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Stock markets made headlines
with their continued rally this month against a supportive economic
backdrop signaling recovery. The S&P 500 and Nasdaq, for
instance, reached record highs in August, wiping out all pandemic
related losses so far. Most Asian bourses followed suit.
In contrast, performances in the Asian local currency bond
markets this month were relatively muted. The overall ALBI index
gained 0.36% in August as FX gains in local currencies against the
dollar outweighed losses in most local bond markets. Only Indonesia
(+1.19%) and the Philippines (+0.39%) managed positive local
currency returns this month.
Losses this month were concentrated in the long-end of the
curve, with Singapore, South Korea, Hong Kong and India registering
declines of more than 2% in their respective 10+ maturity segments.
Notably, China Onshore has now slipped into its fourth consecutive
month of losses.
The overall index yield increased by 15 bps to 2.84% at the end
of the month, led by upticks in most markets, notably in India (+31
bps) and South Korea (+18 bps). Indonesia (-9 bps) and the
Philippines (- 3 bps) were the two markets that saw a decrease in
yield to 6.87% and 2.43%, respectively. Indonesia is currently the
highest yielding bond market in the index.
September 2020 Rebalance
The latest rebalance saw 26 bonds entering and 27 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 updated this
month and are reflected in the full commentary. The next scheduled
change will be on 31st November 2020 (the December rebalance).
The index duration increased by 0.07 to 7.01 years post
rebalance. Apart from the Philippines and Singapore, all other
markets saw their duration increase this month, with the largest
change seen in Hong Kong (+0.23 years). South Korea continues to
have the longest duration at 9.10 years while China Offshore
remains the least sensitive to interest rates with a duration of
3.24 years.
Posted 07 September 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.
Stock markets made headlines
with their continued rally this month against a supportive economic
backdrop signaling recovery. The S&P 500 and Nasdaq, for
instance, reached record highs in August, wiping out all pandemic
related losses so far. Most Asian bourses followed suit.
