Government bond swaptions and how they might work

Payoffs based on bond yields instead of swap rates could offer new hedging tool, argue Crédit Agricole execs


Some of the equations in this article may not display correctly on mobile devices due to a technical issue. We are working to fix the problem. 

Callable bonds are typically based on bank or agency debt. But options based on European government bonds are attracting investor interest, too. They can offer greater yield because the sovereign curve is steeper than the Euribor equivalent.

Taking this concept a step further, it’s possible to create cash-settled swaptions using French government bond

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here:

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: