Oct

6

I attached the latest calculation for the yield on TIPS. The prices across the board have dropped rapidly in the last few days to the point were greater than 1% real yields can be realized above the CPI on Treasuries for maturities as short as 2022. I find this quite surprising. Any thoughts about the pros and cons of this opportunity which hasn't been seen in years.

Treasury Inflation-Protected Securities 
 
Friday, October 05, 2018 
 
Treasury Inflation-Protected Securities, or TIPS, are securities whose principal is tied to the Consumer Price Index (CPI) . The principal increases with inflation and decreases with deflation. When the security matures, the U.S. Treasury pays the original or adjusted principal, whichever is greater. TIPS pay interest every six months. Figures after periods in bid and ask quotes represent 32nds; 101.26 means 101 26/32, or 101.8125% of 100% face value; 99.01 means 99 1/32, or 99.03125% of face value.
 
Maturity Coupon Bid Asked Chg Yield* Accrued
principal 
2019 Jan 15 2.125 100.10 100.12 + 1 0.770 1173
2019 Apr 15 0.125 99.15 99.17 + 2 1.022 1075
2019 Jul 15 1.875 101.08 101.10 unch. 0.160 1180
2020 Jan 15 1.375 100.22 100.24 + 1 0.791 1165
2020 Apr 15 0.125 98.20 98.22 + 1 0.989 1076
2020 Jul 15 1.250 101.01 101.03 unch. 0.622 1155
2021 Jan 15 1.125 100.14 100.16 unch. 0.898 1152
2021 Apr 15 0.125 97.25 97.27 unch. 0.998 1063
2021 Jul 15 0.625 99.17 99.19 - 1 0.771 1118
2022 Jan 15 0.125 97.09 97.11 - 1 0.950 1113
2022 Apr 15 0.125 96.28 96.30 - 2 1.014 1036
2022 Jul 15 0.125 97.09 97.11 - 1 0.845 1095
2023 Jan 15 0.125 96.14 96.16 - 2 0.966 1091
2023 Apr 15 0.625 98.09 98.11 - 2 0.999 1014
2023 Jul 15 0.375 97.18 97.21 - 3 0.880 1082
2024 Jan 15 0.625 98.03 98.06 - 3 0.981 1080
2024 Jul 15 0.125 95.13 95.16 - 4 0.927 1061
2025 Jan 15 0.250 95.06 95.09 - 4 1.031 1064
2025 Jan 15 2.375 108.03 108.06 - 6 1.024 1337
2025 Jul 15 0.375 95.30 96.01 - 6 0.982 1062
2026 Jan 15 0.625 96.27 96.30 - 7 1.065 1060
2026 Jan 15 2.000 106.15 106.18 - 7 1.060 1269
2026 Jul 15 0.125 93.08 93.11 - 6 1.019 1051
2027 Jan 15 0.375 94.11 94.14 - 7 1.080 1043
2027 Jan 15 2.375 110.04 110.07 - 8 1.080 1249
2027 Jul 15 0.375 94.11 94.14 - 7 1.041 1030
2028 Jan 15 0.500 94.21 94.24 - 9 1.098 1021
2028 Jan 15 1.750 105.21 105.24 - 9 1.097 1203
2028 Apr 15 3.625 122.18 122.23 - 12 1.104 1558
2028 Jul 15 0.750 97.00 97.06 - 9 1.056 1004
2029 Jan 15 2.500 113.11 113.16 - 12 1.106 1173
2029 Apr 15 3.875 126.31 127.04 - 14 1.131 1533
2032 Apr 15 3.375 127.21 127.26 - 17 1.147 1419
2040 Feb 15 2.125 116.28 117.02 - 34 1.216 1166
2041 Feb 15 2.125 117.16 117.22 - 37 1.219 1150
2042 Feb 15 0.750 90.04 90.09 - 34 1.231 1115
2043 Feb 15 0.625 87.03 87.08 - 35 1.233 1096
2044 Feb 15 1.375 102.29 103.02 - 38 1.234 1081
2045 Feb 15 0.750 88.29 89.02 - 38 1.238 1070
2046 Feb 15 1.000 94.10 94.16 - 41 1.238 1063
2047 Feb 15 0.875 91.06 91.12 - 40 1.238 1044
2048 Feb 15 1.000 94.03 94.08 - 46 1.234 1022
*-Yld. to maturity on accrued principal.

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