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The 10-year US Treasury yield continued to rise in March
(hitting a 14-month high before closing at 1.74% by month-end)
amidst falling Covid-19 cases and encouraging employment data in
the US.
In the same tone, many bond markets in Asia saw yields continue
to rise. The iBoxx ALBI index sustained its slide in March as it
declined 2.22%. Only India (+0.97%), China Onshore (+0.77%) and
China Offshore (+0.18%) managed positive returns, while the
Philippines (-2.42%) and Thailand (-2.06%) were the worst hit. Also
of note, the US dollar appreciated against all local currencies
represented in the index, with the Thai Baht (-3.84%) and Malaysian
Ringgit (-2.47%) leading the FX losses.
For the second consecutive month, the largest total return
losses were concentrated in the longer end of the curve. The
overall 10+ index declined 3.80%, led by the Philippines (-6.24%),
Singapore (-4.39%) and Malaysia (-2.63%). On the other hand, China
Onshore, China Offshore and India saw gains across the yield curve,
with the largest gains in their respective 10+ segments.
The index yield rose 17bps in March and has increased 49bps to
3.27% year-to-date. The Philippines and Singapore posted the
largest monthly increases of 47bps and 27bps, respectively.
Indonesia remains the highest yielding bond market in the index
offering 6.81% while Singapore is the lowest at 1.93%.
April 2021 Rebalance
The latest rebalance saw 34 bonds entering and 29 bonds leaving
the overall index. Please refer to the Appendix in the full
commentary for a detailed breakdown of insertions and
deletions.
The individual market weights of the iBoxx ALBI are updated this
month and are reflected in the chart in the full commentary. The
next scheduled change will be on 31 May 2021.
The index duration has lengthened by 0.05 years to 6.76 years
after the recent rebalance. Most markets, apart from the
Philippines (-0.18 years) and Singapore (-0.11 years) saw their
duration increase this month. Malaysia had the largest increase of
0.15 years with the exit of a MYR 11.4bn MGS (without
replacement).
Post rebalance, South Korea continues to be the market with the
longest duration at 8.86 years while China Offshore remains the
least sensitive to interest rates with a duration of 3.20
years.
Posted 07 April 2021 by Kangwei Yang, Director - Indices, S&P Dow Jones Indices
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