FYI: As part of our Bespoke Fixed Income Weekly, each Wednesday Bespoke produces a snapshot of the state of global bond markets called The Bespoke Global Yield Curve. The curve is designed to provide a view of the global economy as expressed by local-currency government bond markets for the 15 largest economies around the world. Our curve is weighted based on Purchasing Power Parity GDP for the most recent year (currently 2013). Why bother doing this? It's important to note that the yield curve we construct isn't a tradable instrument; not all of the countries included allow external trading of their local currency government bonds and some of the tradable instruments are illiquid. Rather, we like to look at the curve as a barometer for the trends in global markets and the economy.
The following countries are included, in order of weighting: US, China, India, Japan, Germany, Russia, Brazil, UK, France, Mexico, Italy, South Korea, Canada, Spain, and Indonesia. The following tenors (using local currency yields) are included for each county: 1 year, 2 year, 3 year, 5 year, 7 year, 10 year and 30 year. In some instances (Brazil being the prime culprit) local market issuance can be spotty, so we occasionally need to interpolate yields or estimate them based on other bonds issued by the country. Below are charts highlighting the current reading of The Bespoke Global Yield Curve, including the levels as-of inception (5/22/14), three months ago, a month ago, and current. Below we also graph changes between each of those dates and the current level for each point along the curve.
Regards,
Ted
http://www.bespokeinvest.com/thinkbig/2014/12/2/the-bespoke-global-yield-curve.html?printerFriendly=true
