{"id":12837,"date":"2010-11-04T14:30:48","date_gmt":"2010-11-04T18:30:48","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=12837"},"modified":"2010-11-04T14:30:48","modified_gmt":"2010-11-04T18:30:48","slug":"fixedreset-index-yield-sets-new-all-time-low","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=12837","title":{"rendered":"FixedReset Index Yield Sets New All-Time Low"},"content":{"rendered":"<p>As briefly noted <a href=\"http:\/\/www.prefblog.com\/?p=12799\">yesterday<\/a>, the FixedReset Index set a new all-time low yield record as of the close November 3 with a mark of 2.88%.<\/p>\n<div align=\"center\"><a href=\"http:\/\/www.prefblog.com\/wp-content\/uploads\/2010\/11\/FixedResetIndexYield_20101103.jpg\"><img loading=\"lazy\" decoding=\"async\" src=\"http:\/\/www.prefblog.com\/wp-content\/uploads\/2010\/11\/FixedResetIndexYield_20101103.jpg\" alt=\"\" title=\"FixedResetIndexYield_20101103\" width=\"400\" height=\"324\" class=\"alignnone size-full wp-image-12838\" \/><\/a><br \/><i>Click for Big<\/i><\/div>\n<p>This is all the more impressive since changes to the index in <a href=\"http:\/\/www.prefblog.com\/?p=12759\">October<\/a> added three lower-quality, higher-yielding issues to the index, which had an effect on the determination of the median yield.<\/p>\n<p>To celebrate, I am publishing the constituents of the FixedReset index, sorted in various ways:<\/p>\n<ul>\n<li><a href='http:\/\/www.prefblog.com\/wp-content\/uploads\/2010\/11\/J10_yield.pdf'>Yield<\/a>\n<li><a href='http:\/\/www.prefblog.com\/wp-content\/uploads\/2010\/11\/J10_vol.pdf'>Volume<\/a>\n<li><a href='http:\/\/www.prefblog.com\/wp-content\/uploads\/2010\/11\/J10.pdf'>Ticker<\/a><\/ul>\n<p>Given that the <a href=\"http:\/\/www.canadianbondindices.com\/stbi.asp\">DEX Short-Term Corporate Index<\/a> yields about 2.5% and the <a href=\"http:\/\/www.etfs.bmo.com\/bmo-etfs\/glance?fundId=74665\">ZCS short term corporate ETF<\/a> 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&#8217;m not entirely convinced that the market actually thinks that way.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>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 &hellip;<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[10],"tags":[],"class_list":["post-12837","post","type-post","status-publish","format-standard","hentry","category-index-construction-and-reporting"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/12837","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=12837"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/12837\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=12837"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=12837"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=12837"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}