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iBoxx SGD Monthly Commentary: June 2022

08 June 2022 Wilson Mak

There was no shortage of reasons in May for markets to be bearish. The effect of elevated inflationary pressure started to seep through economic data and company earnings in many countries. Major central banks worldwide raised key benchmark rates this month to tame inflation. In the U.S., the Federal Reserve signaled a strong commitment to tightening monetary policy to catch up with inflation. Meanwhile, markets struggled to find clarity on the path of future rate hikes, fearing that by raising interest rates too far or too quickly, the economy could topple into a recession.

In Singapore, core inflation rose to 3.3% on a year-over-year basis in April and was forecast to increase further in the coming months. In May, the iBoxx Singapore Dollar (SGD) Overall Index made a loss of 0.56%, while the high-yield (HY) subindex outperformed the investment-grade (IG) subindex by 85 bps.

All IG subindices fell in the red, with the AA sector (-1.52%) recording the worst performance, followed by the AAA sector (-0.66%). The sharpest declines were observed in the 10+ year maturity buckets.

The sovereign and non-sovereign subindices suffered losses this month, but the non-sovereigns subindex outperformed both the overall index and government subindex. The top performer in the overall index was bought back in May by its issuer Singapore Press Holdings Ltd (SPHSP), which was delisted from Singapore Exchange on May 13, 2022, and became wholly owned by Cuscaden Peak.

The overall index ended the month, offering a yield of 2.94%, with a duration of 6.80 years.

June 2022 Rebalance

This rebalance, SGD 435 million of new notional was inserted into the iBoxx SGD Overall index via four bonds.

Concurrently, seven bonds left the index, removing about SGD 1.5 billion of notional. All departing bonds left the index due to their respective expected remaining lives falling below one year.

Additionally, the implied rating of STRTR has been downgraded to HY this month.

Please refer to the Appendix in the full report or rating changes observed at the June rebalance.

SEE FULL REPORT HERE

Posted 08 June 2022 by Wilson Mak, Analyst - Indices, S&P Dow Jones Indices


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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