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Du · Keerati · Schreger (2025)

The U.S. Treasury convenience has declined.

Government-bond CIP deviations against G10 currencies measure the relative convenience of U.S. Treasuries versus foreign sovereign bonds. Positive values mean U.S. Treasuries are more convenient. The trajectory has declined since the GFC and is now strongly negative against most G10 currencies. This site is the interactive home for the underlying dataset.

G10 average of the government-bond CIP deviation at the 10-year tenor (spliced IBOR/OIS). Positive values indicate the U.S. Treasury yields less than the swapped foreign government bond — i.e., the Treasury is the more convenient safe asset. The average has declined since the aftermath of the GFC and is now negative against most G10 currencies. Du, Keerati, Schreger (2025), Figure 2.
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