2.375% 10-Year Treasury Inflation Protected Security (TIPS) due January 15, 2017
Auction Prices, OID, Cash Flows, & YTM for $1,000 Purchase on 04/16/07 Held to Maturity
| Description | Series A-2017 | Dated Date | January 15, 2007 |
| CUSIP Number | 912828GD6 | Ref CPI on Dated Date | 201.66452 |
| 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 |
| 01/11/07 | 01/16/07 | 201.65484 | 11,249,508 | 99.347247 | 0.99995 | 99.342280 | 2.449 | 4.332 |
| 04/12/07 | 04/16/07 | 202.95750 | 6,000,019 | 100.787956 | 1.00641 | 101.434007 | 2.284 | 4.143 |
| Total Auctioned | 17,249,527 | |||||||
| OID for Purchase on 04/16/07 | ||||
|---|---|---|---|---|
| Click Year for Daily Index Ratios | ||||
| Year | Date | Ref CPI | Index Ratio | OID per $1,000 |
| 04/16/07 | 202.95750 | 1.00641 | ||
| 2007 | 01/01/08 | 208.93600 | 1.03606 | 29.65 |
| 2008 | 01/01/09 | 216.57300 | 1.07393 | 37.87 |
| 2009 | 01/01/10 | 216.17700 | 1.07196 | -1.97 |
| 2010 | 01/01/11 | 218.71100 | 1.08453 | 12.57 |
| 2011 | 01/01/12 | 226.42100 | 1.12276 | 38.23 |
| 2012 | 01/01/13 | 231.31700 | 1.14704 | 24.28 |
| 2013 | 01/01/14 | 233.54600 | 1.15809 | 11.05 |
| 2014 | 01/01/15 | 237.43300 | 1.17737 | 19.28 |
| 2015 | 01/01/16 | 237.83800 | 1.17937 | 2.00 |
| 2016 | 01/01/17 | 241.72900 | 1.19867 | 19.30 |
| 2017 | 01/15/17 | 241.55919 | 1.19783 | -0.84 |
| Total | 191.42 | |||
| Cash Flows per $1,000 Purchased on 04/16/07 | ||||||
|---|---|---|---|---|---|---|
| Click Year in Date Column for After Market Accrued Interest | ||||||
| Date | Ref CPI | Index Ratio | Principal | Interest | Total Cash Flow | Discounted @ 4.143% YTM |
| 04/16/07 | 202.95750 | 1.00641 | -1,014.34007 | -6.00857352 | -1,020.34864352 | -1,020.34864352 |
| 07/15/07 | 207.25639 | 1.02773 | 12.20429375 | 12.20429375 | 12.08048809 | |
| 01/15/08 | 209.49645 | 1.03884 | 12.33622500 | 12.33622500 | 11.96323318 | |
| 07/15/08 | 215.63997 | 1.06930 | 12.69793750 | 12.69793750 | 12.06407219 | |
| 01/15/09 | 214.69971 | 1.06464 | 12.64260000 | 12.64260000 | 11.76770022 | |
| 07/15/09 | 213.51819 | 1.05878 | 12.57301250 | 12.57301250 | 11.46539451 | |
| 01/15/10 | 216.24610 | 1.07231 | 12.73368125 | 12.73368125 | 11.37622273 | |
| 07/15/10 | 218.08532 | 1.08143 | 12.84198125 | 12.84198125 | 11.24011100 | |
| 01/15/11 | 218.75255 | 1.08473 | 12.88116875 | 12.88116875 | 11.04557413 | |
| 07/15/11 | 225.38381 | 1.11762 | 13.27173750 | 13.27173750 | 11.14949674 | |
| 01/15/12 | 226.33474 | 1.12233 | 13.32766875 | 13.32766875 | 10.96922964 | |
| 07/15/12 | 229.96306 | 1.14032 | 13.54130000 | 13.54130000 | 10.91884635 | |
| 01/15/13 | 230.82203 | 1.14458 | 13.59188750 | 13.59188750 | 10.73718961 | |
| 07/15/13 | 232.71797 | 1.15399 | 13.70363125 | 13.70363125 | 10.60573989 | |
| 01/15/14 | 233.33058 | 1.15702 | 13.73961250 | 13.73961250 | 10.41775762 | |
| 07/15/14 | 237.44594 | 1.17743 | 13.98198125 | 13.98198125 | 10.38634959 | |
| 01/15/15 | 236.85403 | 1.17450 | 13.94718750 | 13.94718750 | 10.15021676 | |
| 07/15/15 | 237.14365 | 1.17593 | 13.96416875 | 13.96416875 | 9.95630569 | |
| 01/15/16 | 237.61129 | 1.17825 | 13.99171875 | 13.99171875 | 9.77346715 | |
| 07/15/16 | 239.70132 | 1.18861 | 14.11474375 | 14.11474375 | 9.65928645 | |
| 01/15/17 | 241.55919 | 1.19783 | 1,197.83000 | 14.22423125 | 1,212.05423125 | 812.62196263 |
| Total | 183.48993 | 260.30219523 | 443.79212523 | 0.00000065 | ||
| OID | 191.42000 | |||||
| Purchase Premium | -7.93007 | |||||