IBoxx indices

Exhibits 25.1 and 25.2 show how the iBoxx indices have evolved during 2002. Notice the rebalancing spikes at the turn of each month, caused by bonds falling under a year to maturity, the addition of new, longer-dated issues and the removal of cash. 

EXHIBIT 25.1 iBoxx Euro Index—Modified Duration 31 January 2002 to January 31, 2003... 

EXHIBIT 25.5 iBoxx Euro Index from 31 January 2002 to 31 January 2003... 

We selected a universe of corporate bonds with maturities (on 31 May 2001) between two and six years from the iBoxx Euro Corporate Nonfinancial Index. We chose a cut-off at two years to ensure the bonds would still be in the index at the end of the 1-year test period. This produced 97 nonfinancial corporate bonds, which we aggregated into their own index. 

EXHIBIT 26.9 YTD Returns by Industry Sector in the iBoxx Euro Corporate Index... 

As with other parameters we have discussed, the name concentration also needs to be measured on a duration contribution basis. There can be substantial differences between duration contribution and percentage of market value of issuers. Exhibit 26.16 highlights the top five issuers by both criteria in the iBoxx Euro Corporate Index. 

EXHIBIT 2B.17 Top Five Nonfinancial Borrowers by Number of Bonds in iBoxx Corporate Index... 

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