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iBoxx SGD Monthly Update: October 2021

06 October 2021 Rahul Sharma

September 2021 Performance

Markets in September were focused on ongoing pandemic related trials and tribulations, distress in the China real estate sector and on the Federal Reserve meeting (21-22 September).

In the Fed's statement, Chair Powell noted that 'inflation is elevated' but still labelled it as largely transitory. He also discussed the moderating of FED asset purchases. Overall, the FED adopted a hawkish stance as corroborated by its revised dot-plot projections.

Until the Fed meeting, the iBoxx SGD Overall index traded broadly flat in the first few weeks of September. After the meeting, yields rose sharply in the US and (but to a lesser extent) in Singapore, with the SGS-UST 10-year yield differential* (that has been range trading since July) approaching zero at the close of 24 September.

By September end, the overall SGD index posted a monthly loss of -0.92% with the government sub-index performing worse than the non-sovereign sub-index. As in August, higher credit-quality bonds suffered more than lower rated bonds this month. This was especially true at the longer end of the curve.

SGD real estate related bonds with maturities ranging from three to four years were among the best performers this month while sovereign and sub-sovereign bonds were among the worst performers. The high yield SGD index made a gain over September, albeit a moderate one.

The iBoxx SGD Overall index closed the month offering a yield of 1.88% with a duration of 6.91 years.

October 2021 Rebalance

This rebalance, S$ 1.778 billion of new notional was inserted into the index. It came via nine bonds, including two green bonds from the National Environment Agency and an Oxley bond from July that became index eligible following a reopening in September.

Just over S$ 10 billion of bond notional (that is expiring in less than 1 year) left the index via six departing bonds, including a large Singapore Government Bond.

Please refer to the full report for rating changes observed at the October rebalance.

SEE FULL REPORT HERE

Posted 06 October 2021 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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