Zambia: Improved CI score offers renewed hope for MLB holders

• The latest IMF review shows a slight increase in Zambia's composite indicator (CI) score to 2.60 from 2.58

• It brings the score closer to the 2.69 threshold needed to trigger a DCC upgrade and accelerated payments on the MLBs

• Despite forecast and calculation uncertainty, we still expect an upgrade to the DCC this year.

  
  

The IMF published the staff report for the sixth review of Zambia's ECF on 2 February, following board approval of the review on 27 January. Crucially, the updated DSA showed a slight increase in the country's composite indicator (CI) score to 2.60, compared to 2.58 in the fifth review (published 5 August 2025).

The increase, while small, is good news for macro-linked bond (MLB) holders. While still below the 2.69 threshold for the upside trigger on the MLBs (ZAMBIN '53s), which would take debt carrying capacity from "weak" to "medium", it is at least going in the right direction now, reversing half the deterioration seen between the fourth and fifth reviews, and brings the CI score closer to what it needs to be for the accelerated payments.

The MLBs jumped nearly 2.5pts (+3.3%) on the day the staff report was released to close at US$74.7 on Bloomberg, their highest since issue, and above their previous high of US$73.5 on 5 August last year before the IMF's surprise downgrade in the CI score. They rose another 0.5pts on 3 February, but have been steady since, to close at US$75.4 on 4 February. By contrast, the conventional bonds (ZAMBIN '33s) were nearly flat on the day (+0.3pts to US$98.5 and have been largely unchanged since).