The treasury forward traded for those on-the-run or off-the-run makes sense. You simply trying to hedge the treasury bond already issued by calculating the forward price of the bond.
I was wondering if there is any trade on then-current on-the-run treasury? For example, a forward contract initiated today having underlying as the 5 year on-the-run treasury that is issued 2 years later. If we make the assumption that auction does not alter coupons too much, the forward price would simply be at the Par. In the sense the forward price is already known. Why would anyone make the trade then?
I understand that the then current on-the-run is popular on treasury lock market since the Par Yield is not known. I was wondering if it is traded in the forward market.