“…We adjust the quoted real prices and future real coupon and principal payments by the expected seasonal factor, which is proxied by the average ratio of non-seasonally-adjusted CPI to seasonally adjusted CPI over the previous five years. A detailed description of the methodology can be found inGrishchenko, Li, and Vollmer (2015).39 SeeJacoby and Shiller (2008),Wright (2009),Christensen et al (2010),Grishchenko, Vanden, and Zhang (2016) for more details.40 For example,Wright (2009) showed that two TIPS with similar maturity dates but different issue dates-the April 2013 TIPS issued in 2008 and the July 2013 TIPS issued in 2003-were traded at nearly identical real yields prior to September 2008, but the yield spread widened to as much as 200 basis points in December 2008, as the price of the more recently issued April 2013 TIPS rose, reflecting the higher value of the deflation floor, while the price of the July 2013 TIPS dropped.41 Alternatively, one could derive the value of the embedded deflation floor in any individual TIPS using the…”