Which issuers and investors will be most affected by the SEC’s proposal to increase the 13F threshold to $3.5B? Dis… https://t.co/UKslPvikv2
iBoxx ALBI Monthly Update: July 2020
June 2020 End-of-Month Commentary
The overall index gained 1.81% in June as FX gains across all markets outweighed capital losses in certain segments. The Philippines was the best performing market (+2.01%), followed closely by Indonesia (+1.92%). In contrast, the China Onshore market continued its slide in June (-0.86%) mainly due to liquidity concerns arising from new special government bond issuances.
Hong Kong, India, Indonesia and the Philippines delivered gains across all maturities. Long-dated bonds of the Philippines and Indonesia were the pick of the bunch returning more than 2% in the 7-10 and 10+ segments of both markets. However, the 10+ segments of Malaysia (-1.80%) and Singapore (-1.49%) performed the worst.
The overall index yield increased by 3 bps to 2.82%, largely due to the selloff in the China Onshore market which saw its yield climb 20 bps to 3.15%. Both the yields of China Offshore and Malaysia increased by 12 bps, wrapping up the top 3 markets with yield upticks. Conversely, the Philippines and Indonesia saw their yields dip 28 bps and 22 bps respectively.
As we conclude the first half of 2020, we see that the overall index has returned 1.44% year-to-date, led by the Philippines (+9.28%) and India (8.72%). The worst performing market year-to-date is Thailand, which has managed a return of 1.45%.
July 2020 Rebalance
The latest rebalance saw 27 bonds entering and 28 bonds leaving the overall index. For a detailed breakdown of insertions and deletions, please refer to the Appendix in the full commentary.
The individual market weights of iBoxx ALBI are reflected in the chart above and the next scheduled change will be on 31st Aug 2020 (the September rebalance).
The index duration increased by 0.16 years to 7.01 years after the rebalance. The largest change came from Singapore and South Korea with an increase of 0.39 years for both markets. As a result, South Korea took over Thailand as the market with the longest duration at 9.23 years. China Offshore remains the least sensitive to interest rates with a duration of 3.19 years.
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.
Follow Financial Services
- SEC’s 13F Proposal – Issuer and Investor Analysis
- Securities Finance: July 2020
- Daily Global Market Summary - 6 August 2020
- IHS Markit Credit Index Volumes H1 2020
- Vendor Assessments Meet Location Risk
- Securities Finance: 2020 mid-year review
- iBoxx ALBI Monthly Update: Aug 2020
- iBoxx SGD Monthly Update: August 2020
As global supply chains become increasingly complex, it is more important than ever to incorporate location risk in… https://t.co/AGIbLCp7LP