
Treasuries’ negative swap spread may cause ‘significant pressure’

A “negative swap rate spread” could spell difficulty for the US Treasuries market as rates rise, research published by the New York Fed warned on February 6.
The spread stems from “long-maturity US Treasury bonds [trading] at a yield consistently above the interest rate swap rate of the same maturity”.
The authors of the study suggest this reflects an “inconvenience premium” for holding Treasuries – which sit on a dealer’s balance sheet – over swaps, which are off balance sheet. Post-global
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@centralbanking.com or view our subscription options here: http://subscriptions.centralbanking.com/subscribe
You are currently unable to print this content. Please contact info@centralbanking.com to find out more.
You are currently unable to copy this content. Please contact info@centralbanking.com to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@centralbanking.com
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@centralbanking.com