When the market talks about 5Y5Y expectation, is it referring to
FWISUS55 Index, or
G0169 5Y5Y BLC2 Curncy on Bloomberg? I suspect it's the first one (e.g. comparing to FRED), but can't explain why, or what's the difference between the two.
I think the help desk would have been able to help. According to the
FWISUS55 Index is simply
2*USSWIT10 Curncy - USSWIT5 Curncy. These are zero coupon inflation swap quotes. This is a gross oversimplification. In terms of 5y5y only it works quite well (see the last link below).
SWIL (where these inflation swaps are used) is not supported in
FWCM, where the second ticker comes from. So I guess in terms of inflation swaps, that is as good as you will get.
The second ticker is the
US Treasury Inflation Indexed Curve - you can load it on GC
YCGT0169 Index GC to see the constituents
Inflation indexed treasury bonds on the Table.
FRED is using the latter (treasury securities). However, they transform this relative to nominal swaps. Somewhat similar data can be found on
ILBE on BBG. You can select
Nominal Bond v Inflation Bond. More details on what FRED is doing can be found here.