1.125% 10-Year Treasury Inflation Protected Security (TIPS) due January 15, 2021
Auction Prices, OID, Cash Flows, & YTM for $1,000 Purchase on 05/31/11 Held to Maturity
| Description | Series A-2021 | Dated Date | January 15, 2011 |
| CUSIP Number | 912828PP9 | Ref CPI on Dated Date | 218.75255 |
| 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 |
| 01/20/11 | 01/31/11 | 218.80003 | 13,259,048 | 99.577991 | 1.00022 | 99.599898 | 1.170 | 2.942 |
| 03/24/11 | 03/31/11 | 220.18932 | 11,493,335 | 101.914969 | 1.00657 | 102.584550 | 0.920 | 2.652 |
| 05/19/11 | 05/31/11 | 223.39739 | 11,925,858 | 102.190468 | 1.02123 | 104.359972 | 0.887 | 2.490 |
| Total Auctioned | 36,678,240 | |||||||
| OID for Purchase on 05/31/11 | ||||
|---|---|---|---|---|
| Click Year for Daily Index Ratios | ||||
| Year | Date | Ref CPI | Index Ratio | OID per $1,000 |
| 05/31/11 | 223.39739 | 1.02123 | ||
| 2011 | 01/01/12 | 226.42100 | 1.03506 | 13.83 |
| 2012 | 01/01/13 | 231.31700 | 1.05744 | 22.38 |
| 2013 | 01/01/14 | 233.54600 | 1.06763 | 10.19 |
| 2014 | 01/01/15 | 237.43300 | 1.08540 | 17.77 |
| 2015 | 01/01/16 | 237.83800 | 1.08725 | 1.85 |
| 2016 | 01/01/17 | 241.72900 | 1.10503 | 17.78 |
| 2017 | 01/01/18 | 246.66300 | 1.12759 | 22.56 |
| 2018 | 01/01/19 | 252.88500 | 1.15603 | 28.44 |
| 2019 | 01/01/20 | 257.34600 | 1.17643 | 20.40 |
| 2020 | 01/01/21 | 260.38800 | 1.19033 | 13.90 |
| 2021 | 01/15/21 | 260.31619 | 1.19000 | -0.33 |
| Total | 168.77 | |||
| Cash Flows per $1,000 Purchased on 05/31/11 | ||||||
|---|---|---|---|---|---|---|
| Click Year in Date Column for After Market Accrued Interest | ||||||
| Date | Ref CPI | Index Ratio | Principal | Interest | Total Cash Flow | Discounted @ 2.490% YTM |
| 05/31/11 | 223.39739 | 1.02123 | -1,043.59972 | -4.31624834 | -1,047.91596834 | -1,047.91596834 |
| 07/15/11 | 225.38381 | 1.03031 | 5.79549375 | 5.79549375 | 5.77769336 | |
| 01/15/12 | 226.33474 | 1.03466 | 5.81996250 | 5.81996250 | 5.73074037 | |
| 07/15/12 | 229.96306 | 1.05125 | 5.91328125 | 5.91328125 | 5.75102934 | |
| 01/15/13 | 230.82203 | 1.05517 | 5.93533125 | 5.93533125 | 5.70149187 | |
| 07/15/13 | 232.71797 | 1.06384 | 5.98410000 | 5.98410000 | 5.67765357 | |
| 01/15/14 | 233.33058 | 1.06664 | 5.99985000 | 5.99985000 | 5.62259680 | |
| 07/15/14 | 237.44594 | 1.08545 | 6.10565625 | 6.10565625 | 5.65139155 | |
| 01/15/15 | 236.85403 | 1.08275 | 6.09046875 | 6.09046875 | 5.56801335 | |
| 07/15/15 | 237.14365 | 1.08407 | 6.09789375 | 6.09789375 | 5.50624969 | |
| 01/15/16 | 237.61129 | 1.08621 | 6.10993125 | 6.10993125 | 5.44927685 | |
| 07/15/16 | 239.70132 | 1.09576 | 6.16365000 | 6.16365000 | 5.42958978 | |
| 01/15/17 | 241.55919 | 1.10426 | 6.21146250 | 6.21146250 | 5.40442404 | |
| 07/15/17 | 244.61839 | 1.11824 | 6.29010000 | 6.29010000 | 5.40554640 | |
| 01/15/18 | 246.66571 | 1.12760 | 6.34275000 | 6.34275000 | 5.38376561 | |
| 07/15/18 | 251.01658 | 1.14749 | 6.45463125 | 6.45463125 | 5.41136074 | |
| 01/15/19 | 252.50248 | 1.15428 | 6.49282500 | 6.49282500 | 5.37644550 | |
| 07/15/19 | 255.79368 | 1.16933 | 6.57748125 | 6.57748125 | 5.37957131 | |
| 01/15/20 | 257.28368 | 1.17614 | 6.61578750 | 6.61578750 | 5.34436484 | |
| 07/15/20 | 256.39126 | 1.17206 | 6.59283750 | 6.59283750 | 5.26033524 | |
| 01/15/21 | 260.31619 | 1.19000 | 1,190.00000 | 6.69375000 | 1,196.69375000 | 943.08442778 |
| Total | 146.40028 | 119.97099541 | 266.37127541 | -0.00000036 | ||
| OID | 168.77000 | |||||
| Purchase Premium | -22.36972 | |||||