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iBoxx GBP Index Monthly Commentary

07 February 2022

iBoxx GBP Index Monthly Commentary

Month-end January 2022 Rebalance

January month-end rebalance of the iBoxx GBP Index, saw net insertions of GBP 12.09 billion of notional. The steep month-on-month increase came seasonally after many bonds departed the index in the year-end rebalance. The sub-sovereigns category, which the previous month dominated the exits, added the highest notional value in January. About GBP 10.50 billion of new debt came from supranational banks or other agencies. All of the new issuance was of bonds with maturity of less than seven years. The overall index duration on the first trading day of February decreased to 11.15, compared to beginning of January 11.60 (see table below).

No new gilts entered the index the past month.

Eight bonds left the index, with a total notional of GBP 3.63 billion of notional value.

Six bonds were impacted by a credit change in the last rebalance as the credit rating for Electricite de France SA nudged down from A to BBB. The change had little impact on the overall index. However, the above-mentioned addition of supranational issuances have slightly increased the overall weight of the AAA-rated bonds. Please see the Appendix for the full index breakdown.

January 2022 Performance

Annual yields on pound-denominated debt rallied in January to the highest levels in more than two-and-a-half years leading to hefty losses across the entire iBoxx GBP index spectrum. Even the iBoxx GBP High Yield Core-bonds index - which remained in positive territory throughout 2021 - flipped into a monthly loss in January. Meanwhile, the spreads between the government debt and corporate bonds - as measured by the Annual Benchmark Spread - rose to their widest in more than two years.

Gilts led the losses across the index. In the corporate category, Non-Financials saw the largest month-on-month drops from all sectors. The weak performance was spread across all corporate sectors, with Consumer Goods and Industrials sliding slightly less than other sectors.

Going into February, the market saw the Bank of England hiking its base rate to 0.5%, in line with expectations. The focus remains on further increases and reduction of the government's bond buying program.

Key Index Analytics


Total Return Index Level is based to 100 on 31 December 1997. Data as of 31 January 2022

Full report and a list of insertions and deletions can be found here.

Key Tickers


BBG Ticker TRi


iBoxx £ Overall




iBoxx £ Gilts




iBoxx £ Non-Gilts




iBoxx £ Corporates




Markit iBoxx GBP

High Yield Core-bonds




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