August 2022 End-of-Month Commentary
The Jackson Hole Symposium was one of the key events investors
looked out for in August, as they paid close attention to the
speech by the Federal Reserve Chair to anticipate the next move in
the upcoming FOMC meeting in September. Markets were somewhat
surprised by the hawkish stance, with a clear message that tackling
inflation remained the main objective even at the expense of slower
In the aftermath of the speech on Aug. 26, 2022, the
S&P 500® lost 3.37% (one-day decline) and was down
4.24% for the month of August. U.S. Treasuries—as represented
by the iBoxx $ Treasuries—also lost 2.64% in August.
It was a contrasting picture in Asia, as moves from central
banks varied from market to market. The People’s Bank of China
lowered its five-year loan prime rate (LPR) by 15 bps to 4.30% and
its one-year LPR by 5 bps to 3.65%. This came one week after
lowering both the one-year medium-term lending rate (MLF) and
seven-day reverse repo rate by 10 bps in mid-August in a bid to
inject liquidity into the economy. The onshore bond market rallied
as a result, which saw the iBoxx ALBI China Onshore—consisting
of China Government Bonds and Chinese Policy Banks—return 1.03%
From a broader Asian perspective, the iBoxx Asian Local Bond
Index (ALBI) (unhedged in USD) fell into the red, returning -1.31%,
largely due to local currency FX losses against the U.S. dollar.
This was despite most markets (in domestic currency terms)
recording positive returns, except for South Korea (-4.46%) and
Hong Kong (-2.08%).
This month, the largest losses were concentrated in the 10+
maturity segment, where South Korea 10+ (-8.51%) and Hong Kong 10+
(-5.76%) stood out. There were a number of markets that saw gains
across maturity segments this month, including China On- and
Offshore, India, Indonesia, Malaysia, the Philippines and
The overall index yield (in semiannual terms) rose above 4%,
offering 4.09% as of Aug. 31, 2022. Hong Kong (up 57 bps), South
Korea (up 56 bps) and Singapore (up 24 bps) contributed to the
increase, while other markets saw their yields decline. India
remained the highest-yielding bond market in the index, offering
7.30%, while China Onshore (2.78%) remained the lowest-yielding
September 2022 Rebalance
The latest rebalance saw 54 bonds entering and 31 bonds leaving
the overall index. Please refer to the Appendix in the full
commentary for a detailed breakdown of insertions and
Weight changes in the eligible markets are reviewed and applied
annually, and the next change is expected on Nov. 30, 2022. The
latest weights are updated in the full commentary.
The index duration lengthened by 0.08 to 6.58 years after the
recent rebalance. All markets except Thailand saw their duration
increase this month, with the largest increase coming from
Singapore (up 0.31 years). Among the eligible markets, South Korea
currently has the longest duration (8.40 years), while China
Offshore remains the least sensitive to interest rates, with a
duration of 2.70 years.
Posted 07 September 2022 by Kangwei Yang, Director – Indices, S&P Dow Jones Indices
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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.