2.5% 10-Year Treasury Inflation Protected Security (TIPS) due July 15, 2016
Auction Prices, OID, Cash Flows, & YTM for $1,000 Purchase on 10/16/06 Held to Maturity
| Description | Series D-2016 | Dated Date | July 15, 2006 |
| CUSIP Number | 912828FL9 | Ref CPI on Dated Date | 201.95161 |
| Price before & after Applying Index Ratio and Real Yield to Maturity (YTM) & Nominal Return | ||||||||
|---|---|---|---|---|---|---|---|---|
| Auction | Issued | Ref CPI | Amount in 000's | Price before IR | Index Ratio | Price after IR | Real YTM | Nominal Return |
| 07/13/06 | 07/17/06 | 202.01613 | 10,588,254 | 99.561150 | 1.00032 | 99.593010 | 2.550 | 4.323 |
| 10/12/06 | 10/16/06 | 203.69355 | 9,411,776 | 100.635208 | 1.00863 | 101.503690 | 2.426 | 4.151 |
| Total Auctioned | 20,000,030 | |||||||
| OID for Purchase on 10/16/06 | ||||
|---|---|---|---|---|
| Click Year for Daily Index Ratios | ||||
| Year | Date | Ref CPI | Index Ratio | OID per $1,000 |
| 10/16/06 | 203.69355 | 1.00863 | ||
| 2006 | 01/01/07 | 201.80000 | 0.99925 | -9.38 |
| 2007 | 01/01/08 | 208.93600 | 1.03458 | 35.33 |
| 2008 | 01/01/09 | 216.57300 | 1.07240 | 37.82 |
| 2009 | 01/01/10 | 216.17700 | 1.07044 | -1.96 |
| 2010 | 01/01/11 | 218.71100 | 1.08299 | 12.55 |
| 2011 | 01/01/12 | 226.42100 | 1.12116 | 38.17 |
| 2012 | 01/01/13 | 231.31700 | 1.14541 | 24.25 |
| 2013 | 01/01/14 | 233.54600 | 1.15645 | 11.04 |
| 2014 | 01/01/15 | 237.43300 | 1.17569 | 19.24 |
| 2015 | 01/01/16 | 237.83800 | 1.17770 | 2.01 |
| 2016 | 07/15/16 | 239.70132 | 1.18692 | 9.22 |
| Total | 178.29 | |||
| Cash Flows per $1,000 Purchased on 10/16/06 | ||||||
|---|---|---|---|---|---|---|
| Click Year in Date Column for After Market Accrued Interest | ||||||
| Date | Ref CPI | Index Ratio | Principal | Interest | Total Cash Flow | Discounted @ 4.151% YTM |
| 10/16/06 | 203.69355 | 1.00863 | -1,015.03690 | -6.37245856 | -1,021.40935856 | -1,021.40935856 |
| 01/15/07 | 201.66452 | 0.99858 | 12.48225000 | 12.48225000 | 12.35606323 | |
| 07/15/07 | 207.25639 | 1.02627 | 12.82837500 | 12.82837500 | 12.44045887 | |
| 01/15/08 | 209.49645 | 1.03736 | 12.96700000 | 12.96700000 | 12.31917915 | |
| 07/15/08 | 215.63997 | 1.06778 | 13.34725000 | 13.34725000 | 12.42257315 | |
| 01/15/09 | 214.69971 | 1.06312 | 13.28900000 | 13.28900000 | 12.11684567 | |
| 07/15/09 | 213.51819 | 1.05727 | 13.21587500 | 13.21587500 | 11.80512811 | |
| 01/15/10 | 216.24610 | 1.07078 | 13.38475000 | 13.38475000 | 11.71284924 | |
| 07/15/10 | 218.08532 | 1.07989 | 13.49862500 | 13.49862500 | 11.57229056 | |
| 01/15/11 | 218.75255 | 1.08319 | 13.53987500 | 13.53987500 | 11.37161007 | |
| 07/15/11 | 225.38381 | 1.11603 | 13.95037500 | 13.95037500 | 11.47811823 | |
| 01/15/12 | 226.33474 | 1.12074 | 14.00925000 | 14.00925000 | 11.29216472 | |
| 07/15/12 | 229.96306 | 1.13870 | 14.23375000 | 14.23375000 | 11.23981492 | |
| 01/15/13 | 230.82203 | 1.14296 | 14.28700000 | 14.28700000 | 11.05244541 | |
| 07/15/13 | 232.71797 | 1.15235 | 14.40437500 | 14.40437500 | 10.91664683 | |
| 01/15/14 | 233.33058 | 1.15538 | 14.44225000 | 14.44225000 | 10.72277534 | |
| 07/15/14 | 237.44594 | 1.17576 | 14.69700000 | 14.69700000 | 10.69002080 | |
| 01/15/15 | 236.85403 | 1.17283 | 14.66037500 | 14.66037500 | 10.44653930 | |
| 07/15/15 | 237.14365 | 1.17426 | 14.67825000 | 14.67825000 | 10.24658509 | |
| 01/15/16 | 237.61129 | 1.17658 | 14.70725000 | 14.70725000 | 10.05805145 | |
| 07/15/16 | 239.70132 | 1.18692 | 1,186.92000 | 14.83650000 | 1,201.75650000 | 805.14919890 |
| Total | 171.88310 | 271.08691644 | 442.97001644 | 0.00000049 | ||
| OID | 178.29000 | |||||
| Purchase Premium | -6.40690 | |||||