The World of Negative-Yielding Bonds

With 10-year yields near the low end of their range of the past year, there is still a considerable amount of negative-yielding debt across the globe. The charts below offer a look at these bonds.

The first chart shows the breakdown of global sovereign debt among developed countries. With more than $11 trillion in negative-yielding debt, roughly 30% of developed countries’ sovereign debt yields less than zero.

The next series of charts charts use a slightly different data set to arrive at a historical view. While the chart above includes all maturities of sovereign debt, the charts below work within the universe of the Bloomberg/Barclays Global Agg Index. This means these series include most types of fixed income (not just sovereigns) with maturities of one year or greater. It excludes the shortest maturities, many of which would qualify as negative-yielding.

With that being said, the chart below compares the current market value of all bonds in Bloomberg’s Global Agg Index (blue) to the negative-yielding portion of the Agg Index (orange).

As the green line in the bottom panel shows, over 17% of the bonds in the Global Agg Index are currently negative-yielding.

The next chart highlights the OAS, maturity and duration of these negative-yielding bonds.

So how have returns of negative-yielding debt compared to the benchmark? Since the end of 2016, the total return of negative-yielding bonds has typically outperformed the Bloomberg Global Agg Index. This recently changed as negative-yielding debt has struggled in 2019. YTD, the Global Agg Index is up 0.94% while the negative-yielding portion of the index is down 1.00%.