TreasuryDirect FedInvest, END OF DAY column, dirty
Methodology
v1.0
Level since inception
216 monthly rebalances, chained from 100 at September 30, 2008. The y axis is an index level, not a rate. The last 13 points are daily, through October 20, 2026: the index is valued every trading day and reconstitutes its holdings monthly. At inception the index is constituted at 100 and its first portfolio is struck. That is not a rebalance — nothing preceded it to rebalance from. The first REbalance is the next month-end, which is also the first level in the published series, and it already carries a month of return: the series therefore begins one month after the index does.
Total return
Cumulative and annualized total return over trailing periods to October 20, 2026.
Period
From (close)
To (close)
Cumulative
Annualized
Month to date
Sep 30, 2026
Oct 20, 2026
+1.25%
–
1 month
Sep 18, 2026
Oct 20, 2026
-0.02%
–
Quarter to date
Sep 30, 2026
Oct 20, 2026
+1.25%
–
3 months
Jul 20, 2026
Oct 20, 2026
-1.33%
–
Year to date
Dec 31, 2025
Oct 20, 2026
-1.52%
–
1 year
Oct 20, 2025
Oct 20, 2026
-1.84%
-1.84%
3 years
Oct 20, 2023
Oct 20, 2026
+12.83%
+4.10%
5 years
Oct 20, 2021
Oct 20, 2026
-3.38%
-0.68%
10 years
Oct 20, 2016
Oct 20, 2026
+8.05%
+0.78%
Since inception
Sep 30, 2008
Oct 20, 2026
+44.38%
+2.05%
Periods under one year are not annualized, and the dash in that column is a refusal rather than a gap: restating one month as a yearly rate extrapolates a single month's movement across twelve, which overstates gains and losses alike. Month, quarter and year to date are partial periods and are not annualized. Every period is measured between CLOSING levels, so the From date is the last day BEFORE the period rather than its first day — month to date begins at the previous month's close, which is why a September figure starts on an August date.
Characteristics at October 20, 2026
Struck at the Sep 30, 2026 rebalance and held until the next one. The constituent file for this period is published when it closes; the most recent published file is the period to Sep 30, 2026.
Yield to maturity
5.00%
Modified duration
5.50yrs
Average maturity
7.56 yrs
Average price
90.35
Convexity
0.661
Coupon
3.53%
Holdings
299
Float par value
$15,699,957mm
Market value
$14,335,985mm
Key rate exposure
<.01
0.01
0.16
0.38
0.62
0.85
0.73
0.55
0.74
0.64
0.63
0.29
3m
6m
1y
2y
3y
5y
7y
10y
15y
20y
25y
30y
Sensitivity to a one basis point move at each point on the curve, in years. Concentrated in 12 of twelve buckets, summing to 5.620 years against a modified duration of 5.503.
Market value weighted, rebalanced monthly on the last trading day. Amount outstanding is what was auctioned, less par Treasury has bought back and retired, less what the Federal Reserve holds, a bond the Fed owns is outstanding but not investable, so deducting it is what makes the weights describe a portfolio somebody could actually hold. Levels are month-end figures, so this sits behind the daily prices elsewhere on this site by design.
Largest holdings
299 holdings, struck Sep 30, 2026
The 5 heaviest, by weight, of the 299 the index holds now. Weights were struck at the Sep 30, 2026 rebalance and hold until the next one. Return and contribution are month to date through Oct 20, 2026 and move every trading day — a closed month’s figures are final, these are not.
The 5 heaviest of the 299 holdings of US Treasury, struck at the 2026-09-30 rebalance, with each one's weight and its month-to-date return and contribution through 2026-10-20.
All 299 contributions add to 1.2505%, and the weights to 100.0000%. That return is what the published levels give for the index between Sep 30, 2026 and Oct 20, 2026, reached without using this table — so the holdings account for the month so far, to the decimal place shown.
Index levels before September 30, 2026 are back-tested. They were computed after the fact by applying the rules to historical data, which benefits from hindsight in the choice of rules, and an index cannot be invested in directly. Methodology v1.0 takes effect at that rebalance, when levels begin to be struck on the day; the rulebook is identical either way, and the version is published on every row.
A fitted curve is a fit, not a quote. Daily error averages 3.8 basis points across the history and reaches about 20 on the worst days, in December 2008, when the market was genuinely hard to fit one smooth curve to. Every curve page publishes its own fit error rather than burying it.
Safe Rate™, Safe Rate Indices™ and the Safe Rate US Treasury Index™ are trademarks of Safe Rate, claimed through use in commerce and not registered. Third-party marks are the property of their owners, which are not affiliated with and do not endorse this data.
Curves are fitted from public Treasury data and carry fit error; figures are not a record of trading, and an index cannot be invested in directly. No claim of compliance with the IOSCO Principles for Financial Benchmarks is made or implied. Not investment advice, not an offer, and not a recommendation to buy or sell any security.