Nonfinancial corporate bonds

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. 

In the corporate market some issuers have well-populated credit curves, which enables relative value comparisons for a particular name. Traditionally, European financial institutions have been (and still are) the leading borrowers in the bond market. However, the number of nonfinancial issuers with well-formed credit curves continues to grow. Exhibit 26.17 lists the top five non-financial borrowers, ranked by the number of... 

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

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