That Was Quick, Negative Yielding Debt Value Takes Out ’18 Low

Last week we flagged that the value of the Bloomberg-Barclays global aggregate negative yielding debt index had fallen below the March ’20 trough. Back then, we noted that the next level to watch to the downside was the ’18 trough. That level has now been breached, and the index now prints at US$4.8756tn. Note that it is hard to determine when the index last sat at this level, given the lack of frequent updates before January ‘17 (when it started to be updated daily).

• A reminder that hawkish turns at last week’s BoE & ECB meetings, plus Friday’s firmer than expected U.S. NFP print (with fear of a softer than exp./negative print in play pre-release) were the driving forces behind the extension of the global core FI sell off at the backend of last week.
• Last week’s most notable moves in the negative yield space saw 5-Year JGB and 5-Year German Schatz yields cross and close above the 0% mark. This was the first time that the former managed that feat since ’16, while it was the first time that the latter managed the feat since ’18.
• Speculation remains rife: the potential for the BoJ to tweak its YCC scheme/protect the top end of its permitted 10-Year JGB yield trading band ahead of a test of the 0.25% level.

BBG-Barclays Global Agg. Negative Yielding Debt Index Market Value ($tn)

Source: MNI - Market News/Bloomberg