The bond benchmark continues to tip to swaps

Lawrence L Kreicher, Robert McCauley and Philip Wooldridge

BIS Quarterly Review, 2017

Abstract: By the 1990s, basis risk had caused bond markets, like money markets before them, to start shifting from the use of government rates as benchmarks to the use of private ones. Developments since the Great Financial Crisis of 2007-09, including derivatives reforms and Libor scandals, had the potential to disrupt this shift. Yet BIS data on derivatives turnover indicate that interest rate swaps continue to gain on government bond futures for hedging and positioning at the long end of the yield curve. However, the ease of unwinding positions in futures may stop swap rates from completely displacing government bond rates as benchmarks.

JEL-codes: G12 G15 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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