iBoxx SGD Monthly Update: December 2021
November 2021 Performance
Variant B.1.1.529, named Omicron, was determined a 'variant of concern' by the WHO on 26 November. By then, world stock markets had already plunged with associated implied volatility spiking considerably. Commodity markets were also spooked with oil prices being hit particularly hard by month-end.
Global government yields also fell substantially by 30 November (before the advent of Omicron, many had been on a rising, inflation induced, trajectory).
In Singapore, just before Omicron started to dominate the news, the MAS released its latest inflation statistics (the Consumer Price Developments report) that showed YOY core inflation at its highest level in over two and a half years (1.5% for October 2021). Interestingly, at the end of the month, it was also widely reported that the MAS had, for the first time in decades, added to Singapore's gold reserves earlier this year.
Over November, the iBoxx SGD Overall index delivered a gain of just over 1%. The government index outperformed the non-government index. Longer dated SGBs were among the best performers in the overall index (reversing their October misfortunes). Positive returns were seen across all maturity and rating segments with longer-dated high grade bonds performing the best.
The overall index closed the month offering a yield of 2.01% with a duration of 7.31 years.
December 2021 Rebalance
This rebalance, S$ 4.5 billion of new notional was inserted into the index via five new bonds. The insertions included a 2.5 billion SIGB and a 1 billion HDB bond, both with durations of just under 5 years as of November month-end.
Meanwhile, just over S$ 850 million of bond notional (that is expiring in less than one year) left the index via four departing real estate bonds and an SMU bond.
Please refer to the full report for rating changes observed at the December rebalance.
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