Rebalance of November 30, 2023
1-12 Month constituents
Every one of the 85 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
- 85
- Weights sum to
- 100.0000%
- Contributions sum to
- +0.487030%
- Market value
- $5.08tn
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 +0.487030% against a published month return of +0.487030%, a difference of 3.8e-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 |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 912797FT9 | 0.000% | Dec 7, 2023 | $206.83bn | – | $4.83bn | $202.00bn | 99.4563 | 99.8975 | 3.955% | +0.444% | +0.01755% |
| 912796ZY8 | 0.000% | Jan 25, 2024 | $179.75bn | – | $8.10bn | $171.65bn | 98.7291 | 99.1802 | 3.337% | +0.457% | +0.01525% |
| 912796ZN2 | 0.000% | Dec 28, 2023 | $172.84bn | – | $11.84bn | $161.00bn | 99.1429 | 99.5886 | 3.143% | +0.450% | +0.01413% |
| 912797HW0 | 0.000% | Dec 26, 2023 | $136.16bn | – | $599.0m | $135.56bn | 99.1709 | 99.6179 | 2.647% | +0.451% | +0.01193% |
| 912797HV2 | 0.000% | Dec 19, 2023 | $136.17bn | – | $1.17bn | $135.00bn | 99.2759 | 99.7208 | 2.639% | +0.448% | +0.01183% |
| 912797HU4 | 0.000% | Dec 12, 2023 | $134.20bn | – | $1.20bn | $133.00bn | 99.3828 | 99.8240 | 2.602% | +0.444% | +0.01155% |
| 912797GD3 | 0.000% | Jan 18, 2024 | $142.46bn | – | $9.46bn | $133.00bn | 98.8347 | 99.2841 | 2.588% | +0.455% | +0.01177% |
| 912797GC5 | 0.000% | Jan 11, 2024 | $140.09bn | – | $9.09bn | $131.00bn | 98.9400 | 99.3828 | 2.552% | +0.448% | +0.01142% |
| 912797FW2 | 0.000% | Jan 4, 2024 | $139.12bn | – | $10.17bn | $128.95bn | 99.0431 | 99.4867 | 2.515% | +0.448% | +0.01126% |
| 912797FU6 | 0.000% | Dec 14, 2023 | $132.36bn | – | $5.36bn | $127.00bn | 99.3522 | 99.7954 | 2.484% | +0.446% | +0.01108% |
| 912797FV4 | 0.000% | Dec 21, 2023 | $128.96bn | – | $1.96bn | $127.00bn | 99.2477 | 99.6920 | 2.482% | +0.448% | +0.01111% |
| 912797HN0 | 0.000% | Dec 5, 2023 | $127.20bn | – | $1.20bn | $126.00bn | 99.4867 | 99.9268 | 2.468% | +0.442% | +0.01092% |
| 912796CX5 | 0.000% | Apr 18, 2024 | $110.30bn | – | $8.30bn | $102.00bn | 97.4878 | 97.9778 | 1.958% | +0.503% | +0.00984% |
| 912796Z28 | 0.000% | Feb 22, 2024 | $104.56bn | – | $8.56bn | $96.00bn | 98.3153 | 98.7750 | 1.858% | +0.468% | +0.00869% |
| 912797LL9 | 0.000% | Mar 21, 2024 | $97.69bn | – | $1.71bn | $95.98bn | 97.9016 | 98.3698 | 1.850% | +0.478% | +0.00885% |
| 912797HG5 | 0.000% | Apr 25, 2024 | $72.21bn | – | – | $72.21bn | 97.3794 | 97.8848 | 1.385% | +0.519% | +0.00719% |
| 912797HF7 | 0.000% | Apr 11, 2024 | $70.08bn | – | $4.08bn | $66.00bn | 97.5957 | 98.0715 | 1.268% | +0.487% | +0.00618% |
| 912797GZ4 | 0.000% | Apr 4, 2024 | $68.73bn | – | $4.73bn | $64.00bn | 97.6990 | 98.1730 | 1.231% | +0.485% | +0.00597% |
| 912797GN1 | 0.000% | Feb 15, 2024 | $68.39bn | – | $6.39bn | $62.00bn | 98.4218 | 98.8771 | 1.201% | +0.463% | +0.00556% |
| 912797GP6 | 0.000% | Feb 29, 2024 | $66.73bn | – | $4.73bn | $62.00bn | 98.2119 | 98.6729 | 1.199% | +0.469% | +0.00563% |
| 912797GQ4 | 0.000% | Mar 7, 2024 | $63.68bn | – | $1.68bn | $62.00bn | 98.1084 | 98.5763 | 1.198% | +0.477% | +0.00571% |
| 912797GX9 | 0.000% | Mar 14, 2024 | $63.72bn | – | $1.72bn | $62.00bn | 98.0050 | 98.4746 | 1.196% | +0.479% | +0.00573% |
| 912797GY7 | 0.000% | Mar 28, 2024 | $64.45bn | – | $2.45bn | $62.00bn | 97.7981 | 98.2712 | 1.194% | +0.484% | +0.00577% |
| 912828D56 | 2.375% | Aug 15, 2024 | $66.00bn | – | $5.63bn | $60.37bn | 98.0971 | 98.6658 | 1.166% | +0.580% | +0.00676% |
| 912797GM3 | 0.000% | Feb 8, 2024 | $65.71bn | – | $5.71bn | $60.00bn | 98.5250 | 98.9792 | 1.164% | +0.461% | +0.00537% |
| 912828WJ5 | 2.500% | May 15, 2024 | $66.00bn | – | $7.47bn | $58.53bn | 99.5611 | 98.8286 | 1.147% | +0.520% | +0.00596% |
| 912797GE1 | 0.000% | Feb 1, 2024 | $65.19bn | – | $7.19bn | $58.00bn | 98.6257 | 99.0795 | 1.126% | +0.460% | +0.00518% |
| 91282CBM2 | 0.125% | Feb 15, 2024 | $79.04bn | – | $21.04bn | $58.00bn | 98.4952 | 98.9742 | 1.125% | +0.486% | +0.00547% |
| 91282CDR9 | 0.750% | Dec 31, 2023 | $63.61bn | – | $7.61bn | $56.00bn | 99.4715 | 99.9076 | 1.097% | +0.438% | +0.00481% |
| 91282CCX7 | 0.375% | Sep 15, 2024 | $64.18bn | – | $6.27bn | $57.90bn | 95.7359 | 96.2981 | 1.091% | +0.587% | +0.00641% |
| 91282CDB4 | 0.625% | Oct 15, 2024 | $62.36bn | – | $4.36bn | $58.00bn | 95.5603 | 96.1740 | 1.091% | +0.642% | +0.00701% |
| 912797JF5 | 0.000% | Feb 27, 2024 | $56.37bn | – | – | $56.37bn | 98.2348 | 98.7021 | 1.090% | +0.476% | +0.00519% |
| 91282CBR1 | 0.250% | Mar 15, 2024 | $61.60bn | – | $5.32bn | $56.28bn | 98.1260 | 98.5841 | 1.087% | +0.467% | +0.00508% |
| 912797JD0 | 0.000% | Feb 13, 2024 | $56.39bn | – | $391.9m | $56.00bn | 98.4483 | 98.9042 | 1.085% | +0.463% | +0.00503% |
| 912797JE8 | 0.000% | Feb 20, 2024 | $56.39bn | – | $388.4m | $56.00bn | 98.3418 | 98.8019 | 1.084% | +0.468% | +0.00507% |
| 91282CDV0 | 0.875% | Jan 31, 2024 | $62.07bn | – | $8.07bn | $54.00bn | 99.0961 | 99.5425 | 1.054% | +0.450% | +0.00475% |
| 912797JC2 | 0.000% | Feb 6, 2024 | $54.41bn | – | $412.0m | $54.00bn | 98.5518 | 99.0064 | 1.048% | +0.461% | +0.00483% |
| 91282CEA5 | 1.500% | Feb 29, 2024 | $60.91bn | – | $8.91bn | $52.00bn | 98.9742 | 99.4104 | 1.013% | +0.441% | +0.00447% |
| 912797JB4 | 0.000% | Jan 30, 2024 | $52.45bn | – | $448.2m | $52.00bn | 98.6603 | 99.1087 | 1.010% | +0.455% | +0.00459% |
| 912797HX8 | 0.000% | Jan 2, 2024 | $50.31bn | – | $306.9m | $50.00bn | 99.0708 | 99.5160 | 0.975% | +0.449% | +0.00438% |
| 912797HY6 | 0.000% | Jan 9, 2024 | $50.33bn | – | $334.8m | $50.00bn | 98.9714 | 99.4133 | 0.974% | +0.447% | +0.00435% |
| 91282CEG2 | 2.250% | Mar 31, 2024 | $59.31bn | – | $9.31bn | $50.00bn | 98.8842 | 99.3499 | 0.973% | +0.471% | +0.00458% |
| 912797HZ3 | 0.000% | Jan 16, 2024 | $50.32bn | – | $319.0m | $50.00bn | 98.8664 | 99.3107 | 0.973% | +0.449% | +0.00437% |
| 912797JA6 | 0.000% | Jan 23, 2024 | $50.34bn | – | $335.9m | $50.00bn | 98.7610 | 99.2095 | 0.972% | +0.454% | +0.00442% |
| 91282CCG4 | 0.250% | Jun 15, 2024 | $63.33bn | – | $12.86bn | $50.47bn | 96.9074 | 97.4279 | 0.963% | +0.537% | +0.00517% |
| 91282CCT6 | 0.375% | Aug 15, 2024 | $83.88bn | – | $33.14bn | $50.74bn | 96.1732 | 96.7038 | 0.961% | +0.552% | +0.00530% |
| 91282CCC3 | 0.250% | May 15, 2024 | $88.77bn | – | $39.52bn | $49.25bn | 97.3342 | 97.7297 | 0.944% | +0.535% | +0.00505% |
| 91282CEK3 | 2.500% | Apr 30, 2024 | $54.66bn | – | $6.66bn | $48.00bn | 98.5381 | 99.0254 | 0.931% | +0.495% | +0.00461% |
| 912828B66 | 2.750% | Feb 15, 2024 | $66.00bn | – | $18.87bn | $47.13bn | 99.8016 | 100.2446 | 0.926% | +0.444% | +0.00411% |
| 91282CER8 | 2.500% | May 31, 2024 | $54.07bn | – | $7.07bn | $47.00bn | 99.3332 | 98.6006 | 0.919% | +0.521% | +0.00479% |
| 91282CEX5 | 3.000% | Jun 30, 2024 | $49.52bn | – | $3.52bn | $46.00bn | 99.3859 | 99.8804 | 0.900% | +0.498% | +0.00448% |
| 91282CFA4 | 3.000% | Jul 31, 2024 | $48.90bn | – | $3.90bn | $45.00bn | 98.9457 | 99.5027 | 0.877% | +0.563% | +0.00494% |
| 91282CBE0 | 0.125% | Jan 15, 2024 | $63.83bn | – | $18.85bn | $44.98bn | 98.9433 | 99.3910 | 0.876% | +0.452% | +0.00396% |
| 91282CBA8 | 0.125% | Dec 15, 2023 | $58.39bn | – | $14.17bn | $44.22bn | 99.4225 | 99.8390 | 0.865% | +0.419% | +0.00363% |
| 91282CFG1 | 3.250% | Aug 31, 2024 | $49.73bn | – | $5.73bn | $44.00bn | 98.7411 | 99.3214 | 0.855% | +0.588% | +0.00503% |
| 91282CCL3 | 0.375% | Jul 15, 2024 | $67.55bn | – | $23.36bn | $44.19bn | 96.6111 | 97.1416 | 0.841% | +0.549% | +0.00462% |
| 91282CFN6 | 4.250% | Sep 30, 2024 | $43.00bn | – | – | $43.00bn | 99.2778 | 99.9074 | 0.840% | +0.634% | +0.00533% |
| 912797GW1 | 0.000% | Oct 3, 2024 | $47.25bn | – | $3.25bn | $44.00bn | 95.1459 | 95.8249 | 0.824% | +0.714% | +0.00588% |
| 912828W71 | 2.125% | Mar 31, 2024 | $72.39bn | – | $30.16bn | $42.23bn | 98.8108 | 99.2975 | 0.821% | +0.493% | +0.00405% |
| 91282CFQ9 | 4.375% | Oct 31, 2024 | $42.00bn | – | – | $42.00bn | 98.9808 | 99.5913 | 0.818% | +0.617% | +0.00505% |
| 912797GL5 | 0.000% | Sep 5, 2024 | $43.14bn | – | $1.14bn | $42.00bn | 95.5394 | 96.1422 | 0.790% | +0.631% | +0.00498% |
| 912828XT2 | 2.000% | May 31, 2024 | $76.68bn | – | $36.09bn | $40.59bn | 98.8415 | 98.3492 | 0.790% | +0.514% | +0.00406% |
| 91282CBV2 | 0.375% | Apr 15, 2024 | $66.90bn | – | $26.37bn | $40.53bn | 97.7362 | 98.2357 | 0.780% | +0.511% | +0.00399% |
| 912797GK7 | 0.000% | Aug 8, 2024 | $43.81bn | – | $3.81bn | $40.00bn | 95.9502 | 96.4930 | 0.756% | +0.566% | +0.00427% |
| 912797FS1 | 0.000% | Jun 13, 2024 | $40.26bn | – | $2.26bn | $38.00bn | 96.7544 | 97.2778 | 0.724% | +0.541% | +0.00392% |
| 912797GB7 | 0.000% | Jul 11, 2024 | $41.00bn | – | $3.00bn | $38.00bn | 96.3593 | 96.9013 | 0.721% | +0.562% | +0.00406% |
| 912797FH5 | 0.000% | May 16, 2024 | $40.71bn | – | $4.71bn | $36.00bn | 97.1125 | 97.5873 | 0.688% | +0.489% | +0.00337% |
| 9128286R6 | 2.250% | Apr 30, 2024 | $41.52bn | – | $6.42bn | $35.10bn | 98.3812 | 98.8791 | 0.680% | +0.506% | +0.00344% |
| 912828Y87 | 1.750% | Jul 31, 2024 | $42.63bn | – | $8.82bn | $33.81bn | 97.6923 | 98.2724 | 0.650% | +0.594% | +0.00386% |
| 9128286Z8 | 1.750% | Jun 30, 2024 | $43.34bn | – | $11.28bn | $32.06bn | 98.1522 | 98.6698 | 0.620% | +0.527% | +0.00327% |
| 9128285Z9 | 2.500% | Jan 31, 2024 | $41.00bn | – | $10.64bn | $30.36bn | 99.9130 | 100.3356 | 0.597% | +0.423% | +0.00253% |
| 912828YH7 | 1.500% | Sep 30, 2024 | $45.26bn | – | $14.28bn | $30.98bn | 96.6311 | 97.2228 | 0.589% | +0.612% | +0.00361% |
| 912828YE4 | 1.250% | Aug 31, 2024 | $46.32bn | – | $16.27bn | $30.05bn | 96.8067 | 97.3472 | 0.573% | +0.558% | +0.00320% |
| 912828YM6 | 1.500% | Oct 31, 2024 | $45.29bn | – | $15.36bn | $29.93bn | 96.1916 | 96.8152 | 0.567% | +0.648% | +0.00367% |
| 9128285U0 | 2.625% | Dec 31, 2023 | $41.00bn | – | $15.03bn | $25.97bn | 100.4158 | 100.8485 | 0.513% | +0.431% | +0.00221% |
| 912828V80 | 2.250% | Jan 31, 2024 | $29.78bn | – | $4.90bn | $24.88bn | 99.7874 | 100.2208 | 0.489% | +0.434% | +0.00212% |
| 9128282U3 | 1.875% | Aug 31, 2024 | $28.88bn | – | $3.81bn | $25.06bn | 97.3819 | 97.9427 | 0.481% | +0.576% | +0.00277% |
| 912828X70 | 2.000% | Apr 30, 2024 | $31.82bn | $3.0m | $7.37bn | $24.45bn | 98.2867 | 98.7953 | 0.473% | +0.517% | +0.00245% |
| 912828W48 | 2.125% | Feb 29, 2024 | $31.88bn | $4.0m | $8.09bn | $23.79bn | 99.2682 | 99.7246 | 0.465% | +0.460% | +0.00214% |
| 912828XX3 | 2.000% | Jun 30, 2024 | $31.40bn | – | $8.01bn | $23.39bn | 98.3927 | 98.9307 | 0.453% | +0.547% | +0.00248% |
| 912828V23 | 2.250% | Dec 31, 2023 | $31.72bn | – | $8.90bn | $22.83bn | 100.2269 | 100.6603 | 0.450% | +0.432% | +0.00195% |
| 9128286G0 | 2.375% | Feb 29, 2024 | $42.97bn | – | $20.44bn | $22.54bn | 99.3733 | 99.8503 | 0.441% | +0.480% | +0.00212% |
| 9128282N9 | 2.125% | Jul 31, 2024 | $30.85bn | – | $8.96bn | $21.89bn | 98.0683 | 98.6165 | 0.423% | +0.559% | +0.00236% |
| 9128283D0 | 2.250% | Oct 31, 2024 | $28.70bn | – | $6.87bn | $21.84bn | 96.9124 | 97.5354 | 0.417% | +0.643% | +0.00268% |
| 9128282Y5 | 2.125% | Sep 30, 2024 | $31.48bn | – | $9.98bn | $21.50bn | 97.2170 | 97.8287 | 0.412% | +0.629% | +0.00259% |
| Total | $5.16tn | 100.000% | +0.48703% | ||||||||
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.