Economics Stack Exchange Archive

What is the ‘Basket of AAA Benchmark Bonds’ Italy’s 10 YR are being compared against?

• posted by: rutherford on 2011-11-04
• tagged: debt, yield-curve, bonds
• score: 2

There is a lot of reports on Italy’s 10 year bond yield approaching the 450 basis points over a benchmark of AAA bonds figure.

But where are details of the benchmark published?

Answer 436

• posted by: Quant Guy on 2011-11-04
• score: 1

Typically, the Benchmark are German bonds of the same maturity. However, if there is a basket then without a citation I assume this is the basket of all sovereigns with AAA scores:

http://www.msnbc.msn.com/id/44020687/ns/business-world_business/t/remaining-countries-aaa-credit-ratings/

Answer 490

• posted by: rutherford on 2011-11-07
• score: 1

The bond basket in question is a proprietary one from clearing house LCH Clearnet consisting of French, Dutch & German government bonds.

source: http://ftalphaville.ft.com/blog/2011/11/07/729571/the-restaurant-is-full-the-bonds-are-empty/

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