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.

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    $\begingroup$ have you tried asking Bloomberg support (F1 F1 on the terminal)? What did they say? $\endgroup$ Aug 13 '20 at 2:30
  • $\begingroup$ The former is the correct one, ie the one that ties back to the Fed's methodology. The latter is Bloomie's estimate (for curves that might not be liquid, and/or traded). So there's a Bloomie Treasury Curve that's inferred, similar but slightly different to the liquid forward-starting swap rate series... $\endgroup$
    – demully
    Jul 5 at 21:26

I think the help desk would have been able to help. According to the DES page, 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).

Seems 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.


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