{"id":2220,"date":"2008-06-02T15:35:48","date_gmt":"2008-06-02T19:35:48","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=2220"},"modified":"2008-06-02T15:35:48","modified_gmt":"2008-06-02T19:35:48","slug":"cpd-portfolio-composition-may-2008","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=2220","title":{"rendered":"CPD Portfolio Composition: May 2008"},"content":{"rendered":"

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<\/a>.<\/p>\n

\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
CPD Sectoral Analysis 2008-5-30<\/td>\n<\/tr>\n
HIMI Indices Sector<\/td>\nWeighting<\/td>\nYTW<\/td>\nModDur<\/td>\n<\/tr>\n
Ratchet<\/td>\n0.9%<\/td>\n3.86%<\/td>\n0.08<\/td>\n<\/tr>\n
FixFloat<\/td>\n5.1%<\/td>\n4.62%<\/td>\n15.9<\/td>\n<\/tr>\n
Floater<\/td>\n3.0%<\/td>\n4.09%<\/td>\n17.2<\/td>\n<\/tr>\n
OpRet<\/td>\n20.3%<\/td>\n2.56%<\/td>\n2.55<\/td>\n<\/tr>\n
SplitShare<\/td>\n0.0%<\/td>\nN\/A<\/td>\nN\/A<\/td>\n<\/tr>\n
Interest Rearing<\/td>\n0%<\/td>\nN\/A<\/td>\nN\/A<\/td>\n<\/tr>\n
PerpetualPremium<\/td>\n0.0%<\/td>\nN\/A<\/td>\nN\/A<\/td>\n<\/tr>\n
PerpetualDiscount<\/td>\n53.6%<\/td>\n5.60%<\/td>\n14.20<\/td>\n<\/tr>\n
Scraps<\/td>\n12.4%<\/td>\n6.07%<\/td>\n5.89<\/td>\n<\/tr>\n
Cash<\/td>\n0.0%<\/td>\n0.00%<\/td>\n0.00<\/td>\n<\/tr>\n
Total<\/strong><\/td>\n95.3%<\/strong><\/td>\n4.90%<\/strong><\/td>\n10.69<\/strong><\/td>\n<\/tr>\n
The 2.50% holding in BCE.PR.F, 1.39% in “Brookfield Ser ___” and 0.77% in “Fortis 4.9% Series ___” have been ignored.<\/p>\n

The totals for yield and duration consider only the 95.3% known holdings.<\/em><\/td>\n<\/tr>\n<\/table>\n<\/div>\n

Credit distribution is:<\/p>\n

\n\n\n\n\n\n\n\n\n\n\n\n
CPD Credit Analysis 2008-5-30<\/td>\n<\/tr>\n
DBRS Rating<\/td>\nWeighting<\/td>\n<\/tr>\n
Pfd-1<\/td>\n34.4%<\/td>\n<\/tr>\n
Pfd-1(low)<\/td>\n27.9%<\/td>\n<\/tr>\n
Pfd-2(high)<\/td>\n7.6%<\/td>\n<\/tr>\n
Pfd-2<\/td>\n0.0%<\/td>\n<\/tr>\n
Pfd-2(low)<\/td>\n15.5%<\/td>\n<\/tr>\n
Pfd-3(high)<\/td>\n9.2%<\/td>\n<\/tr>\n
Pfd-3<\/td>\n5.4%<\/td>\n<\/tr>\n
All issues included – even those three issues excluded from the totals above.<\/em><\/td>\n<\/tr>\n<\/table>\n<\/div>\n

Liquidity Distribution is:<\/p>\n

\n\n\n\n\n\n\n\n\n\n\n
CPD Liquidity Analysis 2008-5-30<\/td>\n<\/tr>\n
Average Daily Trading<\/td>\nWeighting<\/td>\n<\/tr>\n
<$50,000<\/td>\n2.9%<\/td>\n<\/tr>\n
$50,000 – $100,000<\/td>\n28.0%<\/td>\n<\/tr>\n
$100,000 – $200,000<\/td>\n34.8%<\/td>\n<\/tr>\n
$200,000 – $300,000<\/td>\n16.7%<\/td>\n<\/tr>\n
>$300,000<\/td>\n12.9%<\/td>\n<\/tr>\n
Unknown<\/td>\n4.7%<\/td>\n<\/tr>\n
Unknown issues as specified above.<\/em><\/td>\n<\/tr>\n<\/table>\n<\/div>\n

A spreadsheet has been uploaded<\/a>.<\/p>\n","protected":false},"excerpt":{"rendered":"

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 …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[16],"tags":[],"class_list":["post-2220","post","type-post","status-publish","format-standard","hentry","category-miscellaneous-news"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/2220","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=2220"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/2220\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=2220"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=2220"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=2220"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}