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iBoxx SGD Monthly Update: August 2022

08 August 2022 Wilson Mak

July 2022 End-of-Month Commentary

Singapore's central bank tightened monetary settings in July to combat further upside inflation risk. The off-cycle decision followed the release of economic data, which showed zero economic growth in Q2,1 but prices picked up in a broad range of goods and services.

The Monetary Authority of Singapore (MAS) announced it would recenter the mid-point of the Singapore dollar nominal effective exchange rate (S$NEER)2 policy band to its prevailing level while keeping the slope and width of the band unchanged. The move set the path to a stronger local dollar in the medium term and may help to slow rising prices in the city.

Meanwhile, the central bank raised the full-year core inflation projection from an earlier forecast of 2.5%-3.5% to 3.0%-4.0% for the year.

Against this backdrop, stocks and bonds recorded strong performances in July. The Straits Times Index rallied 3.5%, while the iBoxx Singapore Dollar (SGD) Overall Index returned 1.45%—the first monthly gain in 2022.

The investment grade subindex outperformed the high yield subindex by 263 bps this month. Returns from the 10+ year maturity buckets exceeded the returns from the short- and medium-end, and the AAA and AA segments of the overall index outshone other rating buckets.

The sovereign and non-sovereign subindices recorded gains this month. The top performers included long-dated Singapore government bonds and one small corporate bond from the REIT sector. The standout worst-performing bond was the BB rated MAGIC 3.5% Perp bond, which lost 6.10% in July.

The overall index ended the month with a yield of 3.05% and a duration of 6.54 years.

August 2022 Rebalance

This rebalance, close to SGD 3.23 billion of new notional was inserted into the iBoxx SGD Overall Index via eight bonds.

Concurrently, two bonds left the index, removing about SGD 9.50 billion of notional. All departing bonds left the index due to their expected remaining lives falling below one year.

Additionally, there were six bond rating changes in the index this month, all based on the iBoxx implied credit rating methodology.

Please refer to the Appendix in the full commentary for rating changes observed at the July rebalance.


Posted 08 August 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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