2% 5-Year Treasury Inflation Protected Security (TIPS) due April 15, 2012
Auction Prices, OID, Cash Flows, & YTM for $1,000 Purchase on 10/31/07 Held to Maturity
| Description | Series J-2012 | Dated Date | April 15, 2007 |
| CUSIP Number | 912828GN4 | Ref CPI on Dated Date | 202.92140 |
| 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 |
| 04/24/07 | 04/30/07 | 203.46290 | 10,123,198 | 99.465161 | 1.00267 | 99.730733 | 2.114 | 4.383 |
| 10/23/07 | 10/31/07 | 207.92932 | 7,157,942 | 100.194641 | 1.02468 | 102.667445 | 1.954 | 3.968 |
| Total Auctioned | 17,281,140 | |||||||
| OID for Purchase on 10/31/07 | ||||
|---|---|---|---|---|
| Click Year for Daily Index Ratios | ||||
| Year | Date | Ref CPI | Index Ratio | OID per $1,000 |
| 10/31/07 | 207.92932 | 1.02468 | ||
| 2007 | 01/01/08 | 208.93600 | 1.02964 | 4.96 |
| 2008 | 01/01/09 | 216.57300 | 1.06728 | 37.64 |
| 2009 | 01/01/10 | 216.17700 | 1.06532 | -1.96 |
| 2010 | 01/01/11 | 218.71100 | 1.07781 | 12.49 |
| 2011 | 01/01/12 | 226.42100 | 1.11581 | 38.00 |
| 2012 | 04/15/12 | 227.13073 | 1.11930 | 3.49 |
| Total | 94.62 | |||
| Cash Flows per $1,000 Purchased on 10/31/07 | ||||||
|---|---|---|---|---|---|---|
| Click Year in Date Column for After Market Accrued Interest | ||||||
| Date | Ref CPI | Index Ratio | Principal | Interest | Total Cash Flow | Discounted @ 3.968% YTM |
| 10/31/07 | 207.92932 | 1.02468 | -1,026.67445 | -0.89589508 | -1,027.57034508 | -1,027.57034508 |
| 04/15/08 | 211.36607 | 1.04162 | 10.41620000 | 10.41620000 | 10.23113538 | |
| 10/15/08 | 219.56748 | 1.08203 | 10.82030000 | 10.82030000 | 10.42131276 | |
| 04/15/09 | 211.63300 | 1.04293 | 10.42930000 | 10.42930000 | 9.84933468 | |
| 10/15/09 | 215.56913 | 1.06233 | 10.62330000 | 10.62330000 | 9.83738771 | |
| 04/15/10 | 216.71220 | 1.06796 | 10.67960000 | 10.67960000 | 9.69714603 | |
| 10/15/10 | 218.14694 | 1.07503 | 10.75030000 | 10.75030000 | 9.57145892 | |
| 04/15/11 | 220.72980 | 1.08776 | 10.87760000 | 10.87760000 | 9.49640542 | |
| 10/15/11 | 226.20335 | 1.11473 | 11.14730000 | 11.14730000 | 9.54255033 | |
| 04/15/12 | 227.13073 | 1.11930 | 1,119.30000 | 11.19300000 | 1,130.49300000 | 948.92361427 |
| Total | 92.62555 | 96.04100492 | 188.66655492 | 0.00000042 | ||
| OID | 94.62000 | |||||
| Purchase Premium | -1.99445 | |||||