Background

The principal value of Treasury Inflation-Protected Securities (TIPS - used both as a singular and a plural acronym) is adjusted for changes in the Consumer Price Index (CPI). The CPI for a month is used to establish a "Reference CPI" (Ref CPI) for the 1st of the month 3 months later. For example, the CPI for March establishes the Ref CPI for June 1; the CPI for April, the Ref CPI for July 1, etc. A Ref CPI is calculated for every day in between by a simple interpolation. For example, if the Ref CPI for June 1 is 200.000 and the Ref CPI for July 1 is 203.000 – since there are 30 days in June – the Ref CPI for June 2 = 200.100, June 3 = 200.200, June 30 = 202.900, etc.

Every TIPS has a "Dated Date" which equals or shortly precedes the date it is first issued. The Ref CPI on the dated date becomes the divisor in determining the "Index Ratio" (IR) for the TIPS for every subsequent date. For example if the Ref CPI on the Dated Date is 200 and the Ref CPI on the same day one year later is 205, the IR on that date is 205 / 200 = 1.025. If interest is paid on that date, the par value is multiplied by 1.025 in determining the amount. If the IR on a TIPS maturity date were 1.200, the government would repay the investor $1,200 for each $1,000 of par value.

Basically what this web site shows is the result of computing these IRs for every TIPS ever issued for every date beginning with its dated date up through either its maturity date or the latest Ref CPI date if it hasn't matured. Since each TIPS has a lifetime running in the thousands of days and over 35 TIPS have been issued, there are over a hundred thousand individual IRs. The purpose of this web site is to present these in a convenient form. The same IRs are presented on the Treasury Direct web site. This web site attempts to present them more compactly and to add derived information – like Original Issue Discount (OID), Interest, and Yield to Maturity (YTM) – that the Treasury Direct site does not have.

I hope I've designed the web site logically enough so you can navigate and understand it without detailed instructions. But I've included some on this page in case you have difficulty.

Technical Notes

Nature of the Web Pages

All the web pages on this site consist of only "static" HTML text. They contain no "active" elements such as scripts. None of the pages are generated "on-the-fly". For example, when you click a Matures or or Dated heading link, it simply loads an already constructed page with the other ordering. Likewise, when you click an alternate issue date on a TIPS History page, it loads a previously created page showing the OID and interest beginning with that alternate date.

Yield to Maturity

For TIPS that have matured, the bottom section of the History page shows the actual yield to maturity for a purchase made at auction. The figure I show is the semi-annual Internal Rate of Return (IRR) doubled to be on an anuual basis. For example, assume a 4% non-inflation adjusted bond were purchased at par on one of the interest payment dates (i.e., the first interest payment date is 6 months later). If my method were applied to this bond, it would show a 4.000% yield to maturity, which is what one would expect. I adjust for the case when the purchase is not made on an interest payment date and the first period is therefore less than 6 months. You can ignore the column that shows the discounted cash flows. By definition, these sum to (approximately) zero. I include the column mainly to help in checking that my calculations are correct.

Rounding

All Ref CPIs and IRs are rounded to 5 decimal places. When interpolating Ref CPIs during a month, the calculation is done without rounding and then the result for each day's value is rounded to 5 decimal places. On the History page, the OID amounts are shown to 2 decimal places because this is the maximum applicable precision for a par value of $1,000. Interest payments are shown to 8 decimal places because this is the maximum applicable precision for a par value of $1,000 assuming that coupons are in increments of eighth's of a percentage point. Accrued interest is pro-rated based on the number of days since the last semi-annual payment date divided by the number of days in the current interest period. I also round these to 8 decimal places even though the actual precision could potentially be unlimited depending on the pro-ration fraction.

The Pages

Contents

One Year’s Interest and OID for All TIPS  (example)
Click a year on the right side of the top table.
One Year’s IRs for One TIPS  (example)
Click a year in the bottom table.
One Year’s Interest and OID for One TIPS Bought or Sold in After Market  (example)
Click a year in the bottom table. Then click [After Market] button at top of Index Ratio page.
Half Month IRs for All TIPS  (example)
Click a month in the top table.
List of All TIPS  (example)
Click the top button in the photo.
List of All TIPS Auctions  (example)
Click the top button in the photo, then click [Separate Auctions].
One TIPS History  (example)
Click a coupon in the bottom table. As with the After Market page, this will open a new window or tab.
Table of CPI-U  (example)
Click the second button in the photo.
One Year’s Ref CPI  (example)
Click a year on the left side of the top table.

One Year’s Interest and OID for All TIPS

This page shows the interest per $1,000 for all TIPS active during the year in each month it was paid, and in total for the year. It also shows the OID per $1,000 for the entire year, or the portion of the year the bond was outstanding. For the current year interest and OID are shown through the latest Ref CPI date. Only the initial auction of each TIPS is shown. If you need to the see the first year's OID for a purchase made at a later auction, view the bond's History page, and click on the date for the desired auction. You can display one of these pages by clicking the right year link in the top table on the home page. There are links at the top of the page for the previous year and the next year. Clicking a coupon on the left displays the History page for that TIPS. Clicking on the month caption displays a page showing IRs for all TIPS for the first half of that month. top

One Year’s IRs for One TIPS

This page shows the IRs for one TIPS for every day during one year – or the portion of the year from its dated date through its maturity date. For the current year it runs up through the latest Ref CPI date. It also shows the IR on Jan 1 of the succeeding year – which can be useful since Jan 1 is the date used for calculating OID. You can display one of these pages by clicking the year link in the bottom table on the Home page. There are links at the top of the page for the previous year and the next year, and also a link to the History page mentioned below and to After Market page mentioned above. Clicking on the month caption displays a page showing IRs for ALL TIPS for the first half of that month. top

Interest & OID on After Market Purchase or Sale

This page shows accrued interest and OID per $1,000 for one TIPS for every day during the year when it might have been bought or sold in the after market (aka secondary market). Unfortunately, I couldn't fit a link to these pages onto the Home Page. You need to first click the year link in the bottom table on the Home page. This takes you to the page of Index Ratios for one TIPS for one year. On that page click the [After Market] button. The page shows the accrued interest and OID for purchases or sales that take place on any of the settlement dates shown in the left hand column. For a purchase the accrued interest is subtracted from regular interest for the year. For a sale it is added. OID for a purchase covers the settlement date until the end of the period. For a sale, OID covers the beginning of the period until the settlement date. In both cases the OID shown multiplied by the number of bonds you hold is what should appear on your tax form 1099-OID for the year. (If you buy and sell a TIPS within the same year, subtract the OID on your purchase date from the OID on your sale date using the far right column for both dates.) There are links at the top of the page for the previous year and the next year, and also links to the History page and One Year Index Ratios page mentioned above. The month links at the top of the page jump to the month so you don't have to scroll down. Since settlement never occurs on Saturdays or Sundays, they are omitted. If you need to see an Index Ratio for one of these days, click the [Index Ratios] button at the top of the page. top

Half Month IRs for All TIPS

This page shows the IRs for all TIPS active for the first half of one month. At the top of the page are links to display the previous or next half month. You can display one of these pages by clicking the month link in the top table on the Home page. You can also display one by clicking the month name on a Year page discussed in the next paragraph. Just above the row listing each day is the Ref CPI for that date. (It's shown in two parts with the decimal point suppressed to keep the page from being too wide.) The IR in each cell is the result of dividing this Ref CPI by the one in the column that shows the Ref CPI on each TIPS' dated date. Clicking the coupon for one of the TIPS displays a page of IRs for that TIPS for the entire year. Clicking "Ref CPI" displays a page of Ref CPI for the entire year. top

List of All TIPS

The TIPS List page shows every TIPS issued with key information such as coupon, dated date, and maturity date. You can display this page by clicking the link on the left side of the Home page. The # in the left column is a sequential identification number I've assigned to each TIPS in the order they were originally issued. Clicking on the original issue date or additional issue dates displays a page with a history of that TIPS – which is explained below. Click [Separate Auctions] at the top of the page to display the list with each auction on a separate row. Click 5, 10, 20, or 30 Year to list only TIPS with that maturity. top

List of All TIPS Auctions

This page shows each TIPS auction on a separate row. You can display this page by clicking [Separate Auctions] at the top of the List of All TIPS page. Click an auction date to view the auction results PDF file in a separate window. Each row shows: Price Before IR, Index Ratio on issue date, and their product: Price After IR. "Real" yield to maturity (YTM) excludes inflation adjustment and is reported by the Treasury at the time of auction. "Actual" YTM includes inflation adjustment and is only shown for TIPS that have matured. For more information about actual YTM see the left sidebar. Click [Combine Auctions] at the top of the page to display only one TIPS per row. Click 5, 10, 20, or 30 Year to list only auctions for TIPS with that maturity. top

One TIPS History

The top section of this page shows the Ref CPI and IR on each issue date, the dated date, and, if the TIPS has matured, on the maturity date. You can display this page by clicking the coupon on the lower home page table or by clicking an issued date in the TIPS List or TIP Auction pages. If the TIPS has more than one issue date, you can click on the desired one to use as the starting point for the OID and Interest sections below. If you purchased a TIPS at auction and haven't sold it before maturity, you can multiply these amounts by your holdings in 1,000's to determine the OID and interest that apply to you. If you didn't purchase the TIPS at auction or if you sold it before maturity, consult the Interest and OID for After Market page for the year you purchased or sold.

The middle section shows the Ref CPI and IR on the selected issue date, on Jan 1 of succeeding years, and, if the TIPS has matured, on the maturity date. OID is calculated by subtracting the IR from the previous IR and multiplying it by 1,000. (Note: Jan 1 is the valuation date used in determining the OID taxable for the preceding year.) For the current year OID is shown through the latest Ref CPI date.

The bottom section shows the Ref CPI, IR, and interest on the issue date and on each subsequent interest payment date. If the issue date didn't fall on the dated date or on one of the semi-annual interest payment dates, accrued interest was payable, in addition to principal, at the time of purchase.

The bottom section is expanded for TIPS that have matured. A complete cash flow is shown including the principal paid on the issue date and the principal collected at maturity. In addition, the totals of principal and interest are discounted to their present value based on the actual yield to maturity. (For more information about how the yield to maturity is calculated see the Technical Notes in the sidebar.) The total in the principal column is divided between OID and capital gain or loss. The gain or loss represents the amount that the purchase price differed from par value, adjusted for the IR on the purchase date. top

Table of CPI-U

This page shows the Consumer Price Index - All Urban Consumers (CPI-U), before seasonal adjustment, for each month from January 1961 through the latest month reported. The CPI for any month is used as the Ref CPI for the first of the month 3 months later. For example, the CPI for October 1996 is used as the Ref CPI for the 1st day of January 1997 (the month the first TIPS was issued.) The original uncorrected figures are used for Jan - Aug 2000. See Bureau of Labor Statistics on Links page for more information.

To the right of December is a column showing the purchasing power equivalent in the row year of $100 in the latest year. The next column shows the inverse. I.e., the purchasing power equivalent in the latest year of $100 in the row year. Next are columns showing the annual rate of change for 1, 2, 5, 10, and 30 year periods. By default, the two purchasing power of $100 columns and the five annual rate of change columns refer to the latest reported month. But any other month can be selected by clicking its column heading at the top or bottom of the table. The figures for the month selected are displayed in bold.

By default the page shows the monthly reported CPI figures. However, clicking [Show YTD Avg] at the top of the page, will display the year-to-date averages for each month. For example, Feb will be the average of Jan & Feb; Mar will be the average of Jan, Feb, & Mar; etc. Dec will be the average of all twelve months. The two value of $100 columns and the annual change columns on the right side will correspond to the displayed YTD figures. To revert to the normal display, click [Show Month]. top

One Year’s Ref CPI

This page shows the Ref CPI for every day during one year or, for the current year, up through the latest Ref CPI date. It also shows the Ref CPI on Jan 1 of the succeeding year. You can display one of these pages by clicking the left year link in the top table on the Home page. There are links at the top of the page for the previous year and the next year. Clicking on the month caption displays a page showing IRs for all TIPS for the first half of that month. top

Miscellaneous

TIPS Ordering

Pages that list each TIPS can be shown in either maturity date or issue date order by clicking the Matures or Dated column headings. The alternating row background color changes shades to visually indicate which order is being displayed. Some pages with navigation links at the top to the Home, List, or Auctions pages have one button to the page in maturity order and another to the page in issue order.

Printing

Most browsers let you control whether backgrounds, such as the row shading, appears when the page is printed. For example,
   Internet Explorer: Tools / Internet Options / Advanced Tab / Printing / Print background colors and images
   Safari: Print background check box in the Print dialog (make sure to expand the dialog)

I've designed the TIPS List and TIPS History pages to print on a single page in portrait mode, and the Year and Half-Month pages to print on a single page in landscape mode. You may need to use your browser's Print Setup for proper printing. Unfortunately, because they have a row for every workday during a year, the After Market Interest & OID pages can't be printed on a single page. (I did this to reduce the number individual files comprising the site.)

Importing

You should be able to copy and paste rows from any of the tables into a spreadsheet for further manipulation. Excel – at least my version – does a good job of pasting each table element into the appropriate cell.

Errors and Comments

In a project of this size, errors are to be expected. At least until this site has been thoroughly tested, I suggest checking any IRs used for critital purposes against those on the Treasury Direct web site. I welcome comments about errors, suggested improvements, or just general impressions. Please email me at

tipscruncher@earthlink.net