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iBoxx EUR Index Monthly Commentary

08 April 2022 Paulina Lichwa-Garcia

During the March month-end rebalance of the iBoxx EUR Index, 104 new bonds were inserted and 87 deleted. The rebalance resulted in a total net reduction of the notional value, due to departures of several sovereign bonds. In the aftermath of the western sanctions against Russia, 16 Russian bonds were removed from the index on the back of index actions that affected all bonds with Russia or Belarus as the country of risk. Seven of those bonds were sovereign issuance, eight issued by Gazprom, and one by Novolipetsk Steel Via Steel Funding DAC.

Euro-denominated debt had another month of heavy losses in March, amid hiking inflation and the backdrop of the Russia-Ukraine conflict. The iBoxx € Overall Index closed at ‑2.1%, after losing 2.2% over February. Both are the worst monthly performances for the index since pre-Covid levels. In March 2020, the iBoxx € Overall Index closed 3.4% lower.

During the last month, the iBoxx € Corporate index was down 1.3%, faring better than the Euro sovereign debt, which lost 2.3%. But that comes after heavy losses in February for corporates.

The Euro high yield market lost 0.1% in March, after it also sunk heavily in February, sliding 3.4%.

iBoxx € Overall duration - measured on the last trading day of the month - inched lower, but annual yields on the index rallied further, either hitting multi-year highs for some segments or flirting with this level for the Overall index. See Appendix for details.

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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.

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