Pimco Asks If Swap Rates Could Be the New Risk-Free Benchmark for Bonds
Parsing a potential new benchmark.
Frozen funding markets.
Photographer: Andrew Harrer/BloombergThis article is for subscribers only.
Recent distortions in interest rate derivative markets have sparked a radical notion in the world of fixed income—the idea that so-called swap rates could replace U.S. Treasury yields as the benchmark risk-free borrowing rate in securities markets.
Harley Bassman, portfolio manager at Pacific Investment Management Co., is the most prominent voice to float the idea after swap rates last year dipped below equivalent U.S. Treasury yields across a range of maturities.