J67 | 0.000% | Dec 16, 2021 | $59.29bn | – | $5.29bn | $54.00bn | 99.9765 | 99.9807 | 1.343% | +0.004% | +0.00006% |
| 912796H51 | 0.000% | Nov 12, 2021 | $59.66bn | – | $5.66bn | $54.00bn | 99.9775 | 99.9854 | 1.343% | +0.008% | +0.00011% |
| 912796J75 | 0.000% | Dec 23, 2021 | $55.95bn | – | $1.95bn | $54.00bn | 99.9756 | 99.9797 | 1.343% | +0.004% | +0.00006% |
| 912828ZX1 | 0.125% | Jun 30, 2022 | $52.29bn | – | $11.73bn | $40.56bn | 100.0316 | 100.0737 | 1.009% | +0.042% | +0.00042% |
| 912828RR3 | 2.000% | Nov 15, 2021 | $70.10bn | – | $30.30bn | $39.80bn | 100.9742 | 100.9918 | 0.999% | +0.017% | +0.00017% |
| 912828ZR4 | 0.125% | May 31, 2022 | $48.62bn | – | $11.82bn | $36.80bn | 100.0418 | 100.0528 | 0.916% | +0.011% | +0.00010% |
| 912828ZM5 | 0.125% | Apr 30, 2022 | $45.65bn | – | $8.88bn | $36.76bn | 100.0523 | 100.0632 | 0.915% | +0.011% | +0.00010% |
| 912828YT1 | 1.500% | Nov 30, 2021 | $43.18bn | – | $7.61bn | $35.56bn | 100.7208 | 100.7269 | 0.891% | +0.006% | +0.00005% |
| 912828ZA1 | 1.125% | Feb 28, 2022 | $46.05bn | – | $11.21bn | $34.83bn | 101.0635 | 101.0988 | 0.876% | +0.035% | +0.00031% |
| 912828YP9 | 1.500% | Oct 31, 2021 | $44.18bn | – | $9.37bn | $34.81bn | 100.7215 | 100.7269 | 0.872% | +0.005% | +0.00005% |
| 912796K40 | 0.000% | Aug 31, 2021 | $35.00bn | – | – | $35.00bn | 99.9931 | 99.9964 | 0.871% | +0.003% | +0.00003% |
| 912796L31 | 0.000% | Sep 14, 2021 | $35.00bn | – | – | $35.00bn | 99.9894 | 99.9949 | 0.870% | +0.005% | +0.00005% |
| 912796M30 | 0.000% | Oct 12, 2021 | $35.00bn | – | – | $35.00bn | 99.9856 | 99.9897 | 0.870% | +0.004% | +0.00004% |
| 912796M48 | 0.000% | Oct 19, 2021 | $35.00bn | – | – | $35.00bn | 99.9846 | 99.9887 | 0.870% | +0.004% | +0.00004% |
| 912796L23 | 0.000% | Sep 7, 2021 | $35.00bn | – | – | $35.00bn | 99.9904 | 99.9957 | 0.870% | +0.005% | +0.00005% |
| 912796M22 | 0.000% | Oct 5, 2021 | $35.00bn | – | – | $35.00bn | 99.9865 | 99.9907 | 0.870% | +0.004% | +0.00004% |
| 912796L49 | 0.000% | Sep 21, 2021 | $35.00bn | – | – | $35.00bn | 99.9885 | 99.9926 | 0.870% | +0.004% | +0.00004% |
| 912796L56 | 0.000% | Sep 28, 2021 | $35.00bn | – | – | $35.00bn | 99.9875 | 99.9917 | 0.870% | +0.004% | +0.00004% |
| 912796M55 | 0.000% | Oct 26, 2021 | $35.00bn | – | – | $35.00bn | 99.9836 | 99.9878 | 0.870% | +0.004% | +0.00004% |
| 912828ZG8 | 0.375% | Mar 31, 2022 | $45.38bn | – | $10.69bn | $34.69bn | 100.3130 | 100.3458 | 0.866% | +0.033% | +0.00028% |
| 912796A90 | 0.000% | Dec 30, 2021 | $39.73bn | – | $5.73bn | $34.00bn | 99.9746 | 99.9788 | 0.845% | +0.004% | +0.00004% |
| 912796C31 | 0.000% | Jan 27, 2022 | $38.64bn | – | $4.64bn | $34.00bn | 99.9707 | 99.9698 | 0.845% | -0.001% | -0.00001% |
| 912796D30 | 0.000% | Feb 24, 2022 | $37.77bn | – | $3.77bn | $34.00bn | 99.9668 | 99.9710 | 0.845% | +0.004% | +0.00004% |
| 912796F38 | 0.000% | Mar 24, 2022 | $35.21bn | – | $1.21bn | $34.00bn | 99.9555 | 99.9671 | 0.845% | +0.012% | +0.00010% |
| 912796G45 | 0.000% | Apr 21, 2022 | $38.01bn | – | $4.01bn | $34.00bn | 99.9508 | 99.9632 | 0.845% | +0.012% | +0.00010% |
| 912796H44 | 0.000% | May 19, 2022 | $38.26bn | – | $4.26bn | $34.00bn | 99.9372 | 99.9512 | 0.845% | +0.014% | +0.00012% |
| 912796J42 | 0.000% | Jun 16, 2022 | $37.33bn | – | $3.33bn | $34.00bn | 99.9317 | 99.9465 | 0.845% | +0.015% | +0.00012% |
| 912828YJ3 | 1.500% | Sep 30, 2021 | $44.16bn | – | $11.60bn | $32.56bn | 100.7208 | 100.7269 | 0.816% | +0.006% | +0.00005% |
| 912828RC6 | 2.125% | Aug 15, 2021 | $66.73bn | – | $34.92bn | $31.81bn | 101.0483 | 101.0487 | 0.800% | +0.000% | +0.00000% |
| 9128285V8 | 2.500% | Jan 15, 2022 | $38.00bn | – | $7.06bn | $30.94bn | 102.4658 | 101.2160 | 0.789% | +0.000% | +0.00000% |
| 912828T67 | 1.250% | Oct 31, 2021 | $36.06bn | – | $5.65bn | $30.41bn | 100.6168 | 100.6005 | 0.761% | -0.016% | -0.00012% |
| 9128282F6 | 1.125% | Aug 31, 2021 | $36.33bn | – | $6.43bn | $29.90bn | 100.5635 | 100.5363 | 0.748% | -0.027% | -0.00020% |
| 912828U65 | 1.750% | Nov 30, 2021 | $37.62bn | – | $8.06bn | $29.56bn | 100.8670 | 100.8637 | 0.742% | -0.003% | -0.00002% |
| 912828YZ7 | 1.625% | Dec 31, 2021 | $43.76bn | – | $14.30bn | $29.47bn | 100.7857 | 100.8020 | 0.739% | +0.016% | +0.00012% |
| 912828X47 | 1.875% | Apr 30, 2022 | $38.64bn | – | $10.13bn | $28.51bn | 101.8159 | 101.8227 | 0.722% | +0.007% | +0.00005% |
| 912828V72 | 1.875% | Jan 31, 2022 | $36.16bn | – | $7.84bn | $28.32bn | 101.8446 | 100.9164 | 0.717% | +0.009% | +0.00007% |
| 912828XR6 | 1.750% | May 31, 2022 | $38.09bn | – | $9.82bn | $28.27bn | 101.6482 | 101.6762 | 0.715% | +0.028% | +0.00020% |
| 9128286C9 | 2.500% | Feb 15, 2022 | $47.15bn | – | $19.16bn | $27.99bn | 102.4392 | 102.4727 | 0.713% | +0.033% | +0.00023% |
| 912828Z60 | 1.375% | Jan 31, 2022 | $44.13bn | – | $15.93bn | $28.20bn | 101.3548 | 100.6637 | 0.711% | -0.004% | -0.00003% |
| 912828SF8 | 2.000% | Feb 15, 2022 | $74.21bn | – | $46.24bn | $27.96bn | 101.9701 | 101.9594 | 0.709% | -0.010% | -0.00007% |
| 912828YC8 | 1.500% | Aug 31, 2021 | $45.19bn | – | $16.96bn | $28.23bn | 100.7201 | 100.7255 | 0.707% | +0.005% | +0.00004% |
| 912828G53 | 1.875% | Nov 30, 2021 | $29.00bn | – | $1.14bn | $27.86bn | 100.9401 | 100.9165 | 0.699% | -0.023% | -0.00016% |
| 9128285L0 | 2.875% | Nov 15, 2021 | $44.55bn | – | $16.85bn | $27.70bn | 101.4297 | 101.4297 | 0.699% | 0.000% | 0.00000% |
| 912828XD7 | 1.875% | May 31, 2022 | $29.00bn | – | $1.89bn | $27.11bn | 101.7838 | 101.8227 | 0.686% | +0.038% | +0.00026% |
| 912828WZ9 | 1.750% | Apr 30, 2022 | $29.11bn | – | $1.99bn | $27.12bn | 101.6698 | 101.7283 | 0.686% | +0.057% | +0.00039% |
| 9128285F3 | 2.875% | Oct 15, 2021 | $36.00bn | – | $8.95bn | $27.05bn | 101.4173 | 101.4187 | 0.682% | +0.001% | +0.00001% |
| 9128286M7 | 2.250% | Apr 15, 2022 | $38.01bn | – | $11.51bn | $26.50bn | 102.1921 | 102.2013 | 0.674% | +0.009% | +0.00006% |
| 912828J43 | 1.750% | Feb 28, 2022 | $29.00bn | – | $2.43bn | $26.57bn | 101.7099 | 101.7058 | 0.672% | -0.004% | -0.00003% |
| 912828G87 | 2.125% | Dec 31, 2021 | $29.00bn | – | $2.88bn | $26.12bn | 101.0370 | 101.0343 | 0.656% | -0.003% | -0.00002% |
| 912828U81 | 2.000% | Dec 31, 2021 | $38.52bn | – | $12.40bn | $26.12bn | 100.9742 | 100.9606 | 0.656% | -0.013% | -0.00009% |
| 912828W55 | 1.875% | Feb 28, 2022 | $38.72bn | – | $12.85bn | $25.87bn | 101.8142 | 101.8522 | 0.655% | +0.037% | +0.00024% |
| 912828XG0 | 2.125% | Jun 30, 2022 | $29.00bn | – | $3.91bn | $25.09bn | 102.0370 | 102.0656 | 0.637% | +0.028% | +0.00018% |
| 912828F21 | 2.125% | Sep 30, 2021 | $29.00bn | – | $3.69bn | $25.31bn | 101.0654 | 101.0324 | 0.636% | -0.033% | -0.00021% |
| 912828T34 | 1.125% | Sep 30, 2021 | $36.07bn | – | $10.63bn | $25.44bn | 100.5328 | 100.5374 | 0.636% | +0.005% | +0.00003% |
| 912828J76 | 1.750% | Mar 31, 2022 | $29.00bn | – | $3.96bn | $25.04bn | 101.6899 | 101.7179 | 0.633% | +0.028% | +0.00017% |
| 9128286U9 | 2.125% | May 15, 2022 | $50.95bn | – | $26.11bn | $24.84bn | 102.0526 | 102.0812 | 0.630% | +0.028% | +0.00018% |
| 912828D72 | 2.000% | Aug 31, 2021 | $29.00bn | – | $4.00bn | $25.00bn | 100.9810 | 100.9986 | 0.628% | +0.017% | +0.00011% |
| 912828F96 | 2.000% | Oct 31, 2021 | $29.00bn | – | $4.13bn | $24.87bn | 100.9932 | 100.9796 | 0.625% | -0.013% | -0.00008% |
| 912828H86 | 1.500% | Jan 31, 2022 | $29.00bn | – | $4.50bn | $24.50bn | 101.4694 | 100.7269 | 0.618% | +0.007% | +0.00005% |
| 9128286Y1 | 1.750% | Jun 15, 2022 | $38.00bn | – | $14.09bn | $23.91bn | 101.6390 | 101.6983 | 0.604% | +0.058% | +0.00035% |
| 9128284W7 | 2.750% | Aug 15, 2021 | $38.57bn | – | $14.64bn | $23.93bn | 101.3456 | 101.3700 | 0.603% | +0.024% | +0.00014% |
| 912828SV3 | 1.750% | May 15, 2022 | $68.98bn | – | $45.17bn | $23.82bn | 101.6610 | 101.6882 | 0.602% | +0.027% | +0.00016% |
| 912828XW5 | 1.750% | Jun 30, 2022 | $38.13bn | – | $15.06bn | $23.07bn | 101.6610 | 101.6882 | 0.583% | +0.027% | +0.00016% |
| 912828W89 | 1.875% | Mar 31, 2022 | $38.12bn | – | $15.69bn | $22.43bn | 101.8151 | 101.8227 | 0.568% | +0.008% | +0.00004% |
| 9128285A4 | 2.750% | Sep 15, 2021 | $35.00bn | – | $12.56bn | $22.44bn | 101.3696 | 101.3587 | 0.566% | -0.011% | -0.00006% |
| 9128285R7 | 2.625% | Dec 15, 2021 | $38.00bn | – | $16.18bn | $21.82bn | 101.2710 | 101.2818 | 0.550% | +0.011% | +0.00006% |
| 9128286H8 | 2.375% | Mar 15, 2022 | $38.00bn | – | $16.89bn | $21.11bn | 102.3220 | 102.3410 | 0.537% | +0.019% | +0.00010% |
| 912810EL8 | 8.000% | Nov 15, 2021 | $32.81bn | $2.17bn | $21.44bn | $9.20bn | 103.8030 | 103.8111 | 0.238% | +0.008% | +0.00002% |
| 912810EK0 | 8.125% | Aug 15, 2021 | $12.16bn | $2.66bn | $6.65bn | $2.85bn | 104.0525 | 104.0520 | 0.074% | -0.000% | -0.00000% |
| Total | $4.00tn | 100.000% | +0.00678% | ||||||||
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.