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iBoxx ALBI Monthly Update: March 2022

03 March 2022 Kangwei Yang

At the time of writing, global markets have been met with fresh uncertainties and market volatility amidst the ongoing Russia-Ukraine conflict. The fluid situation is keeping everyone on their toes as we await the end of this conflict, and hopefully, the resumption of normalcy.

In February, global equities (as per the EMIX All World Index) fell -2.66%. US Treasuries (represented by the iBoxx $ Treasuries index), regarded as the preeminent safe-haven asset class, also made a monthly loss of -0.71% (despite gaining 0.81% since the start of the Russian invasion of Ukraine on 24 February). Meanwhile, oil and gas prices soared.

In Asian fixed income, the iBoxx Asian Local Bond Index (unhedged in USD) gained 0.11% in February with mixed underlying market results. India (1.03%) and Indonesia (0.71%) were amongst the top performers, while the Philippines (-1.45%) and South Korea (-0.66%) played the laggards.

India, Indonesia, Malaysia and China Offshore recorded gains (in local currency terms) across the yield curve, of which the highest segment was India 10+ (1.85%). However, the Philippines and Singapore saw declines across maturities, especially towards the long-end.

Through February, the overall index yield increased by 7 bps to 3.48%. Excluding India (-7 bps), Indonesia (-2 bps) and Malaysia (-2 bps), all other underlying markets saw yield increases. Not since April 2020, the yield of the Philippines crossed the 4% mark. India remains the highest yielding bond market in the index offering 6.82%, while Singapore (2.19%) took over from Hong Kong as the lowest yielding market in the index.

March 2022 Rebalance

The latest rebalance saw 33 bonds entering and 29 bonds leaving the overall index. Please refer to the commentary for a detailed breakdown of insertions and deletions.

As announced in the 2021 Asian Annual Index Review results, an annual weight change has been applied on the individual markets in the index on 30 November 2021. The latest weights are updated in the above chart.

The index duration lengthened by 0.09 to 6.79 years after the recent rebalance. All markets except Thailand (-0.05 years) and India (-0.01 years) saw their duration increase this month, with the largest increase coming from Singapore (+0.32 years). Effectively, South Korea currently has the longest duration (8.87 years) while China Offshore remains the least sensitive market to interest rates with a duration of 2.98 years.


Posted 03 March 2022 by Kangwei Yang, 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.

This article was published by S&P Global Market Intelligence and not by S&P Global Ratings, which is a separately managed division of S&P Global.


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