In 1997, the US. Treasury issued "Treasury inflation-protected securities" (TIPS). These are fixed-income securities that are inflation indexed to protect their value against inflation. Like conventional bonds, they have a fixed coupon rate and maturity date, but the face value is periodically adjusted for inflation by multiplying the original face value by the ratio of the Consumer Price Index (CPI) at the current date to the CPI at the original issue date. At maturity, the bondholder receives the maximum of the inflation-adjusted face value or the original face value. Hence, if deflation occurs, the bondholder is guaranteed not to lose on the face value.

In October 2010, you observe the following prices of two 10-year Treasury inflation-protected securities (TIPS). TIPS 1: P1 = 79.66 C1 = 3% F1 = 100 TIPS 2: P2 = 100.00 C2 = 6% F2 = 100 where P is the price, C is the coupon rate, and F is the original face value. Compute the price of a theoretical 10-year inflation-adjusted zero-coupon bond with the original face value of 100. Please round your numerical answer to 2 decimal places. Hint: you do not need to know the precise numerical values for the CPI annual percent changes in order to solve this problem.