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iBoxx SGD Monthly Update: May 2022

09 May 2022 Rahul Sharma Wilson Mak

April 2022 End-of-Month Commentary

Shorter- and longer-term interest rates in developed markets moved higher in April. The broad increase in rates reflected a progressing inflationary environment stemming from hot headline inflation, the impact of the pandemic and the ongoing Russia-Ukraine conflict. Global equities declined and fixed income underperformed, as the abrupt lift-off in rates prompted markets to adjust to new valuations. The U.S. dollar surged to a recent high on the back of aggressive U.S. rate hike forecasts, and commodity prices remained at elevated levels supported by supply dislocations.

In Singapore, the MAS raised the core inflation forecast for 2022 and adopted a tighter monetary policy to slow inflation momentum and maintain price stability. The iBoxx Singapore Dollar (SGD) Overall Index fell 0.76% in April, after the worst monthly loss of -3.03% since inception over the preceding month.

All investment grade (IG) subindices fell in the red, with the A sector registering the best performance and the BBB sector the worst. In general, SGD IG bonds endured losses across the curve and faced sharp declines in longer-dated maturity buckets.

With lower duration and higher yield, the non-sovereigns sub-index outperformed both the overall index and government subindex. Temasek and LTA bonds had the longest duration among the worst performers.

By the end of the month, the overall index offered a yield of 2.83% with a duration of 6.93 years.

May 2022 Rebalance

This rebalance, SGD 2 billion of new notional was inserted into the iBoxx SGD Overall index via eight bonds.

Concurrently, three bonds left the index, removing SGD 425 million of notional. All departing bonds left the index due to their respective expected remaining lives, falling below one year.

The implied rating of KEPSP has been downgraded to high yield this month.

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


Posted 09 May 2022 by Rahul Sharma, Director - Indices, IHS Markit and

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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