April 2022 Commentary
In line with other markets globally, the yields of iBoxx EUR
Overall Index rose by about 50 bps across the whole curve in April.
By the end of April, the average yield of the iBoxx EUR Corporates
Index had risen to a level last seen in 2014. The rise in yields
also led to a corresponding shortening of duration—the duration
of the iBoxx EUR Eurozone Index dipped below eight years for the
first time since 2018.
Exhibit 1: Monthly Performance – April 2022
Source: IHS Markit, part of S&P Global
The upward shift in the yield curve led the iBoxx EUR Overall
Index to another month of heavy declines. Losses extended across
all maturity bands; long-dated bonds with a maturity of more than
10 years were hit especially hard, showing declines of more than 7%
The longer average duration of sovereign debt saw the iBoxx EUR
Eurozone Index down 3.79% month-over-month, compared with a loss of
2.79% for the iBoxx EUR Corporates Index.
Losses were observed across all rating categories and corporate
sectors. This is in a contrast to equity indices, where Energy
stocks showed positive performance in April. On the bond side,
Utilities and Oil & Gas, the iBoxx sectors with the largest
exposure to Energy were in the bottom half in terms of performance
In other market news, European Central Bank’s President
Christine Lagarde said in late April that the bank’s bond buying
program would slow down toward early third quarter, with the
eurozone interest rates increase also likely toward July.
Exhibit 2: iBoxx EUR Month-to-Date Returns by Sector and
Source: IHS makrit, part of S&P Global. Data as of April 30,
2022. Charts are provided for illustrative purposes.
May 2022 Month-End Rebalance
The iBoxx EUR Overall Index saw a net decrease in notional
outstanding of about EUR 10 billion in April. While more bonds
entered the index than were being removed (79 new entrants versus
71 exclusions), the removal of several larger sovereign issues
whose remaining time to maturity had dropped below one year led to
the overall decrease in index notional. Within the Corporates
sector, new financial issuances dominated.
Exhibit 3: iBoxx EUR Corporates Insertions and Deletions
by Sector in EUR Billions
Source: S&P Global. Data based on market value on last
trading day of the month as of April 30, 2022. Chart is provided
for illustrative purposes.
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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.