TIPS Issued 1997 - 2011 / 2020 Graphs

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TIPS Issued 1997 - 2011 / 2020 Graphs

Post by #Cruncher »

(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.
Image
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.
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Re: TIPS Issued 1997 - 2011 Graph

Post by baw703916 »

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
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Re: TIPS Issued 1997 - 2011 Graph

Post by gabylon »

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
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?
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Re: TIPS Issued 1997 - 2011 Graph

Post by baw703916 »

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?
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.

Brad
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Re: TIPS Issued 1997 - 2011 Graph

Post by gabylon »

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.
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? :wink:
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Re: TIPS Issued 1997 - 2011 Graph

Post by baw703916 »

gabylon wrote:
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.
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? :wink:
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.

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.
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TIPS Issued 1997 - 2012 Graph

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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.
Image

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
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.
Image

And here is the total market value maturing each year by term:
Image

And here is the total market value maturing each year by month:
Image
Sources:
TIPS Auctions in Order of Issuance
WSJ TIPS Prices 12/21/2012
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TIPS Issued 1997 - 2013 Graph

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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.
Image

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
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.
Image

Sources: TIPS Auctions in Order of Issuance -- WSJ TIPS Prices 12/20/2013
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Re: TIPS Issued 1997 - 2011 / 2013 Graph

Post by Cash »

Interesting to see the issuances over time...especially the past few years. Thanks for sharing!
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Re: TIPS Issued 1997 - 2011 / 2013 Graph

Post by ofcmetz »

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
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Re: TIPS Issued 1997 - 2011 / 2013 Graph

Post by 500Kaiser »

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.
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Re: TIPS Issued 1997 - 2016 Graph

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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.
Image

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
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.

Code: Select all

          --- Face Value ($000,000) ---
 Year     Issued   Matured  Outstanding

Code: Select all

 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)
The graph below breaks down the $1,306 billion market value of currently outstanding TIPS by maturity year.
Image.

Sources: TIPS Auctions in Order of Issuance -- WSJ TIPS Prices 12/30/2016
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TIPS Outstanding 1997 - 2019

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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.
Image

The following graph shows only the value outstanding each year, but broken down among 5, 10, 20, and 30 year issues:
Image

And here is a graph of the value outstanding at the end of 2019 shown by maturity year:
Image

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

Code: Select all

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
Here are the figures upon which the first two graphs are based:

Code: Select all

        ---------------------- 1997 $000,000 ------------------------------
        -------- All TIPS --------     ------- Balance Outstanding --------
Year    Issued  Redeemed   Balance     5-Year   10-Year   20-Year   30-Year

Code: Select all

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
And the figures upon which the third graph is based:

Code: Select all

       ---- TIPS Maturing (in 1997 $000,000) ----
Year   5 Year  10 Year  20 Year  30 Year    Total

Code: Select all

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
* Example: 22,686,197 = 36,155,544 * (158.43548 / 252.50248)
Source is LIst of TIPS and List of TIPS Auctions.
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TIPS Issued 1997 - 2020 Graphs

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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.

Image

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.

Image

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.

Code: Select all

     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
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