Du · Keerati · Schreger (2025)

Estimating the U.S. Treasury Premium

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.

Median five-year government CIP deviations between the US and G10 currency countries. The government CIP deviation is defined as the difference between the synthetic dollar yield on the swapped foreign government bond and the U.S. Treasury yield. Positive values indicate the U.S. Treasury yields less than the swapped foreign bond — i.e., the Treasury is the more convenient safe asset. The median has declined since the aftermath of the GFC and is now negative against most G10 currencies. Series are trailing 14-calendar-day moving averages. Du, Keerati, Schreger (2025), Figure 2.

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