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iBoxx SGD Monthly Update: March 2022

03 March 2022 Rahul Sharma

February 2022 End-of-Month Commentary

Most equity markets receded in February after first battling intensifying Federal Reserve rate hiking expectations and then having to absorb the Russian invasion of Ukraine. Meanwhile, implied volatility advanced and commodities prices surged.

World bond yields rose for much of the month but then stabilized towards the end of the month after the military escalation in Eastern Europe.

On the Covid-19 front, waves in the US, the UK and in Europe subsided, having peaked in January. However, many Asian countries still endured rising rates of confirmed cases through February. In Singapore, confirmed cases approximately doubled over the month.

Over February, the iBoxx SGD Overall index fell -0.60%. Both the Government and Non-Sovereigns segments suffered losses of around the same order. Most rating-by-maturity buckets were in the red this month, with A rated bonds hurt the most (particularly at the medium to long-end of the curve).

The AA/3-5yr bucket was the only investment grade portion of the index that made a gain, though it comprises only one bond (issued by IVLSP, a corporate in the Chemical sector). The High Yield index also made a gain this month, spurred by the rebound on OLAM's 4% 2026 bond (a top performer this month and a bottom performer the previous month).

The overall index closed the month offering a yield of 2.23% with a duration of 7.07 years.

March 2022 Rebalance

This rebalance, S$350 million of new notional was inserted into the iBoxx SGD Overall index via a new five year BNP bond (a callable, Tier 2, subordinated bond).

Three bonds left the index this rebalance including a 10-yard Singapore Government Bond. All departing bonds left the index due to their respective expected remaining lives falling below one year.

No rating changes were observed at the March rebalance.


Posted 03 March 2022 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.

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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