FixedReset Index YTW Now Through 3.00%

It seems like only yesterday that I was excited that the FixedReset Index YTW had hit an all-time low of 3.26% … but no, that happened on August 19. It only took another month to hop over the next milestone, as the median weighted average Yield-to-Worst of the FixedReset index is now firmly below 3.00%.

Click for Big

To celebrate, I am publishing the FixedReset index constituent list, sorted three ways:

Short corporates now yield about 2.7%, so one can certainly make a case for the idea that a yield below 3.0% for FixedResets is fair and reasonable – that allows 150bp for extension and credit risk on a pre-tax interest-equivalent basis – but I don’t think the market thinks like that and I think the market will receive a rude shock when the issuers start calling these things.

I was interviewed today by a reporter for a major Canadian newspaper and talked about what I liked for 15 minutes … then told her ‘wait a minute, you have to put something about FixedResets in this article or you’ll get about 100 eMails following publication, because a lot of people love these things.’ Not to worry – apparently the other experts she interviewed for the piece strongly recommended FixedResets. Hopefully, I’ll get a look at the article later this week.

How about that PWF.PR.P, eh? It’s a 4.40%+160 FixedReset issued in June …. now trading at 26.23-34, but given a 5-Year GOC yield of 2.11%, it’s not expected to be called 2016-1-31.

2 Responses to “FixedReset Index YTW Now Through 3.00%”

  1. Chris says:

    Ah, good, for a moment I thought you had forgotten (see my comment on your other post).

    So drinks are on you tonight James?

  2. jiHymas says:

    So drinks are on you tonight James?

    If you can find me, you win a drink!

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