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iBoxx SGD Monthly Update: October 2020

06 October 2020 Rahul Sharma

Mid-September saw global Covid-19 cases surpass 30 million. The FOMC meeting on 16 Sep saw the FED continuing to apply its accommodative monetary policy stance in the wake of the continuing pandemic. Rates were kept near zero and the FED underlined its commitment to keep buying US Treasuries and Agency MBS via the SOMA account. Concurrently, most global yields fell during September.

Meanwhile, most worldwide equity markets closed narrowly down by month-end, equity volatility and global credit spreads were largely range bound and regional Asian fixed income markets were a mixed bag.

In Singapore, economic news was also mixed with the release of a downbeat Labour Market Second Quarter 2020 report (showing the extent of the pandemic's impact on hiring) followed by an upbeat Non-Oil Domestic Exports (NDOX) report released a few days later.

In September, the iBoxx SGD overall index gained 0.92%, recouping much of the loss it suffered over August. Positive returns were observed across much of the index. Single A was the best performing rating segment with longer dated bonds of this rating significantly outperforming. Overall BBBs were the next best performing rating segment but the BBB/10+ bucket (comprised of one single bond - a Keppel Corp 20yr bond) performed poorly and posted negative returns.

As of 30 September 2020, the overall index offered a yield of 1.29% (down 0.12 percentage points from the previous month-end) with a duration just over 7 years.

October 2020 Rebalance

Six corporates (including 3 real estate related bonds), accounting for over SGD 2 billion notional, were added to the index at the October rebalance.

Seven bonds with less than 1 year of expected remaining life were removed from the index due to the index minimum time to maturity rule. The total notional deleted summed to just over SGD 1.6 billion and included a SGD 650 million HDB bond.

Please refer to the table in the full commentary for rating changes observed at the October rebalance.


Posted 06 October 2020 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.

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