No. of Recommendations: 0
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.
Print the post  


When Life Gives You Lemons
We all have had hardships and made poor decisions. The important thing is how we respond and grow. Read the story of a Fool who started from nothing, and looks to gain everything.
Contact Us
Contact Customer Service and other Fool departments here.
Work for Fools?
Winner of the Washingtonian great places to work, and Glassdoor #1 Company to Work For 2015! Have access to all of TMF's online and email products for FREE, and be paid for your contributions to TMF! Click the link and start your Fool career.