I thought I’d spend a little time looking at CPD in more than usual detail this month, so that it’s major characteristics could be compared with the MAPF Portfolio Composition.
| CPD Sectoral Analysis 2008-5-30 | |||
| HIMI Indices Sector | Weighting | YTW | ModDur |
| Ratchet | 0.9% | 3.86% | 0.08 |
| FixFloat | 5.1% | 4.62% | 15.9 |
| Floater | 3.0% | 4.09% | 17.2 |
| OpRet | 20.3% | 2.56% | 2.55 |
| SplitShare | 0.0% | N/A | N/A |
| Interest Rearing | 0% | N/A | N/A |
| PerpetualPremium | 0.0% | N/A | N/A |
| PerpetualDiscount | 53.6% | 5.60% | 14.20 |
| Scraps | 12.4% | 6.07% | 5.89 |
| Cash | 0.0% | 0.00% | 0.00 |
| Total | 95.3% | 4.90% | 10.69 |
| The 2.50% holding in BCE.PR.F, 1.39% in “Brookfield Ser ___” and 0.77% in “Fortis 4.9% Series ___” have been ignored.
The totals for yield and duration consider only the 95.3% known holdings. |
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Credit distribution is:
| CPD Credit Analysis 2008-5-30 | |
| DBRS Rating | Weighting |
| Pfd-1 | 34.4% |
| Pfd-1(low) | 27.9% |
| Pfd-2(high) | 7.6% |
| Pfd-2 | 0.0% |
| Pfd-2(low) | 15.5% |
| Pfd-3(high) | 9.2% |
| Pfd-3 | 5.4% |
| All issues included – even those three issues excluded from the totals above. | |
Liquidity Distribution is:
| CPD Liquidity Analysis 2008-5-30 | |
| Average Daily Trading | Weighting |
| <$50,000 | 2.9% |
| $50,000 – $100,000 | 28.0% |
| $100,000 – $200,000 | 34.8% |
| $200,000 – $300,000 | 16.7% |
| >$300,000 | 12.9% |
| Unknown | 4.7% |
| Unknown issues as specified above. | |
A spreadsheet has been uploaded.
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