Short vs long TIPS inflation protection

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gmaynardkrebs
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Re: Short vs long TIPS inflation protection

Post by gmaynardkrebs » Sat Apr 18, 2020 8:12 am

jeffyscott wrote:
Sat Apr 18, 2020 6:42 am
Northern Flicker wrote:
Sat Apr 18, 2020 1:10 am
tipswatcher wrote: The idea that TIPS will get "more expensive" if inflation heats up always makes me ponder: How would they be more expensive, in the sense that I am buying a new issue TIPS today at an auction?
They would become more expensive if the buyers at auction bid up the price higher and/or the buyers on a secondary market bid up the price higher. This would in turn cause their real yield to fall.
But it seems more likely, that just like today, the prices/yields would depend on what the prices/yields of nominals are. If high inflation leads to high prices for TIPS and thus low real yields, it seems like the opposite should also be true. But instead, we currently have low inflation and even deflation with high TIPS prices and low real yields. TIPS real yields are low because nominal yields (and expected real yields) are low.
I think the question is whether the opposite relationship you posit holds true when the inflation is intentional, ie part of a financial repression policy regime, with the Fed pushing up inflation while simultaneously capping nominal Treasury rates, as it did after WWII to monetize the debt. TIPS would seemingly undermine the goal of monetizing the debt/financial repression. I suppose they could cap/repress the CPI adjustment on TIPS to something like CPI -X% to stifle that escape hatch (possible on new issuance, but probably illegal on existing TIPS). But, my guess is that they would just stop issuing them. That's among the reasons I much prefer long TIPS over short, just to know I have that claim on inflation protection long into the future should something like that happen.

JackoC
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Re: Short vs long TIPS inflation protection

Post by JackoC » Sat Apr 18, 2020 9:30 am

gmaynardkrebs wrote:
Fri Apr 17, 2020 10:33 am
JackoC wrote:
Fri Apr 17, 2020 8:40 am
gmaynardkrebs wrote:
Thu Apr 16, 2020 1:58 pm
I favor long TIPS over shorter TIPS based on this view:
1. There's not a lot of interest in TIPS right now because people aren't worried about inflation -- they haven't seen it for decades. That makes TIPS cheaper than they would otherwise be.

...
5. Real rates will be much lower because the Fed wants low real rates to stimulate a stagnant economy.
I think that's a *possible* scenario, but unlikely if we're talking about levels of inflation high enough to do serious damage to a portfolio.
You seem to be focused largely on the 5-year time frame. My focus is on the 20-30 year time frame. I look as TIPS as insurance against relatively high, unexpected inflation. Between today and 2025, I'm not worried either. However, the longer the time frame, the greater the risk. Some say, "well, if ten years from inflation breaks out, you can just buy short TIPS." I think that's like saying, "I'll wait and see if a I have a heart attack, and buy life insurance then." You can get it, but it won't be cheap.
I think my point is all the more valid for long term. CD's as alternative are basically 5 yr, yes (brokered CD's more common to longer term but the best deals are almost always 5yr direct CD's). But, if we go back into a higher-than-the-Fed-wants inflation regime long term TIPS are going to sell off more heavily than short/medium TIPS, IMO extremely likely. The market is highly unlikely to be anticipating more negative future real short rates set by the Fed than it does now if it foresees a long term high inflation problem.

So while the understandable intuition might be to compare the situation to buying life insurance only after you develop a condition which makes it more expensive, I think that's actually mainly the wrong way around for TIPS. Anything is possible, but they are much more likely get cheaper, reflecting higher expected real future Fed funds rate, if inflation gets out of hand to the upside. Though anything is possible about the future, and like I said, your theory is more plausible if inflation goes up relatively a little, from 1-ish to 2-ish%, markets anticipate steady loose policy to keep inflation at 2-ish and TIPS do better than nominal treasuries. However again either TIPS or nominals are miles behind current best CD rates. And if in 5 yrs inflation is higher, is the next 5 yr CD going to have a higher or lower rate than now? Anyway to me again TIPS would be to protect against really substantial break out of inflation to the upside, but in that case they will almost surely get cheaper than they are now. The TIPS yield is basically a function of expected real future short rates over the time horizon of the TIPS, not 'investor interest' for an instrument the issuer can create a virtually unlimited supply of. It's not like buying insurance only after you need it: you might not 'deserve' cheaper TIPS by waiting for inflation to rise first, but you'll probably get them. :D

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gmaynardkrebs
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Re: Short vs long TIPS inflation protection

Post by gmaynardkrebs » Sat Apr 18, 2020 10:05 am

JackoC wrote:
Sat Apr 18, 2020 9:30 am
gmaynardkrebs wrote:
Fri Apr 17, 2020 10:33 am
JackoC wrote:
Fri Apr 17, 2020 8:40 am
gmaynardkrebs wrote:
Thu Apr 16, 2020 1:58 pm
I favor long TIPS over shorter TIPS based on this view:
1. There's not a lot of interest in TIPS right now because people aren't worried about inflation -- they haven't seen it for decades. That makes TIPS cheaper than they would otherwise be.

...
5. Real rates will be much lower because the Fed wants low real rates to stimulate a stagnant economy.
I think that's a *possible* scenario, but unlikely if we're talking about levels of inflation high enough to do serious damage to a portfolio.
You seem to be focused largely on the 5-year time frame. My focus is on the 20-30 year time frame. I look as TIPS as insurance against relatively high, unexpected inflation. Between today and 2025, I'm not worried either. However, the longer the time frame, the greater the risk. Some say, "well, if ten years from inflation breaks out, you can just buy short TIPS." I think that's like saying, "I'll wait and see if a I have a heart attack, and buy life insurance then." You can get it, but it won't be cheap.
I think my point is all the more valid for long term. CD's as alternative are basically 5 yr, yes (brokered CD's more common to longer term but the best deals are almost always 5yr direct CD's). But, if we go back into a higher-than-the-Fed-wants inflation regime long term TIPS are going to sell off more heavily than short/medium TIPS, IMO extremely likely. The market is highly unlikely to be anticipating more negative future real short rates set by the Fed than it does now if it foresees a long term high inflation problem.

So while the understandable intuition might be to compare the situation to buying life insurance only after you develop a condition which makes it more expensive, I think that's actually mainly the wrong way around for TIPS. Anything is possible, but they are much more likely get cheaper, reflecting higher expected real future Fed funds rate, if inflation gets out of hand to the upside. Though anything is possible about the future, and like I said, your theory is more plausible if inflation goes up relatively a little, from 1-ish to 2-ish%, markets anticipate steady loose policy to keep inflation at 2-ish and TIPS do better than nominal treasuries. However again either TIPS or nominals are miles behind current best CD rates. And if in 5 yrs inflation is higher, is the next 5 yr CD going to have a higher or lower rate than now? Anyway to me again TIPS would be to protect against really substantial break out of inflation to the upside, but in that case they will almost surely get cheaper than they are now. The TIPS yield is basically a function of expected real future short rates over the time horizon of the TIPS, not 'investor interest' for an instrument the issuer can create a virtually unlimited supply of. It's not like buying insurance only after you need it: you might not 'deserve' cheaper TIPS by waiting for inflation to rise first, but you'll probably get them. :D
I think where we may differ is that I see financial repression as the greatest source of inflation risk at this point. Unfortunately for savers, financial repression does not entail higher federal fund rates (or higher 5 year CD rates), but lower ones, even as inflation rages on. See my previous post above this one for my thinking. FWIW, I think I would tend to agree with your analysis but for that.

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Re: Short vs long TIPS inflation protection

Post by Northern Flicker » Sat Apr 18, 2020 3:51 pm

jeffyscott wrote:
Sat Apr 18, 2020 6:42 am
Northern Flicker wrote:
Sat Apr 18, 2020 1:10 am
tipswatcher wrote: The idea that TIPS will get "more expensive" if inflation heats up always makes me ponder: How would they be more expensive, in the sense that I am buying a new issue TIPS today at an auction?
They would become more expensive if the buyers at auction bid up the price higher and/or the buyers on a secondary market bid up the price higher. This would in turn cause their real yield to fall.
But it seems more likely, that just like today, the prices/yields would depend on what the prices/yields of nominals are. If high inflation leads to high prices for TIPS and thus low real yields, it seems like the opposite should also be true. But instead, we currently have low inflation and even deflation with high TIPS prices and low real yields. TIPS real yields are low because nominal yields (and expected real yields) are low.
The nominal treasury market being much larger than the TIPS market surely means that the nominal treasury market has a bigger influence on (expected) real yields than the TIPS market. There also can be liquidity concerns with TIPS, though, so the TIPS market still exerts independent influence of TIPS prices/yields.

The notion that the treasury will stop issuing TIPS is speculative, and I doubt it is a current driver for TIPS pricing.
Risk is not a guarantor of return.

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gmaynardkrebs
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Re: Short vs long TIPS inflation protection

Post by gmaynardkrebs » Sat Apr 18, 2020 4:32 pm

Northern Flicker wrote:
Sat Apr 18, 2020 3:51 pm
jeffyscott wrote:
Sat Apr 18, 2020 6:42 am
Northern Flicker wrote:
Sat Apr 18, 2020 1:10 am
tipswatcher wrote: The idea that TIPS will get "more expensive" if inflation heats up always makes me ponder: How would they be more expensive, in the sense that I am buying a new issue TIPS today at an auction?
They would become more expensive if the buyers at auction bid up the price higher and/or the buyers on a secondary market bid up the price higher. This would in turn cause their real yield to fall.
But it seems more likely, that just like today, the prices/yields would depend on what the prices/yields of nominals are. If high inflation leads to high prices for TIPS and thus low real yields, it seems like the opposite should also be true. But instead, we currently have low inflation and even deflation with high TIPS prices and low real yields. TIPS real yields are low because nominal yields (and expected real yields) are low.
The nominal treasury market being much larger than the TIPS market surely means that the nominal treasury market has a bigger influence on (expected) real yields than the TIPS market. There also can be liquidity concerns with TIPS, though, so the TIPS market still exerts independent influence of TIPS prices/yields.
A minor quibble with your terminolgy.
Neither nominals nor TIPS "influence" real yields. Taken together, they are indicators of inflation expectations, from which real yields may be estimated. They influence nothing, as inflation is exogenous.

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Re: Short vs long TIPS inflation protection

Post by Northern Flicker » Sat Apr 18, 2020 6:36 pm

TIPS have a deterministic real yield that is independent of the inflation rate (other than the fact that if there is deflation over the life of the TIPS, then the deflation put at maturity will increase the real yield).

Nominal treasuries have a probabilistic real yield. That is, the real yield is a random variable derived from a more basic random variable, the future inflation rate.

Federal reserve governors often cite research that claims real rates are set by the supply and demand for bonds. The economist-speak for it is often the “balance of savings vs investment”.
Risk is not a guarantor of return.

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Re: Short vs long TIPS inflation protection

Post by gmaynardkrebs » Sat Apr 18, 2020 10:09 pm

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Slowtraveler
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Re: Short vs long TIPS inflation protection

Post by Slowtraveler » Sun Apr 19, 2020 1:07 am

Dioremius wrote:
Thu Apr 16, 2020 10:51 pm
I'm also curious about the posed question, but actually nowadays: I'm struggling to see how TIPS of any duration (sub-zero real yield) have a plausible chance of outperforming bank CDs (nominal ~1.7% APY).

Given similar expected yields, sure I'd prefer to have some of my bonds be inflation-protected and some nominal, for diverification. But both of these are now eclipsed, in expected value, by bank CDs (which happen to be all nominal).

I'm on the verge of dumping my VTIP holdings and moving them to CDs (as I already did for most of my nominal bonds). Convince me otherwise?
It seems the holdings in VTIP are at .7% real yield. With an average age to maturity of over 2 years, I don't see why you need to dump VTIP until the fund buys more shares at the current lower yields. Unless inflation <1%, VTIP will likely have a higher real yield than most CDs for the next year or so.

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Re: Short vs long TIPS inflation protection

Post by #Cruncher » Sun Apr 19, 2020 6:37 am

Slowtraveler wrote:
Sun Apr 19, 2020 1:07 am
It seems the holdings in VTIP are at .7% real yield.
VTIP follows the index of all TIPS maturing within the next five years. My latest calculation, shown in this post from another thread, using Friday's WSJ TIPS Quotes, shows the 0-5 year index to have an average yield of +0.59%. However, the average yield of this index is distorted by the TIPS maturing within one year. I think it's better to use the average yield of the 1-5 year index for funds like VTIP. As of Friday this was +0.12%.
Slowtraveler in same post wrote:Unless inflation <1%, VTIP will likely have a higher real yield than most CDs for the next year or so.
Judging by the orange line in the following graph of breakeven inflation rates (from this post in another thread) the market is anticipating inflation will be less than 1% over the next few years.
Image

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Re: Short vs long TIPS inflation protection

Post by jeffyscott » Sun Apr 19, 2020 9:06 am

#Cruncher wrote:
Sun Apr 19, 2020 6:37 am
However, the average yield of this index is distorted by the TIPS maturing within one year. I think it's better to use the average yield of the 1-5 year index for funds like VTIP. As of Friday this was +0.12%.
The fund has about 18% of holdings maturing in 0-1 year, that's as of March 31. That may now be more like 16% since April 2021 holding is around 6% but April 2020 was about 8% of assets (though the effect of adding April 2025 would also affect the percentage). But anyway, I wonder if it makes sense to consider this fund to be sort of something like ~85-90% short term TIPS and 10-15% effectively more like T-bills? Thinking that there is typically not going to be anything too unexpected with regard to inflation over very short time frames, so the 0-1 year ones are sort of a T-bill/TIPS hybrid. Of course, the recent changes in short term inflation expectations, due to unexpected events would tend to counter that theory.

In any case, those that mature in the next year should certainly not just be averaged in based on their quoted real YTMs of 4.81%, 2.05%, and 1.53% and percent of assets (4.89%, 5.02%, and 5.91%, respectively). As you have pointed out previously, one issue is that, for example, the 4.89% of assets with real YTM of 4.81% is only going to earn that for about 3 months. And while it's final value at maturity is not yet known, it is really not that uncertain what it will be. We already do know that it's accrued principle will decline slightly over the next month and there is probably a pretty good idea how much additional decline in accrued principle will occur in the subsequent couple of months.
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Re: Short vs long TIPS inflation protection

Post by gmaynardkrebs » Sun Apr 19, 2020 10:54 am

jeffyscott wrote:
Sun Apr 19, 2020 9:06 am
We already do know that it's accrued principle will decline slightly over the next month and there is probably a pretty good idea how much additional decline in accrued principle will occur in the subsequent couple of months.
Any idea how Vanguard will handle a negative CPI on the 1099 for individual TIPS if the CPI is net-negative for TY 2020? Regretfully, I hold some individual TIPS with in my taxable account, and I have no idea how to handle this.

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Re: Short vs long TIPS inflation protection

Post by #Cruncher » Sun Apr 19, 2020 11:20 pm

jeffyscott wrote:
Sun Apr 19, 2020 9:06 am
... those [TIPS] that mature in the next year should certainly not just be averaged in based on their quoted real YTMs of 4.81%, 2.05%, and 1.53% and percent of assets (4.89%, 5.02%, and 5.91%, respectively).
I agree. One way to see this is to compute the "average" YTM in a different way: by calculating the internal rate of return (IRR) of the total cash flow. The first row of the table below shows the weighted average YTMs of the TIPS maturing in 0-5 and 1-5 years: 0.59% and 0.12% as mentioned in my previous post. The large positive yields of the three bonds maturing in the first year bring the weighted average up considerably, by 0.47% points.

The second row shows the IRR as calculated (with the Excel XIRR function) on the overall cash flows. [*] When computed this way the large yields of the three TIPS maturing the first year have much less effect: they bring the rate up only 0.10% points, from 0.02% to 0.12%.

Code: Select all

Row      Col A   Col B   Col C    Col D     Col E     Col F   Formulas in column E
  1                    Weighted avg -->     0.59%     0.12%  =SUMPRODUCT(C4:C19,D4:D19)/SUM(C4:C19)
  2                            XIRR -->     0.12%     0.02%  =XIRR(E3:E19,$A3:$A19)
      Settle &         Mkt Val            --- Cash Flow ---
      Maturity  Coupon   ($M)      YTM     0 - 5     1 - 5

Code: Select all

  3  4/20/2020                           (695,529) (566,768)
  4  7/15/2020  1.250%  37,943   4.809%    38,375         0   =C4*(1+D4/365)^(A4-A$3)
  5  1/15/2021  1.125%  42,848   2.048%    43,502         0    etc.
  6  4/15/2021  0.125%  47,971   1.527%    48,699         0 
  7  7/15/2021  0.625%  40,664   0.561%    40,947    40,947 
  8  1/15/2022  0.125%  46,377   0.619%    46,879    46,879 
  9  4/15/2022  0.125%  46,491   0.489%    46,945    46,945 
 10  7/15/2022  0.125%  45,591   0.234%    45,830    45,830 
 11  1/15/2023  0.125%  45,250   0.248%    45,558    45,558 
 12  4/15/2023  0.625%  49,194   0.171%    49,446    49,446 
 13  7/15/2023  0.375%  45,691  (0.028%)   45,649    45,649 
 14  1/15/2024  0.625%  46,066  (0.033%)   46,009    46,009 
 15  4/15/2024  0.500%  33,448  (0.075%)   33,348    33,348 
 16  7/15/2024  0.125%  44,647  (0.174%)   44,319    44,319 
 17 10/15/2024  0.125%  35,780  (0.281%)   35,331    35,331 
 18  1/15/2025  2.375%  42,523  (0.157%)   42,208    42,208 
 19  1/15/2025  0.250%  45,046  (0.177%)   44,670    44,670
                       -------
         Total         695,529

gmaynardkrebs wrote:
Sun Apr 19, 2020 10:54 am
Any idea how Vanguard will handle a negative CPI on the 1099 for individual TIPS if the CPI is net-negative for TY 2020? Regretfully, I hold some individual TIPS with in my taxable account, and I have no idea how to handle this.
I can't answer this for Vanguard since I hold no TIPS in a taxable account there. But according to the IRS Instructions for Forms 1099-INT and 1099-OID (2020), brokers should report negative OID on the form 1099-OID.
Box 8. Original Issue Discount on U.S. Treasury Obligations
Enter the OID on a U.S. Treasury obligation for the part of the year it was owned by the record holder. ... The amount in box 8 may be a negative number (for example, if a Treasury Inflation Protected Security has a deflation adjustment for the year).
However, in the past Schwab has not done this. As recently as tax year 2015 its 1099-OID omitted the negative OID for one of the TIPS I held. However, it was shown in a supplemental part of the 1099 package. (See my post, Schwab 1099 Problems for Maturing TIPS in 2015.)

Whether or not Vanguard includes negative amounts on the 1099-OID, you are entitled to deduct them in the Interest section of Schedule B. After November of this year, you can check the far right column of my TIPS Interest and OID for 2020 to see what values Vanguard should be reporting (per $1,000 of face value).

* For simplicity, I'm ignoring the 6-month coupon interest payments in the cash flows. I'm treating each TIPS as a zero-coupon bond with the entire proceeds coming on the maturity date. I don't think this has a big effect on my results.

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Re: Short vs long TIPS inflation protection

Post by gmaynardkrebs » Mon Apr 20, 2020 8:40 am

Thank you #Cruncher! :happy

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Re: Short vs long TIPS inflation protection

Post by #Cruncher » Sat Apr 25, 2020 2:54 pm

Note: this post will be of only academic interest, and that to only a few.
#Cruncher wrote:
Sun Apr 19, 2020 11:20 pm
* For simplicity, I'm ignoring the 6-month coupon interest payments in the cash flows. I'm treating each TIPS as a zero-coupon bond with the entire proceeds coming on the maturity date. I don't think this has a big effect on my results. (underline added)
I evaluated the complete cash flow including coupon interest and the results confirmed the underlined conclusion. Here is a summary for five indexes for each day 4/15/2020 through 4/24/2020. The 0.12% and 0.02% for the 0-5 and 1-5 indexes 4/17/2020 are the same as those using the simplifying method in my previous post.

Code: Select all

 -------------- Index ---------------
  0-5    1-5    1-10     1+      15+
 0.01% (0.07%) (0.31%) (0.26%) (0.22%)  Fri 04/24/2020
 0.14%  0.04%  (0.23%) (0.20%) (0.17%)  Thu 04/23/2020
 0.12%  0.03%  (0.21%) (0.18%) (0.15%)  Wed 04/22/2020
 0.24%  0.15%  (0.15%) (0.14%) (0.13%)  Tue 04/21/2020
 0.16%  0.07%  (0.16%) (0.10%) (0.05%)  Mon 04/20/2020
 0.12%  0.02%  (0.18%) (0.12%) (0.06%)  Fri 04/17/2020  <== previous post
 0.18%  0.05%  (0.21%) (0.15%) (0.09%)  Thu 04/16/2020
(0.07%)(0.17%) (0.38%) (0.28%) (0.19%)  Wed 04/15/2020
For comparison here are the weighted average yields for the five indexes as reported in this post from another thread. The internal rates of return are much lower for the 0-5 index. This reflects the fact that currently the three TIPS maturing within one year have much higher yields. Simply weighting them into an average has more effect than does including their cash flows which naturally expire after at most one year. On the other hand the 15+ index has the same return whether computed as a weighted average of the individual TIPS or as the internal rate of return of their combined cash flow.

Code: Select all

 -------------- Index ---------------
  0-5    1-5    1-10     1+      15+
 0.45%  0.03%  (0.19%) (0.20%) (0.22%)  Fri 04/24/2020
 0.66%  0.16%  (0.09%) (0.11%) (0.17%)  Thu 04/23/2020
 0.59%  0.13%  (0.09%) (0.11%) (0.15%)  Wed 04/22/2020
 0.74%  0.26%  (0.01%) (0.04%) (0.13%)  Tue 04/21/2020
 0.62%  0.17%  (0.04%) (0.05%) (0.05%)  Mon 04/20/2020
 0.59%  0.12%  (0.07%) (0.07%) (0.06%)  Fri 04/17/2020
 0.82%  0.18%  (0.07%) (0.07%) (0.09%)  Thu 04/16/2020
 0.44% (0.06%) (0.26%) (0.25%) (0.19%)  Wed 04/15/2020
For anyone interested, here are the cash flows on rows 7 through 111 and the corresponding internal rates of return calculated with the Excel XIRR function on row 6. The negative numbers on row 7 are the costs (price X indexed principal + accrued interest) on the 4/27/2020 settlement date for trades made Friday 4/24/2020. The positive numbers on rows 8 through 111 are the coupon interest plus principal redemptions.

Code: Select all

Row     Col A  ColB   Col C     Col D      Col E       Col F       Col G       Col H
                            ------------ Index Maturity Years and Dates -------------
  1  Year start                      0          1           1           1          15
  2    Year end                      5          5          10          30          30
  3  Date start             04/27/2020 04/27/2021  04/27/2021  04/27/2021  04/27/2035
  4    Date end             04/27/2025 04/27/2025  04/27/2030  04/27/2050  04/27/2050
  5    Nbr TIPS                     16         13          29          41          11
                            ------------------------- XIRR --------------------------
  6                             0.01%     (0.07%)     (0.31%)     (0.26%)     (0.22%)
                 Mo   Princ --------------------- Cash Flows ------------------------
  7  04/27/2020              (703,329)  (573,618) (1,172,000) (1,494,636)   (311,998)

Code: Select all

  8  07/15/2020   1  38,302    39,765        981       2,747       2,747
  9  08/15/2020   2                                                1,327       1,327
 10  10/15/2020   4               317        287       1,372       1,495             
 11  01/15/2021   1  43,254    44,478        981       2,747       2,747             
 12  02/15/2021   2                                                1,327       1,327 
 13  04/15/2021   4  48,934    49,251        287       1,372       1,495             
 14  07/15/2021   1  41,023    42,004     42,004      43,770      43,770             
 15  08/15/2021   2                                                1,327       1,327 
 16  10/15/2021   4               287        287       1,372       1,495             
 17  01/15/2022   1  47,053    47,906     47,906      49,672      49,672             
 18  02/15/2022   2                                                1,327       1,327 
 19  04/15/2022   4  47,139    47,426     47,426      48,511      48,634             
 20  07/15/2022   1  45,993    46,816     46,816      48,583      48,583             
 21  08/15/2022   2                                                1,327       1,327 
 22  10/15/2022   4               257        257       1,343       1,465             
 23  01/15/2023   1  45,822    46,617     46,617      48,383      48,383             
 24  02/15/2023   2                                                1,327       1,327 
 25  04/15/2023   4  48,843    49,100     49,100      50,185      50,308             
 26  07/15/2023   1  45,449    46,215     46,215      47,981      47,981             
 27  08/15/2023   2                                                1,327       1,327 
 28  10/15/2023   4               104        104       1,190       1,313             
 29  01/15/2024   1  45,330    46,010     46,010      47,777      47,777             
 30  02/15/2024   2                                                1,327       1,327 
 31  04/15/2024   4  32,953    33,058     33,058      34,143      34,266             
 32  07/15/2024   1  44,549    45,088     45,088      46,855      46,855             
 33  08/15/2024   2                                                1,327       1,327 
 34  10/15/2024   4  35,382    35,404     35,404      36,490      36,612             
 35  01/15/2025   1  82,976    83,486     83,486      85,253      85,253             
 36  02/15/2025   2                                                1,327       1,327 
 37  04/15/2025   4                                    1,085       1,208             
 38  07/15/2025   1  44,601                           46,368      46,368             
 39  08/15/2025   2                                                1,327       1,327 
 40  10/15/2025   4                                    1,085       1,208             
 41  01/15/2026   1  72,056                           73,739      73,739             
 42  02/15/2026   2                                                1,327       1,327 
 43  04/15/2026   4                                    1,085       1,208             
 44  07/15/2026   1  39,649                           40,928      40,928             
 45  08/15/2026   2                                                1,327       1,327 
 46  10/15/2026   4                                    1,085       1,208             
 47  01/15/2027   1  62,178                           63,433      63,433             
 48  02/15/2027   2                                                1,327       1,327 
 49  04/15/2027   4                                    1,085       1,208             
 50  07/15/2027   1  38,934                           39,861      39,861             
 51  08/15/2027   2                                                1,327       1,327 
 52  10/15/2027   4                                    1,085       1,208             
 53  01/15/2028   1  59,854                           60,708      60,708             
 54  02/15/2028   2                                                1,327       1,327 
 55  04/15/2028   4  26,805                           27,891      28,013             
 56  07/15/2028   1  37,688                           38,272      38,272             
 57  08/15/2028   2                                                1,327       1,327 
 58  10/15/2028   4                                      600         722             
 59  01/15/2029   1  53,941                           54,383      54,383             
 60  02/15/2029   2                                                1,327       1,327 
 61  04/15/2029   4  30,944                           31,543      31,666             
 62  07/15/2029   1  40,141                           40,210      40,210             
 63  08/15/2029   2                                                1,327       1,327 
 64  10/15/2029   4                                                  123             
 65  01/15/2030   1  29,137                           29,155      29,155             
 66  02/15/2030   2                                                1,327       1,327 
 67  04/15/2030   4                                                  123             
 68  08/15/2030   2                                                1,327       1,327 
 69  10/15/2030   4                                                  123             
 70  02/15/2031   2                                                1,327       1,327 
 71  04/15/2031   4                                                  123             
 72  08/15/2031   2                                                1,327       1,327 
 73  10/15/2031   4                                                  123             
 74  02/15/2032   2                                                1,327       1,327 
 75  04/15/2032   4   7,267                                        7,389             
 76  08/15/2032   2                                                1,327       1,327 
 77  02/15/2033   2                                                1,327       1,327 
 78  08/15/2033   2                                                1,327       1,327 
 79  02/15/2034   2                                                1,327       1,327 
 80  08/15/2034   2                                                1,327       1,327 
 81  02/15/2035   2                                                1,327       1,327 
 82  08/15/2035   2                                                1,327       1,327 
 83  02/15/2036   2                                                1,327       1,327 
 84  08/15/2036   2                                                1,327       1,327 
 85  02/15/2037   2                                                1,327       1,327 
 86  08/15/2037   2                                                1,327       1,327 
 87  02/15/2038   2                                                1,327       1,327 
 88  08/15/2038   2                                                1,327       1,327 
 89  02/15/2039   2                                                1,327       1,327 
 90  08/15/2039   2                                                1,327       1,327 
 91  02/15/2040   2  18,108                                       19,435      19,435 
 92  08/15/2040   2                                                1,135       1,135 
 93  02/15/2041   2  28,256                                       29,390      29,390 
 94  08/15/2041   2                                                  834         834 
 95  02/15/2042   2  26,404                                       27,239      27,239 
 96  08/15/2042   2                                                  735         735 
 97  02/15/2043   2  25,807                                       26,543      26,543 
 98  08/15/2043   2                                                  655         655 
 99  02/15/2044   2  25,487                                       26,141      26,141 
100  08/15/2044   2                                                  480         480 
101  02/15/2045   2  25,197                                       25,676      25,676 
102  08/15/2045   2                                                  385         385 
103  02/15/2046   2  22,186                                       22,571      22,571 
104  08/15/2046   2                                                  274         274 
105  02/15/2047   2  19,988                                       20,262      20,262 
106  08/15/2047   2                                                  187         187 
107  02/15/2048   2  19,570                                       19,756      19,756 
108  08/15/2048   2                                                   89          89 
109  02/15/2049   2  15,772                                       15,861      15,861 
110  08/15/2049   2                                                   10          10 
111  02/15/2050   2   8,027                                        8,037       8,037 
And here, in $ billions, are the principal, interest, accrued interest, and cost of each TIPS from which the cash flows are pulled. The far right "Price" column is from Friday's WSJ TIPS Quotes:

Code: Select all

Row      Col A    Col B ColC     Col D  Col E Col F    Col G
       Matures   Coupon   Mo     Princ Intrst Accrd     Cost      Price

Code: Select all

  4  07/15/2020  1.250%    1    38,302    239   135    38,222   99.43750
  5  01/15/2021  1.125%    1    43,254    243   138    43,135   99.40625
  6  04/15/2021  0.125%    4    48,934     31     2    48,355   98.81250

  7  07/15/2021  0.625%    1    41,023    128    73    41,173  100.18750
  8  01/15/2022  0.125%    1    47,053     29    17    46,746   99.31250
  9  04/15/2022  0.125%    4    47,139     29     2    46,832   99.34375
 10  07/15/2022  0.125%    1    45,993     29    16    46,038  100.06250
 11  01/15/2023  0.125%    1    45,822     29    16    45,810   99.93750
 12  04/15/2023  0.625%    4    48,843    153    10    49,677  101.68750
 13  07/15/2023  0.375%    1    45,449     85    48    46,222  101.59375
 14  01/15/2024  0.625%    1    45,330    142    80    46,656  102.75000
 15  04/15/2024  0.500%    4    32,953     82     5    33,824  102.62500
 16  07/15/2024  0.125%    1    44,549     28    16    45,289  101.62500
 17  10/15/2024  0.125%    4    35,382     22     1    36,180  102.25000
 18  01/15/2025  2.375%    1    38,320    455   258    43,368  112.50000
 19  01/15/2025  0.250%    1    44,656     56    32    45,804  102.50000

 20  07/15/2025  0.375%    1    44,601     84    47    46,349  103.81250
 21  01/15/2026  2.000%    1    25,995    260   147    29,603  113.31250
 22  01/15/2026  0.625%    1    46,061    144    81    48,647  105.43750
 23  07/15/2026  0.125%    1    39,649     25    14    41,064  103.53125
 24  01/15/2027  2.375%    1    21,084    250   142    25,193  118.81250
 25  01/15/2027  0.375%    1    41,094     77    44    43,282  105.21875
 26  07/15/2027  0.375%    1    38,934     73    41    41,360  106.12500
 27  01/15/2028  1.750%    1    19,253    168    95    22,573  116.75000
 28  01/15/2028  0.500%    1    40,601    102    57    43,500  107.00000
 29  04/15/2028  3.625%    4    26,805    486    32    35,365  131.81250
 30  07/15/2028  0.750%    1    37,688    141    80    41,584  110.12500
 31  01/15/2029  2.500%    1    17,002    213   120    21,543  126.00000
 32  01/15/2029  0.875%    1    36,939    162    91    41,382  111.78125
 33  04/15/2029  3.875%    4    30,944    600    39    42,848  138.34375
 34  07/15/2029  0.250%    1    40,141     50    28    43,068  107.21875
 35  01/15/2030  0.125%    1    29,137     18    10    31,023  106.43750

 36  04/15/2032  3.375%    4     7,267    123     8    10,638  146.28125

 37  02/15/2040  2.125%    2    18,108    192    76    26,875  148.00000
 38  02/15/2041  2.125%    2    28,256    300   119    42,414  149.68750
 39  02/15/2042  0.750%    2    26,404     99    39    32,054  121.25000
 40  02/15/2043  0.625%    2    25,807     81    32    30,823  119.31250
 41  02/15/2044  1.375%    2    25,487    175    69    35,456  138.84375
 42  02/15/2045  0.750%    2    25,197     94    37    31,470  124.75000
 43  02/15/2046  1.000%    2    22,186    111    44    29,447  132.53125
 44  02/15/2047  0.875%    2    19,988     87    35    26,144  130.62500
 45  02/15/2048  1.000%    2    19,570     98    39    26,488  135.15625
 46  02/15/2049  1.000%    2    15,772     79    31    21,575  136.59375
 47  02/15/2050  0.250%    2     8,027     10     4     9,250  115.18750
                             ---------  ----- ----- ---------
 48  Total                   1,471,000  6,082 2,453 1,624,347

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