Extended duration

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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.

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