0.125% TIPS due 15 Apr 2027

The terms

Real coupon

0.125%

paid twice a year, on the same two dates

Issued

29 Apr 2022

interest runs from 15 Apr 2022

Matures

15 Apr 2027

0.5 years left

Original term

5-year

X-2027

Outstanding

$46.6B

with the inflation adjustment, as of 31 Aug 2026

Day count

actual/actual

accrued interest follows the actual days of each coupon period

Price and risk, from the curve

Accrued interest

0.058

per 100 of adjusted principal: the coupon earned since the last payment on 15 Apr 2026

Full price

99.09

the price plus accrued interest, per 100 of adjusted principal; times the index ratio, what a buyer pays at settlement

Macaulay duration

0.54

years: the average time to its payments, weighted by their present value

Convexity

0.5

how the duration itself changes as the yield moves

Price change per basis point

0.0053

per 100 of adjusted principal: how much the price moves for a 0.01-point move in yield (DV01)

These come from a model, not from a market: the Treasury's par curve of 1 Oct 2026, turned into a discount factor for each payment of this security. They can differ from the price at which it trades, and the yield to maturity is what holding it to the end would earn if every payment arrives, at this estimated price. It is not a return anyone is owed: a different price, a sale before maturity or reinvesting at other rates all change what is actually earned. For a TIPS, or a security with twenty years or more to run, the gap can exceed half a point.

The inflation adjustment

Index ratio

1.18265

the reference CPI of the day over the one at issue

Reference CPI

333.918

on 1 Oct 2026, as the Treasury publishes it

Reference CPI at issue

282.346

the base the ratio is measured from

Adjusted principal

118.27

per 100 of original face value

Value with the adjustment

117.12

the quoted price times the index ratio, per 100 of original face value

A TIPS pays its coupon on the adjusted principal, and the principal is adjusted by the CPI. Its estimate can be further off than a note's, by more than a point for some older ones: the Treasury publishes real yields only from 5 years, so the shorter end of the real curve is extended from the nominal curve.

The auctions

The Treasury sells each security at auction. The first auction issues it; later ones, called reopenings, sell more of the same security.

Bid-to-cover is the amount bid divided by the amount sold: 2.5 means bids for two and a half times what was sold. The high yield is the highest real yield, above inflation, at which the Treasury accepted bids.