TIPS Issued 1997 - 2011 / 2020 Graphs
TIPS Issued 1997 - 2011 / 2020 Graphs
(Edit 12/27/2020: see post below for update through 2020)
(Edit 12/21/2019: see post below for update through 2019)
(Edit 12/31/2016: see post below for update through 2016)
(Edit 12/21/2013: see post below for update through 2013)
(Edit 12/21/2012: see post below for update through 2012)
With last Thursday's auction the Treasury has completed its monthly TIPS auctions for 2011. $135b of 5, 10, and 30 year bonds were issued; up from $88b in 2010; allaying fears the Treasury will terminate TIPS issuance.
Of the $796b issued since 1997, $136b has matured, leaving $660b outstanding. Here is a link to an April post with a graph showing the outstanding amounts by maturity year: TIPS Maturing 2012 - 2041 Graph
Source: TIPS Auctions in Order of Issuance
Edit: 04/15/2012: changed domain in image and link URLs
(Edit 12/21/2019: see post below for update through 2019)
(Edit 12/31/2016: see post below for update through 2016)
(Edit 12/21/2013: see post below for update through 2013)
(Edit 12/21/2012: see post below for update through 2012)
With last Thursday's auction the Treasury has completed its monthly TIPS auctions for 2011. $135b of 5, 10, and 30 year bonds were issued; up from $88b in 2010; allaying fears the Treasury will terminate TIPS issuance.
Of the $796b issued since 1997, $136b has matured, leaving $660b outstanding. Here is a link to an April post with a graph showing the outstanding amounts by maturity year: TIPS Maturing 2012 - 2041 Graph
Source: TIPS Auctions in Order of Issuance
Edit: 04/15/2012: changed domain in image and link URLs
Last edited by #Cruncher on Sun Dec 27, 2020 1:49 pm, edited 6 times in total.
Re: TIPS Issued 1997 - 2011 Graph
Mr. Market apparently wants to lend money to the government at a negative real interest rate (for 5 and 10 year TIPS).
Uncle Sam would be a fool not to take that offer. It actually reduces risk on the Treasury side, too. By selling 10 year nominal Treasuries at a yield of 1.8%, it's hypothetically possible that inflation could turn out to be less than that over ten years, so the government would end up paying a real positive return to the bondholders. With TIPS sold at a negative real yield, no such problem.
Brad
Uncle Sam would be a fool not to take that offer. It actually reduces risk on the Treasury side, too. By selling 10 year nominal Treasuries at a yield of 1.8%, it's hypothetically possible that inflation could turn out to be less than that over ten years, so the government would end up paying a real positive return to the bondholders. With TIPS sold at a negative real yield, no such problem.
Brad
Most of my posts assume no behavioral errors.
Re: TIPS Issued 1997 - 2011 Graph
Hi Brad. Have you considered the opposite hypothetical possibility? That inflation turns out to be higher than the 1.8% minus the negative real interest rate, so the government ends up paying more nominal dollars for the TIPS than for the nominals?baw703916 wrote:Mr. Market apparently wants to lend money to the government at a negative real interest rate (for 5 and 10 year TIPS).
Uncle Sam would be a fool not to take that offer. It actually reduces risk on the Treasury side, too. By selling 10 year nominal Treasuries at a yield of 1.8%, it's hypothetically possible that inflation could turn out to be less than that over ten years, so the government would end up paying a real positive return to the bondholders. With TIPS sold at a negative real yield, no such problem.
Brad
Re: TIPS Issued 1997 - 2011 Graph
That's true, it's quite likely that the real returns on both nominal Treasuries and TIPS will be negative. But only for TIPS is the government guaranteed to come out ahead . The only exception would be if the next ten years are so deflationary that the limitation that TIPS at maturity must be worth at least their par value comes into play. Say if the real yield in -0.15% and the annualized inflation rate over 10 years is -0.5%. But, 10 years of sustained deflation would cause a lot of bigger things to happen than just 10 year TIPS ending up with positive real returns.gabylon wrote:Hi Brad. Have you considered the opposite hypothetical possibility? That inflation turns out to be higher than the 1.8% minus the negative real interest rate, so the government ends up paying more nominal dollars for the TIPS than for the nominals?
Brad
Most of my posts assume no behavioral errors.
Re: TIPS Issued 1997 - 2011 Graph
Mmm, I believe that in my example above the government comes out ahead with nominals. Isn't paying less dollars (whatever their real value) coming out ahead?baw703916 wrote:...But only for TIPS is the government guaranteed to come out ahead . The only exception would be if the next ten years are so deflationary that the limitation that TIPS at maturity must be worth at least their par value comes into play.
Re: TIPS Issued 1997 - 2011 Graph
OK, I had meant "ahead" in an absolute sense, meaning does the government get to borrow money at a negative real interest rate? You referred to whether the government ends up better off by selling TIPS or selling nominals.gabylon wrote:Mmm, I believe that in my example above the government comes out ahead with nominals. Isn't paying less dollars (whatever their real value) coming out ahead?baw703916 wrote:...But only for TIPS is the government guaranteed to come out ahead . The only exception would be if the next ten years are so deflationary that the limitation that TIPS at maturity must be worth at least their par value comes into play.
Yes, if intlation is greater than about 2% over the next ten years, the government will end up better off selling nominals than TIPS. But, the government has a higher probability of paying a positive interest rate by issuing nominals than by issuing TIPS. They will pay a positive real yield on 10 year nominals if the inflation rate over the next ten years is < 1.85%. For 10 year TIPS, it would have to be <-0.11% for them to pay a positive real interest rate.
Most of my posts assume no behavioral errors.
TIPS Issued 1997 - 2012 Graph
This week the Treasury completed its twelve monthly TIPS auctions for 2012; issuing $150 billion of 5, 10, and 30 year bonds; up from $135 billion in 2011. 10-year TIPS continue to be most popular with $82 billion issued in six auctions, compared to $44 billion of 5-year and $23 billion of 30-year each in three auctions.
Of the $946 billion of face value issued since 1997, $182 billion has matured, leaving $764 billion outstanding. The table below shows (in $ millions) the face value along with the additional value due to the CPI inflation adjustment to principal and the premium due to market prices being above par:
The graph below breaks down the outstanding TIPS by a maturity year. The overall bar height represents the total market value of TIPS maturing each year. Broad market TIPS index funds like the iShares TIP ETF will hold TIPS in these proportions (except they omit the ones maturing in 2013). Short term TIPS index funds like the Vanguard VTIP ETF will hold in proportion to the market values of the ones maturing in 2013 - 2017.
And here is the total market value maturing each year by term:
And here is the total market value maturing each year by month:
Sources:
TIPS Auctions in Order of Issuance
WSJ TIPS Prices 12/21/2012
Of the $946 billion of face value issued since 1997, $182 billion has matured, leaving $764 billion outstanding. The table below shows (in $ millions) the face value along with the additional value due to the CPI inflation adjustment to principal and the premium due to market prices being above par:
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CPI Market Total
Face Principal Price Market
Value Adjustment Premium Value
------- ------- -------- ----------
182,068 38,740 - 220,808 Matured thru 2012
764,126 86,172 167,433 1,017,731 Outstanding Jan 1, 2013
------- ------- -------- ----------
946,195 124,912 167,433 1,238,539 Total
And here is the total market value maturing each year by term:
And here is the total market value maturing each year by month:
Sources:
TIPS Auctions in Order of Issuance
WSJ TIPS Prices 12/21/2012
TIPS Issued 1997 - 2013 Graph
This week the Treasury completed its twelve monthly TIPS auctions for 2013, issuing $155 billion of 5, 10, and 30 year bonds, up slightly from $150 billion in 2012. 10-year TIPS continue to be most popular with $82 billion issued in six auctions, compared to $50 billion of 5-year and $23 billion of 30-year in three auctions each.
Of the $1,101 billion of face value issued since 1997, $217 billion has matured, leaving $884 billion outstanding. The table below shows (in $ millions) the face value along with the additional value due to the CPI inflation adjustment to principal and the premium due to market prices being (in total) above par:
The graph below breaks down the $1,029 billion market value of outstanding TIPS by a maturity year. Broad market TIPS index funds like the iShares TIP ETF will hold TIPS in these proportions (except they omit the ones maturing in 2014). Short term TIPS index funds like the Vanguard VTIP ETF will hold in proportion to the market values of the ones maturing in 2014 - 2018.
Sources: TIPS Auctions in Order of Issuance -- WSJ TIPS Prices 12/20/2013
Of the $1,101 billion of face value issued since 1997, $217 billion has matured, leaving $884 billion outstanding. The table below shows (in $ millions) the face value along with the additional value due to the CPI inflation adjustment to principal and the premium due to market prices being (in total) above par:
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CPI Market Total
Face Principal Price Market
Value Adjustment Premium Value
------- ------- -------- ----------
217,068 45,486 - 262,554 Matured thru 2013
884,127 89,512 55,785 1,029,425 Outstanding Jan 1, 2014
------- ------- -------- ----------
1,101,195 134,998 55,785 1,291,979 Total
Sources: TIPS Auctions in Order of Issuance -- WSJ TIPS Prices 12/20/2013
Re: TIPS Issued 1997 - 2011 / 2013 Graph
Interesting to see the issuances over time...especially the past few years. Thanks for sharing!
Re: TIPS Issued 1997 - 2011 / 2013 Graph
Thanks #Cruncher for such an informative thread update. I find your data fascinating and appreciate the time you take to update us.
Merry Christmas
Jeff
Merry Christmas
Jeff
Never underestimate the power of the force of low cost index funds.
Re: TIPS Issued 1997 - 2011 / 2013 Graph
Thanks for putting together and posting your annual update. I especially appreciate the graphical view of what the broad based indexes are likely to be holding. Knowing (and understanding) what is under the hood is vital.
Higher risk = higher HOPEFUL returns, not expected returns.
Re: TIPS Issued 1997 - 2016 Graph
This month the Treasury completed its twelve monthly TIPS auctions for 2016, issuing $145 billion of 5, 10, and 30 year bonds, down from $155 billion in 2015. 10-year TIPS (maturing Jan 15 & July 15 2026) continue to be most popular with $79 billion issued in six auctions, compared to $45 billion of 5-year (maturing April 15 2021) and $20 billion of 30-year (maturing Feb 2046) in three auctions each. Here is a graph of each maturity issued since the first issuance in 1997.
Of the $1,556 billion of face value issued since 1997, $405 billion has matured, leaving $1,151 billion outstanding. The table below shows (in $ millions) the face value along with the additional value due to the CPI inflation adjustment to principal and the premium due to market prices being (in total) above par:
The drop in TIPS prices during the 2008 financial crisis is often partly attributed to a lack of liquidity. As shown in the table below, at the end of 2016 about 2.5 times as much face value of TIPS is outstanding as at the end of 2008. This should make them more liquid now.
The graph below breaks down the $1,306 billion market value of currently outstanding TIPS by maturity year.
.
Sources: TIPS Auctions in Order of Issuance -- WSJ TIPS Prices 12/30/2016
Of the $1,556 billion of face value issued since 1997, $405 billion has matured, leaving $1,151 billion outstanding. The table below shows (in $ millions) the face value along with the additional value due to the CPI inflation adjustment to principal and the premium due to market prices being (in total) above par:
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CPI Market Total
Face Principal Price Market
Value Adjustment Premium Value
------- ------- -------- ----------
404,947 77,502 - 482,450 Matured thru 2016
1,150,947 96,678 57,883 1,305,508 Outstanding Jan 1, 2017
------- ------- -------- ----------
1,555,894 174,180 57,883 1,787,958 Total
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--- Face Value ($000,000) ---
Year Issued Matured Outstanding
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1997 32,568 32,568
1998 33,615 66,184
1999 30,618 96,802
2000 16,319 113,121
2001 16,000 129,121
2002 23,010 (16,813) 135,319
2003 26,000 161,319
2004 63,000 224,319
2005 69,000 293,319
2006 77,181 370,500
2007 65,013 (15,756) 419,757
2008 62,021 (16,809) 464,969
2009 59,375 (15,899) 508,445
2010 87,760 (39,319) 556,886
2011 134,872 (31,181) 660,577
2012 149,841 (46,292) 764,126
2013 155,000 (35,000) 884,127
2014 155,030 (55,277) 983,880
2015 155,066 (57,235) 1,081,711
2016 144,603 (75,367) 1,150,947
--------- ---------
Total 1,555,894 (404,947)
.
Sources: TIPS Auctions in Order of Issuance -- WSJ TIPS Prices 12/30/2016
TIPS Outstanding 1997 - 2019
The following graph shows the value of TIPS issued, redeemed, and outstanding each year 1997 through 2019. The bars show the amounts issued & redeemed and the line shows the amount outstanding.
The following graph shows only the value outstanding each year, but broken down among 5, 10, 20, and 30 year issues:
And here is a graph of the value outstanding at the end of 2019 shown by maturity year:
All the values are in constant principal dollars based on the Reference CPI of 1/15/1997, the base date of the first TIPS issue. For example, in 2019 $159 billion of face value was issued which equaled $99 billion in 1997 dollars. Also during 2019 $80 billion face value of TIPS were redeemed which equaled $56 billion in 1997 dollars. This means the value of TIPS principal outstanding (in 1997 dollars) increased $43 billion (99 - 56) during the year.
Here are the figures upon which the first two graphs are based:
And the figures upon which the third graph is based:
* Example: 22,686,197 = 36,155,544 * (158.43548 / 252.50248)
Source is LIst of TIPS and List of TIPS Auctions.
The following graph shows only the value outstanding each year, but broken down among 5, 10, 20, and 30 year issues:
And here is a graph of the value outstanding at the end of 2019 shown by maturity year:
All the values are in constant principal dollars based on the Reference CPI of 1/15/1997, the base date of the first TIPS issue. For example, in 2019 $159 billion of face value was issued which equaled $99 billion in 1997 dollars. Also during 2019 $80 billion face value of TIPS were redeemed which equaled $56 billion in 1997 dollars. This means the value of TIPS principal outstanding (in 1997 dollars) increased $43 billion (99 - 56) during the year.
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--------- $000 ---------
Coupon Matures Dated Ref CPI Face Value 1997 Dollars
------ ---------- ---------- --------- ---------- ------------
3.375% 01/15/2007 01/15/1997 158.43548 15,755,635 15,755,635 <-- first TIPS
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0.875% 01/15/2029 01/15/2019 252.50248 36,155,544 22,686,197 [*]
1.000% 02/15/2049 02/15/2019 251.63550 15,385,028 9,686,766
0.500% 04/15/2024 04/15/2019 252.20853 32,217,059 20,238,511
0.250% 07/15/2029 07/15/2019 255.79368 39,802,749 24,653,336
0.125% 10/15/2024 10/15/2019 256.56513 35,189,172 21,730,207
----------- ----------
Total Issued 2019 158,749,552 98,995,018
2.125% 01/15/2019 01/15/2009 214.69971 14,757,814 10,890,380
1.875% 07/15/2019 07/15/2009 213.51819 15,189,988 11,271,326
0.125% 04/15/2019 04/15/2014 234.31967 50,000,067 33,807,595
---------- ----------
Total Redeemed 2019 79,947,869 55,969,301
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---------------------- 1997 $000,000 ------------------------------
-------- All TIPS -------- ------- Balance Outstanding --------
Year Issued Redeemed Balance 5-Year 10-Year 20-Year 30-Year
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1997 32,388 0 32,388 16,632 15,756 0 0
1998 32,947 0 65,335 16,632 32,240 0 16,463
1999 29,545 0 94,881 16,632 47,600 0 30,648
2000 15,477 0 110,358 16,632 58,259 0 35,467
2001 14,477 0 124,835 16,632 68,273 0 39,930
2002 20,343 16,632 128,546 0 88,615 0 39,930
2003 22,540 0 151,085 0 111,155 0 39,930
2004 53,258 0 204,344 10,036 145,132 9,246 39,930
2005 57,282 0 261,626 23,417 174,744 23,535 39,930
2006 61,334 0 322,960 39,525 204,005 39,500 39,930
2007 50,696 15,756 357,900 53,018 212,503 52,449 39,930
2008 46,482 16,485 387,897 64,261 219,433 64,273 39,930
2009 44,041 15,360 416,578 75,698 226,234 74,715 39,930
2010 64,070 34,075 446,573 67,806 253,001 74,715 51,051
2011 96,652 26,122 517,103 79,237 294,746 74,715 68,404
2012 104,354 39,123 582,334 96,736 326,262 74,715 84,621
2013 106,175 28,496 660,013 119,762 365,065 74,715 100,471
2014 104,661 45,414 719,260 142,133 386,288 74,715 116,123
2015 104,165 45,137 778,288 160,481 411,494 74,715 131,598
2016 96,319 56,800 817,807 162,995 434,873 74,715 145,224
2017 90,377 55,246 852,938 160,954 459,769 74,715 157,500
2018 90,098 57,683 885,352 156,681 484,437 74,715 169,519
2019 98,995 55,969 928,378 164,842 509,615 74,715 179,205
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---- TIPS Maturing (in 1997 $000,000) ----
Year 5 Year 10 Year 20 Year 30 Year Total
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2020 33,872 37,425 71,297
2021 30,053 51,760 81,813
2022 28,951 57,146 86,096
2023 29,997 56,056 86,053
2024 41,969 55,200 97,169
2025 54,818 23,535 78,352
2026 52,640 15,965 68,605
2027 49,150 12,949 62,099
2028 48,082 11,824 16,463 76,369
2029 47,340 10,442 19,004 76,786
...
2032 4,463 4,463
...
2040 11,121 11,121
2041 17,353 17,353
2042 16,216 16,216
2043 15,850 15,850
2044 15,653 15,653
2045 15,475 15,475
2046 13,626 13,626
2047 12,276 12,276
2048 12,019 12,019
2049 9,687 9,687
------- ------- ------ ------- -------
Total 164,842 509,615 74,715 179,205 928,378
Source is LIst of TIPS and List of TIPS Auctions.
TIPS Issued 1997 - 2020 Graphs
This month the Treasury completed its twelve monthly TIPS auctions for 2020, issuing $169 billion face value of 5, 10, and 30 year bonds, up from $159 billion in 2019. 10-year TIPS (maturing Jan 15 & July 15 2030) continue to be most popular with $84 billion issued in six auctions, compared to $70 billion of 5-year (maturing April 15 & Oct 15 2025) in four auctions and $16 billion of 30-year (maturing Feb 2050) in two auctions. Here is a graph of the face value of each term issued since the first issuance in 1997.
The graph above shows that more TIPS were issued in 2020 than in any previous year. However, if we look at constant dollar value of issuance and net out redemptions, only about $33 billion net was issued in 1997 constant dollars. This is down considerably from the $78 billion net issued in 2013. Note that in 2002, 2010, 2017, and 2018 the constant $ value of 5-year TIPS redeemed exceeded that of new 5-year issues. Also note that 20-year TIPS were only issued 2004 through 2009.
The source of the data for the graphs is from the webpage, http://eyebonds.info/tips/auctlist_iss.html. Here is an example showing how the $9 billion ($8,868,343,000) shown for 5-year TIPS in 2020 was calculated. Face values are from the webpage, http://eyebonds.info/tips/tipslist_mat_5.html.
The graph above shows that more TIPS were issued in 2020 than in any previous year. However, if we look at constant dollar value of issuance and net out redemptions, only about $33 billion net was issued in 1997 constant dollars. This is down considerably from the $78 billion net issued in 2013. Note that in 2002, 2010, 2017, and 2018 the constant $ value of 5-year TIPS redeemed exceeded that of new 5-year issues. Also note that 20-year TIPS were only issued 2004 through 2009.
The source of the data for the graphs is from the webpage, http://eyebonds.info/tips/auctlist_iss.html. Here is an example showing how the $9 billion ($8,868,343,000) shown for 5-year TIPS in 2020 was calculated. Face values are from the webpage, http://eyebonds.info/tips/tipslist_mat_5.html.
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Matures Dated Ref CPI Face $000 1997 $000
---------- ---------- --------- ---------- ----------
1/15/1997 158.43548
Issued
4/15/2025 4/15/2020 258.30093 35,553,007 21,807,346 = 35553007 * (158.43548 / 258.30093)
10/15/2025 10/15/2020 259.46997 34,282,307 20,933,188 = 34282307 * (158.43548 / 259.46997)
Sum 69,835,314 42,740,534
Redeemed
4/15/2020 4/15/2015 234.18067 (50,065,884) (33,872,191) = -50065884 * (158.43548 / 234.18067)
Net 19,769,430 8,868,343