I found a JP Morgan PDF on TIPS (sorry can't copy: found by googling CPI-U, Daily values) that says that the Dated Date Reference CPI-U is lagged three months. I think that would mean if the Dated Date, which I think is also the auction date, is January 15, 2006, the Reference CPI-U for the Dated Date would be October 15, 2005 (assuming I can count backwards by 3), which would explain why they are linking the CPI-U date 3-months.I couldn't find the link for CPI-U data in the FAQs (should be added) and my search didn't find it easily.To confirm, the Dated Date Reference CPI-U for the January 15 2006 10-year TIPS is 198.47722. For the July 15 2005 Dated Date 10-year TIPS, the reference CPI-U is 194.50968. If those correspond to CPI-U for October 15, 2005 and April 15 2005, respectively, that is enough to convince me 3-month lag is correct.
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