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iBoxx ALBI Monthly Update: April 2021

07 April 2021 Kangwei Yang

March 2021 End-of-Month Commentary

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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