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It shows the "Dated Date" (how snappy is that?) as Jan 15, '06, and the "Ref CPI on Dated Date" as 198.47742. Wouldn't that correspond to the Nov 15, '05 CPI-U value?


The Ref CPI on Dated Date (198.47742) is for the Dated Date on that page, which is January 15, 2006. November 2005 is listed as 197.6 which is the value for November 16.

Well, no, that isn't right, either. We both got it wrong.

The Ref CPI on Dated Date obviously can't be for Jan 15, 2006, since we don't yet know the January CPI numbers. It is, however, the Ref CPI for Oct 15, 2005 -- halfway between the Oct (199.2) & Nov (197.6) values.

The question is, in November when the auction actually occured,

You lost me there. The auction occurred in Jan, not Nov.

here does the number for the CPI on February 16th (197.17143) come from?

You probably figured this out already from the previous posts, but if not (or there are others still following this thread), here goes:

The example is here:

So, Feb 1 starts at 197.6, which is the Nov 1 2005 value (Loki's 3-month lag). Feb 28 ends at 196.82857, which is 27/28 of the difference between Nov 1's 197.6 and Dec 1's 196.8. Here:
27/28 * -0.8 = -0.77142857
197.6 + -0.77142857 = 196.82857

All those numbers are used to adjust the value of the TIPS, which I assume started out a 1.00 (par), but by the end of Feb is already down to 0.99169. So $10,000 worth of those TIPS is valued at only $9916.90 by the end of Feb. (That has nothing to do with its market value, of course.)

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