What instrument(s) are used for forward pricing of US Treasuries? I know that Eurodollar futures are used for the market pricing of Libor in the future, but treasury futures only have contracts 3 months out.

I am looking at forward swaps but I'm not sure if this is truly the market's reflection of future treasury pricing - is the 1y5y swap rate the market's expectation of the 5yr UST rate 1 year into the future?

  • $\begingroup$ What is your goal. It is certainly possible to build a forward curve using USTR data only. Bloomberg does this for example. And it is interesting to look at. (It also has some limitations as you point out). But what do you want to use it for? $\endgroup$
    – nbbo2
    Jun 11, 2020 at 14:05
  • $\begingroup$ The goal is just to see the market's expectation of UST pricing for different points along the curve and for different dates in the future. What would you use in Bloomberg? FWCM and then run the US Treasury Actives Curve? $\endgroup$
    – Mike
    Jun 11, 2020 at 17:22


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