2.625% 10-Year Treasury Inflation Protected Security (TIPS) due July 15, 2017
Auction Prices, OID, Cash Flows, & YTM for $1,000 Purchase on 10/15/07 Held to Maturity
| Description | Series D-2017 | Dated Date | July 15, 2007 |
| CUSIP Number | 912828GX2 | Ref CPI on Dated Date | 207.25639 |
| 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 |
| 07/12/07 | 07/16/07 | 207.29713 | 8,000,011 | 98.922415 | 1.00020 | 98.942199 | 2.749 | 4.454 |
| 10/11/07 | 10/15/07 | 208.12648 | 6,000,020 | 102.292316 | 1.00420 | 102.721944 | 2.360 | 4.064 |
| Total Auctioned | 14,000,031 | |||||||
| OID for Purchase on 10/15/07 | ||||
|---|---|---|---|---|
| Click Year for Daily Index Ratios | ||||
| Year | Date | Ref CPI | Index Ratio | OID per $1,000 |
| 10/15/07 | 208.12648 | 1.00420 | ||
| 2007 | 01/01/08 | 208.93600 | 1.00810 | 3.90 |
| 2008 | 01/01/09 | 216.57300 | 1.04495 | 36.85 |
| 2009 | 01/01/10 | 216.17700 | 1.04304 | -1.91 |
| 2010 | 01/01/11 | 218.71100 | 1.05527 | 12.23 |
| 2011 | 01/01/12 | 226.42100 | 1.09247 | 37.20 |
| 2012 | 01/01/13 | 231.31700 | 1.11609 | 23.62 |
| 2013 | 01/01/14 | 233.54600 | 1.12685 | 10.76 |
| 2014 | 01/01/15 | 237.43300 | 1.14560 | 18.75 |
| 2015 | 01/01/16 | 237.83800 | 1.14755 | 1.95 |
| 2016 | 01/01/17 | 241.72900 | 1.16633 | 18.78 |
| 2017 | 07/15/17 | 244.61839 | 1.18027 | 13.94 |
| Total | 176.07 | |||
| Cash Flows per $1,000 Purchased on 10/15/07 | ||||||
|---|---|---|---|---|---|---|
| Click Year in Date Column for After Market Accrued Interest | ||||||
| Date | Ref CPI | Index Ratio | Principal | Interest | Total Cash Flow | Discounted @ 4.064% YTM |
| 10/15/07 | 208.12648 | 1.00420 | -1,027.21944 | -6.59006250 | -1,033.80950250 | -1,033.80950250 |
| 01/15/08 | 209.49645 | 1.01081 | 13.26688125 | 13.26688125 | 13.13411788 | |
| 07/15/08 | 215.63997 | 1.04045 | 13.65590625 | 13.65590625 | 13.25002599 | |
| 01/15/09 | 214.69971 | 1.03591 | 13.59631875 | 13.59631875 | 12.92949840 | |
| 07/15/09 | 213.51819 | 1.03021 | 13.52150625 | 13.52150625 | 12.60229229 | |
| 01/15/10 | 216.24610 | 1.04337 | 13.69423125 | 13.69423125 | 12.50910587 | |
| 07/15/10 | 218.08532 | 1.05225 | 13.81078125 | 13.81078125 | 12.36434154 | |
| 01/15/11 | 218.75255 | 1.05547 | 13.85304375 | 13.85304375 | 12.15519941 | |
| 07/15/11 | 225.38381 | 1.08746 | 14.27291250 | 14.27291250 | 12.27421203 | |
| 01/15/12 | 226.33474 | 1.09205 | 14.33315625 | 14.33315625 | 12.08055783 | |
| 07/15/12 | 229.96306 | 1.10956 | 14.56297500 | 14.56297500 | 12.02982731 | |
| 01/15/13 | 230.82203 | 1.11370 | 14.61731250 | 14.61731250 | 11.83425592 | |
| 07/15/13 | 232.71797 | 1.12285 | 14.73740625 | 14.73740625 | 11.69387955 | |
| 01/15/14 | 233.33058 | 1.12581 | 14.77625625 | 14.77625625 | 11.49121923 | |
| 07/15/14 | 237.44594 | 1.14566 | 15.03678750 | 15.03678750 | 11.46095730 | |
| 01/15/15 | 236.85403 | 1.14281 | 14.99938125 | 14.99938125 | 11.20477943 | |
| 07/15/15 | 237.14365 | 1.14420 | 15.01762500 | 15.01762500 | 10.99500317 | |
| 01/15/16 | 237.61129 | 1.14646 | 15.04728750 | 15.04728750 | 10.79733207 | |
| 07/15/16 | 239.70132 | 1.15654 | 15.17958750 | 15.17958750 | 10.67535546 | |
| 01/15/17 | 241.55919 | 1.16551 | 15.29731875 | 15.29731875 | 10.54391331 | |
| 07/15/17 | 244.61839 | 1.18027 | 1,180.27000 | 15.49104375 | 1,195.76104375 | 807.78362835 |
| Total | 153.05056 | 282.17765625 | 435.22821625 | -0.00000016 | ||
| OID | 176.07000 | |||||
| Purchase Premium | -23.01944 | |||||