Extended duration

chart of the month


To qualify for iBoxx indices, bonds must have a minimum of 12 months left until maturity (many other indices apply the same rule). As a result of this constraint, all euro corporate paper due to mature in 2006 (a substantial amount, representing the deluge of five-year issuance in 2001) will fall out of the index in the coming months. The removal of this short-dated paper will lead to a significant increase in average index duration, says Ben Bennett, credit strategist at BNP Paribas.

A simi

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: