The Benchmark U.S. Treasury Market: Recent Performance and Possible Alternatives

[...]This paper examines the benchmark role of the U.S.Treasury market and the features that make it an attractivebenchmark. In it, I examine the market’s recent performance,including yield changes relative to other fixed-income markets,changes in liquidity, repo market developments, and theaforementioned flight to liquidity. I show that several of theattributes that make the U.S. Treasury market a usefulbenchmark were negatively affected by the events of fall 1998,and that some of these attributes did not quickly return to theirprecrisis levels. Furthermore, I demonstrate that the agencydebt, corporate debt, and interest-rate swaps markets havefeatures that might make them attractive benchmarks, and thatthe agency debt and swaps markets in particular are alreadyassuming a limited benchmark role.[...]