Rebalance of June 30, 2023
1-12 Month constituents
Every one of the 88 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
- 88
- Weights sum to
- 100.0000%
- Contributions sum to
- +0.414752%
- Market value
- $4.39tn
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 +0.414752% against a published month return of +0.414752%, a difference of 2.6e-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 |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 912796XQ7 | 0.000% | Jul 13, 2023 | $154.22bn | – | $15.22bn | $139.00bn | 99.3968 | 99.8191 | 3.146% | +0.425% | +0.01336% |
| 912796XY0 | 0.000% | Aug 10, 2023 | $154.89bn | – | $15.89bn | $139.00bn | 98.9863 | 99.4158 | 3.133% | +0.434% | +0.01359% |
| 912796ZZ5 | 0.000% | Jul 20, 2023 | $116.73bn | – | $11.73bn | $105.00bn | 99.2931 | 99.7206 | 2.374% | +0.431% | +0.01022% |
| 912796Y29 | 0.000% | Jul 27, 2023 | $116.34bn | – | $11.34bn | $105.00bn | 99.1783 | 99.6220 | 2.371% | +0.447% | +0.01061% |
| 912796Y37 | 0.000% | Aug 3, 2023 | $120.25bn | – | $15.25bn | $105.00bn | 99.0844 | 99.5193 | 2.369% | +0.439% | +0.01039% |
| 912796Z36 | 0.000% | Aug 17, 2023 | $118.50bn | – | $13.50bn | $105.00bn | 98.8950 | 99.3120 | 2.364% | +0.422% | +0.00997% |
| 912796Z44 | 0.000% | Aug 24, 2023 | $115.74bn | – | $10.74bn | $105.00bn | 98.7817 | 99.2086 | 2.361% | +0.432% | +0.01021% |
| 912796ZS1 | 0.000% | Jul 6, 2023 | $114.40bn | – | $12.40bn | $102.00bn | 99.5110 | 99.9170 | 2.311% | +0.408% | +0.00943% |
| 912797FA0 | 0.000% | Oct 12, 2023 | $97.83bn | – | $4.83bn | $93.00bn | 98.0421 | 98.4949 | 2.076% | +0.462% | +0.00959% |
| 912797FB8 | 0.000% | Oct 19, 2023 | $98.52bn | – | $5.52bn | $93.00bn | 97.9398 | 98.3936 | 2.074% | +0.463% | +0.00961% |
| 912797FC6 | 0.000% | Oct 26, 2023 | $98.23bn | – | $5.27bn | $92.96bn | 97.8252 | 98.2923 | 2.070% | +0.477% | +0.00989% |
| 912796YH6 | 0.000% | Sep 7, 2023 | $88.17bn | – | $6.17bn | $82.00bn | 98.6085 | 99.0129 | 1.841% | +0.410% | +0.00755% |
| 912797FR3 | 0.000% | Jul 5, 2023 | $82.69bn | – | $1.69bn | $81.00bn | 99.5246 | 99.9313 | 1.835% | +0.409% | +0.00750% |
| 912796YJ2 | 0.000% | Oct 5, 2023 | $91.85bn | – | $9.85bn | $82.00bn | 98.1585 | 98.6070 | 1.833% | +0.457% | +0.00837% |
| 912796YT0 | 0.000% | Nov 2, 2023 | $94.34bn | – | $12.35bn | $81.99bn | 97.7482 | 98.1875 | 1.825% | +0.449% | +0.00820% |
| 912797FX0 | 0.000% | Jul 11, 2023 | $72.68bn | – | $1.68bn | $71.00bn | 99.4294 | 99.8466 | 1.607% | +0.420% | +0.00674% |
| 912797FY8 | 0.000% | Jul 18, 2023 | $72.67bn | – | $1.67bn | $71.00bn | 99.3213 | 99.7485 | 1.605% | +0.430% | +0.00690% |
| 912797FZ5 | 0.000% | Jul 25, 2023 | $72.55bn | – | $1.55bn | $71.00bn | 99.2163 | 99.6521 | 1.604% | +0.439% | +0.00705% |
| 91282CDA6 | 0.250% | Sep 30, 2023 | $67.23bn | – | $7.23bn | $60.00bn | 98.3548 | 98.8142 | 1.344% | +0.467% | +0.00627% |
| 91282CCU3 | 0.125% | Aug 31, 2023 | $67.54bn | – | $8.77bn | $58.77bn | 98.7191 | 99.1987 | 1.321% | +0.486% | +0.00642% |
| 912828WJ5 | 2.500% | May 15, 2024 | $66.00bn | – | $7.47bn | $58.53bn | 97.5530 | 97.8329 | 1.300% | +0.287% | +0.00373% |
| 91282CDM0 | 0.500% | Nov 30, 2023 | $62.78bn | – | $5.25bn | $57.54bn | 97.5951 | 98.0451 | 1.278% | +0.461% | +0.00589% |
| 91282CBM2 | 0.125% | Feb 15, 2024 | $79.04bn | – | $21.04bn | $58.00bn | 96.4429 | 96.8289 | 1.274% | +0.400% | +0.00510% |
| 91282CCN9 | 0.125% | Jul 31, 2023 | $65.75bn | – | $9.85bn | $55.89bn | 99.1668 | 99.6466 | 1.262% | +0.484% | +0.00611% |
| 91282CDD0 | 0.375% | Oct 31, 2023 | $66.10bn | – | $9.64bn | $56.46bn | 97.9701 | 98.4715 | 1.259% | +0.512% | +0.00644% |
| 91282CDR9 | 0.750% | Dec 31, 2023 | $63.61bn | – | $7.61bn | $56.00bn | 97.6899 | 97.7249 | 1.246% | +0.420% | +0.00523% |
| 91282CBR1 | 0.250% | Mar 15, 2024 | $61.60bn | – | $5.32bn | $56.28bn | 96.2092 | 96.5122 | 1.233% | +0.315% | +0.00388% |
| 912828WE6 | 2.750% | Nov 15, 2023 | $66.00bn | – | $11.31bn | $54.69bn | 98.9708 | 99.3974 | 1.232% | +0.431% | +0.00531% |
| 912797FL6 | 0.000% | Nov 24, 2023 | $59.53bn | – | $5.53bn | $54.00bn | 97.4335 | 97.8726 | 1.198% | +0.451% | +0.00540% |
| 91282CDV0 | 0.875% | Jan 31, 2024 | $62.07bn | – | $8.07bn | $54.00bn | 97.3862 | 97.7761 | 1.197% | +0.400% | +0.00479% |
| 91282CEA5 | 1.500% | Feb 29, 2024 | $60.91bn | – | $8.91bn | $52.00bn | 97.5978 | 97.9470 | 1.155% | +0.358% | +0.00413% |
| 912797FK8 | 0.000% | Nov 16, 2023 | $57.68bn | – | $6.68bn | $51.00bn | 97.5542 | 97.9922 | 1.133% | +0.449% | +0.00509% |
| 91282CEG2 | 2.250% | Mar 31, 2024 | $59.31bn | – | $9.31bn | $50.00bn | 97.9124 | 98.2341 | 1.115% | +0.329% | +0.00366% |
| 912796Z51 | 0.000% | Aug 31, 2023 | $52.96bn | – | $4.96bn | $48.00bn | 98.6507 | 99.1113 | 1.078% | +0.467% | +0.00503% |
| 912796CQ0 | 0.000% | Sep 14, 2023 | $51.49bn | – | $3.49bn | $48.00bn | 98.5013 | 98.9086 | 1.076% | +0.413% | +0.00445% |
| 912796CR8 | 0.000% | Sep 21, 2023 | $49.45bn | – | $1.45bn | $48.00bn | 98.3866 | 98.8080 | 1.075% | +0.428% | +0.00461% |
| 912796CS6 | 0.000% | Sep 28, 2023 | $53.32bn | – | $5.32bn | $48.00bn | 98.3000 | 98.7075 | 1.074% | +0.415% | +0.00445% |
| 91282CCC3 | 0.250% | May 15, 2024 | $88.77bn | – | $39.52bn | $49.25bn | 95.3865 | 95.6270 | 1.070% | +0.252% | +0.00270% |
| 91282CEK3 | 2.500% | Apr 30, 2024 | $54.66bn | – | $6.66bn | $48.00bn | 97.7486 | 98.0285 | 1.068% | +0.286% | +0.00306% |
| 912797FJ1 | 0.000% | Nov 9, 2023 | $53.50bn | – | $5.50bn | $48.00bn | 97.6105 | 98.0897 | 1.067% | +0.491% | +0.00524% |
| 912828B66 | 2.750% | Feb 15, 2024 | $66.00bn | – | $18.87bn | $47.13bn | 99.0240 | 99.3921 | 1.063% | +0.372% | +0.00395% |
| 91282CAW1 | 0.250% | Nov 15, 2023 | $68.81bn | – | $21.32bn | $47.49bn | 97.6990 | 98.1583 | 1.056% | +0.470% | +0.00497% |
| 91282CER8 | 2.500% | May 31, 2024 | $54.07bn | – | $7.07bn | $47.00bn | 97.3506 | 97.6004 | 1.042% | +0.257% | +0.00267% |
| 91282CBE0 | 0.125% | Jan 15, 2024 | $63.83bn | – | $18.85bn | $44.98bn | 96.8286 | 97.2771 | 0.992% | +0.463% | +0.00459% |
| 91282CBA8 | 0.125% | Dec 15, 2023 | $58.39bn | – | $14.17bn | $44.22bn | 97.3077 | 97.6936 | 0.980% | +0.461% | +0.00451% |
| 912828W71 | 2.125% | Mar 31, 2024 | $72.39bn | – | $30.16bn | $42.23bn | 97.7975 | 98.1083 | 0.940% | +0.318% | +0.00299% |
| 912797GU5 | 0.000% | Sep 26, 2023 | $43.00bn | – | $1.00bn | $42.00bn | 98.2693 | 98.7411 | 0.940% | +0.480% | +0.00451% |
| 912828VS6 | 2.500% | Aug 15, 2023 | $66.00bn | – | $25.04bn | $40.96bn | 100.1070 | 100.6093 | 0.934% | +0.502% | +0.00468% |
| 912828XT2 | 2.000% | May 31, 2024 | $76.68bn | – | $36.09bn | $40.59bn | 96.8492 | 97.0866 | 0.895% | +0.245% | +0.00219% |
| 91282CBV2 | 0.375% | Apr 15, 2024 | $66.90bn | – | $26.37bn | $40.53bn | 95.9232 | 96.2059 | 0.885% | +0.295% | +0.00261% |
| 91282CAP6 | 0.125% | Oct 15, 2023 | $53.45bn | – | $13.89bn | $39.56bn | 98.0786 | 98.5582 | 0.883% | +0.489% | +0.00432% |
| 912797GT8 | 0.000% | Sep 19, 2023 | $39.99bn | – | $991.5m | $39.00bn | 98.3936 | 98.8367 | 0.874% | +0.450% | +0.00393% |
| 912828ZY9 | 0.125% | Jul 15, 2023 | $50.04bn | – | $13.85bn | $36.18bn | 99.3911 | 99.8396 | 0.819% | +0.451% | +0.00370% |
| 91282CAF8 | 0.125% | Aug 15, 2023 | $76.55bn | – | $40.27bn | $36.28bn | 98.9429 | 99.4227 | 0.817% | +0.485% | +0.00396% |
| 912797GA9 | 0.000% | Aug 1, 2023 | $36.77bn | – | $772.9m | $36.00bn | 99.1148 | 99.5502 | 0.812% | +0.439% | +0.00357% |
| 912797GF8 | 0.000% | Aug 8, 2023 | $36.75bn | – | $754.4m | $36.00bn | 99.0340 | 99.4442 | 0.812% | +0.414% | +0.00336% |
| 912797GG6 | 0.000% | Aug 15, 2023 | $36.83bn | – | $832.8m | $36.00bn | 98.9107 | 99.3419 | 0.811% | +0.436% | +0.00353% |
| 912797GH4 | 0.000% | Aug 22, 2023 | $36.86bn | – | $861.0m | $36.00bn | 98.8080 | 99.2403 | 0.810% | +0.438% | +0.00354% |
| 912797GJ0 | 0.000% | Aug 29, 2023 | $36.83bn | – | $830.7m | $36.00bn | 98.6975 | 99.1400 | 0.809% | +0.448% | +0.00363% |
| 912797GR2 | 0.000% | Sep 5, 2023 | $36.85bn | – | $878.3m | $35.97bn | 98.6339 | 99.0434 | 0.808% | +0.415% | +0.00335% |
| 912797GS0 | 0.000% | Sep 12, 2023 | $37.05bn | – | $1.05bn | $36.00bn | 98.5324 | 98.9414 | 0.808% | +0.415% | +0.00335% |
| 91282CAK7 | 0.125% | Sep 15, 2023 | $52.06bn | – | $16.92bn | $35.14bn | 98.4952 | 98.9749 | 0.788% | +0.487% | +0.00384% |
| 912797FH5 | 0.000% | May 16, 2024 | $40.71bn | – | $4.71bn | $36.00bn | 95.1835 | 95.3901 | 0.780% | +0.217% | +0.00169% |
| 9128286R6 | 2.250% | Apr 30, 2024 | $41.52bn | – | $6.42bn | $35.10bn | 97.5082 | 97.7663 | 0.779% | +0.265% | +0.00206% |
| 912796ZD4 | 0.000% | Nov 30, 2023 | $38.33bn | – | $4.33bn | $34.00bn | 97.3211 | 97.7857 | 0.753% | +0.477% | +0.00360% |
| 912796ZN2 | 0.000% | Dec 28, 2023 | $38.50bn | – | $4.50bn | $34.00bn | 97.2980 | 97.3604 | 0.753% | +0.064% | +0.00048% |
| 912796ZY8 | 0.000% | Jan 25, 2024 | $37.64bn | – | $3.64bn | $34.00bn | 96.7934 | 97.0624 | 0.749% | +0.278% | +0.00208% |
| 912796Z28 | 0.000% | Feb 22, 2024 | $37.47bn | – | $3.47bn | $34.00bn | 96.4029 | 96.6359 | 0.746% | +0.242% | +0.00180% |
| 912797LL9 | 0.000% | Mar 21, 2024 | $35.03bn | – | $1.03bn | $34.00bn | 95.9192 | 96.2385 | 0.742% | +0.333% | +0.00247% |
| 912796CX5 | 0.000% | Apr 18, 2024 | $37.91bn | – | $3.91bn | $34.00bn | 95.5408 | 95.8003 | 0.740% | +0.272% | +0.00201% |
| 9128285Z9 | 2.500% | Jan 31, 2024 | $41.00bn | – | $10.64bn | $30.36bn | 98.9919 | 99.3691 | 0.684% | +0.381% | +0.00261% |
| 9128285D8 | 2.875% | Sep 30, 2023 | $38.00bn | – | $11.26bn | $26.74bn | 99.6745 | 100.1134 | 0.607% | +0.440% | +0.00267% |
| 9128285U0 | 2.625% | Dec 31, 2023 | $41.00bn | – | $15.03bn | $25.97bn | 99.5710 | 98.7089 | 0.589% | +0.452% | +0.00266% |
| 912828S92 | 1.250% | Jul 31, 2023 | $29.96bn | – | $4.20bn | $25.75bn | 99.6991 | 100.2158 | 0.585% | +0.518% | +0.00303% |
| 912828T26 | 1.375% | Sep 30, 2023 | $29.71bn | – | $3.99bn | $25.71bn | 98.8892 | 99.3531 | 0.579% | +0.469% | +0.00272% |
| 9128282D1 | 1.375% | Aug 31, 2023 | $29.91bn | – | $4.59bn | $25.33bn | 99.3475 | 99.8108 | 0.573% | +0.466% | +0.00267% |
| 912828U57 | 2.125% | Nov 30, 2023 | $30.98bn | – | $5.72bn | $25.26bn | 98.4121 | 98.8791 | 0.566% | +0.475% | +0.00269% |
| 912828V80 | 2.250% | Jan 31, 2024 | $29.78bn | – | $4.90bn | $24.88bn | 98.7521 | 99.1072 | 0.559% | +0.360% | +0.00201% |
| 912828X70 | 2.000% | Apr 30, 2024 | $31.82bn | $3.0m | $7.37bn | $24.45bn | 97.2677 | 97.5353 | 0.542% | +0.275% | +0.00149% |
| 9128285K2 | 2.875% | Oct 31, 2023 | $39.00bn | – | $15.33bn | $23.67bn | 99.2500 | 99.6875 | 0.535% | +0.441% | +0.00236% |
| 912828Y61 | 2.750% | Jul 31, 2023 | $37.95bn | – | $14.64bn | $23.32bn | 100.4817 | 100.9435 | 0.533% | +0.460% | +0.00245% |
| 912828W48 | 2.125% | Feb 29, 2024 | $31.88bn | $4.0m | $8.09bn | $23.79bn | 98.2245 | 98.5656 | 0.532% | +0.347% | +0.00185% |
| 9128285P1 | 2.875% | Nov 30, 2023 | $43.51bn | – | $20.60bn | $22.91bn | 98.8204 | 99.2280 | 0.515% | +0.412% | +0.00213% |
| 912828V23 | 2.250% | Dec 31, 2023 | $31.72bn | – | $8.90bn | $22.83bn | 99.1635 | 98.5183 | 0.515% | +0.484% | +0.00249% |
| 9128286G0 | 2.375% | Feb 29, 2024 | $42.97bn | – | $20.44bn | $22.54bn | 98.4752 | 98.8067 | 0.505% | +0.337% | +0.00170% |
| 912828T91 | 1.625% | Oct 31, 2023 | $29.69bn | – | $7.48bn | $22.22bn | 98.6101 | 99.0639 | 0.499% | +0.460% | +0.00230% |
| 9128284X5 | 2.750% | Aug 31, 2023 | $39.61bn | – | $19.69bn | $19.92bn | 100.0387 | 100.4966 | 0.454% | +0.458% | +0.00208% |
| 912810EQ7 | 6.250% | Aug 15, 2023 | $22.90bn | $250.0m | $15.86bn | $6.79bn | 101.8614 | 102.3201 | 0.158% | +0.450% | +0.00071% |
| Total | $4.47tn | 100.000% | +0.41475% | ||||||||
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.