Besides the effect of the auction yield and accrued interest, the cost at the reopening auction will reflect the TIPS' index ratio on the 9/30/2024 issue date. All together if the auction yield came in at 1.665%, this would bring the total cost to $10,252 for $10,000 of face value. This is shown on row 21 of the table below along with the total cost for a range of other possible yields.The CUSIP [the original poster mentions] is for a 10-year TIPS bond. The Dated Date was 7/15/24, and the Issue Date was 7/31/24. It matures on 7/15/34, and the coupon is 1.875%. If you purchased it at [the initial] auction, your real yield would be 1.883%.
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For the reopening, you could owe considerably more if market rates drop. That bond's real yield on Friday was about 1.665%, considerably less than the original auction yield. That means you might owe a bit more (for example, instead of $10,000, you'd be expected to pay about $10,130 plus accrued interest).
Code:
Row Col A Col B Formula in Column B 2 Face value 10,000 3 Index ratio 1.00237 4 Issued 9/30/2024 5 Matures 7/15/2034 6 Coupon 1.875% 7 Previous interest date 7/15/2024 =COUPPCD(B4,B5,2,1) 8 Next interest date 1/15/2025 =COUPNCD(B4,B5,2,1) 9 Days in current period 184 =B8-B7 10 Days before issue 77 =B4-B7 11 Days after issue 107 =B8-B4 12 Number full periods 19 =COUPNUM(B4,B5,2,1)-1 13 Accrued interest 39.33 =B2*B3*(B6/2)*(B10/B9)Code:
14 Cost Incl 15 Yield to maturity Accrued Int 16 1.400% 10,497 =B$2*B$3*(-PV(A16/2,B$12,B$6/2,1,0)+B$6/2)/(1+(A16/2)*(B$11/B$9)) 17 1.450% 10,450 | | | 18 1.500% 10,404 | | | 19 1.550% 10,358 | | | 20 1.600% 10,312 | | | 21 1.665% 10,252 | | | <=== 22 1.700% 10,220 | | | 23 1.750% 10,175 | | | 24 1.800% 10,130 | | | 25 1.850% 10,085 v v v 26 1.900% 10,041 =B$2*B$3*(-PV(A26/2,B$12,B$6/2,1,0)+B$6/2)/(1+(A26/2)*(B$11/B$9))10-year TIPS auction 7/18/2024
Index ratios for the 1-7/8% TIPS maturing 7/15/2034
Upcoming Treasury Auctions
WSJ TIPS Quotes
Excel functions: COUPPCD, COUPNCD, COUPNUM, and PV
Statistics: Posted by #Cruncher — Sun Sep 08, 2024 9:28 pm — Replies 9 — Views 460