A convenience yield represents a difference between yield on a safe bond and yield on a synthetic safe bond, constructed by combining a risky bond with a CDS contract. We explain the shapes of eurozone sovereign convenience curves using a model in which arbitrageurs face higher funding costs on...

In the years leading up to the pandemic, the yield spread between Danish and German sovereign bonds was roughly zero across maturities. In March 2020, the spreads widened and have stayed positive since. This memo investigates the drivers of the 10-year yield spread, which has widened 25 basis...

In March 2020, against the backdrop of a worsening Covid crisis, some segments of the money market fund (MMF) industry faced severe redemption pressures. Given their central role within the short term funding market, MMFs were at the heart of financial stability concerns, and legitimately...