Figure 2

The decline of the U.S. Treasury convenience

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.

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