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IRS futures: some stats and econ q's

I'm using the futures tutorials as a guide for researching the 5 yr and 10 yr interest rate swap futures.

In particular, I'm looking at the relationship between the 5 yr (10 yr) IRS future and 5 yr (10 yr) Treasury Note future


  1. The demand for treasury futures says something about market outlook on interest rates
  2. As spread between fixed and market interest rates changes so should demand for fixed(floating) for floating(fixed) swaps
  3. IRS and Treasury Futures with similar underlying tenors should be cointegrated

I can see this relationship when I chart the IRS and treasury futures but when running the cointegration tests I get unexpected results.

Can anyone think of a reason the 10 year IRS/Treasury futures are likely to be cointegrated but not the 5 year IRS/Treasury futures?

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