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As we pass the midway point between autumn equinox and winter
solstice, a second wave of Covid-19 infections dominate the
headlines in most parts of Europe and the United States. Closer to
home, we also see a resurgence of Covid-19 in the region, such as
in Malaysia which is battling its third wave of infections. The
above, coupled with the uncertainty of the US Presidential
elections, paints a backdrop of unpredictability going into the
penultimate month of 2020.
In October, the overall ALBI index gained 1.59%, led by
Indonesia (1.97%) and India (1.72%). Apart from South Korea
(-0.76%) and Hong Kong (-0.04%), all other markets posted positive
returns. It is also noteworthy that China Onshore returned to
positive territory after five months of consecutive decline.
China Onshore, India, Indonesia, Malaysia, the Philippines and
Singapore saw positive returns across the yield curve. The 7-10 and
10+ maturity buckets of Indonesia (2.22% and 2.46%, respectively),
and 10+ segment of Singapore (2.10%) posted the biggest gains. On
the flipside, the 10+ segments of South Korea (-1.41%) and Hong
Kong (-0.89%) fared the worst.
The overall index yield remained unchanged at 2.81%. Indonesia
(-0.22 bps) and India (-0.18 bps) led the declines this month,
while the biggest yield upticks were observed in South Korea (0.09
bps) and China Offshore (0.04 bps). Indonesia remains the highest
yielding bond market in the index offering 6.73%. Singapore is the
lowest at 1.20%.
November 2020 Rebalance
The latest rebalance saw 21 bonds entering and 25 bonds leaving
the overall index. For a detailed breakdown of insertions and
deletions, please refer to the
full commentary.
The individual market weights of iBoxx ALBI are reflected in the
full commentary and the next scheduled change will be
on 30th November 2020 (the December rebalance).
The index duration increased by 0.09 years to 7.06 years post
rebalance. With the exception of Hong Kong and Thailand, all other
markets saw their duration increase this month. The largest change
this month was Singapore (+0.44 years) due to exit of a SGD 9.1bn
SIGB. After the rebalance, South Korea continues to have the
longest duration at 9.18 years while China Offshore remains the
least sensitive to interest rates with a duration of 3.30
years.
Posted 05 November 2020 by Rahul Sharma, Director - Indices, IHS Markit
IHS Markit provides industry-leading data, software and technology platforms and managed services to tackle some of the most difficult challenges in financial markets. We help our customers better understand complicated markets, reduce risk, operate more efficiently and comply with financial regulation.
