PrefBlog

As briefly noted yesterday, the FixedReset Index set a new all-time low yield record as of the close November 3 with a mark of 2.88%.

Click for Big

This is all the more impressive since changes to the index in October added three lower-quality, higher-yielding issues to the index, which had an effect on the determination of the median yield.

To celebrate, I am publishing the constituents of the FixedReset index, sorted in various ways:

• Yield
• Volume
• Ticker

Given that the DEX Short-Term Corporate Index yields about 2.5% and the ZCS short term corporate ETF yields 2.4% before fees, a yield of 2.88% is not entirely unreasonable: the interest-equivalent is 4.03%, giving a pre-tax spread of about 150bp to cover things like the additional credit risk and extension risk of the FixedResets. But I’m not entirely convinced that the market actually thinks that way.

This entry was posted on Thursday, November 4th, 2010 at 2:30 pm and is filed under Index Construction / Reporting. You can follow any responses to this entry through the RSS 2.0 feed. You can leave a response, or trackback from your own site.