{"id":846,"date":"2007-05-12T21:57:46","date_gmt":"2007-05-13T01:57:46","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=846"},"modified":"2007-05-12T21:57:46","modified_gmt":"2007-05-13T01:57:46","slug":"mapf-portfolio-characteristics-2007-4-30","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=846","title":{"rendered":"MAPF Portfolio Characteristics, 2007-4-30"},"content":{"rendered":"

For reasons that will become clear with the release of the June edition of Canadian Moneysaver<\/a>, I thought I would disclose the broad characteristics of the MAPF Portfolio as of last month end:<\/p>\n

\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
MAPF Sectoral Analysis 2007-4-30<\/td>\n<\/tr>\n
HIMI Indices Sector<\/td>\nWeighting<\/td>\nYTW<\/td>\nModDur<\/td>\n<\/tr>\n
Ratchet<\/td>\n\u00a00%<\/td>\nN\/A\u00a0<\/td>\nN\/A<\/td>\n<\/tr>\n
FixFloat<\/td>\n\u00a00%<\/td>\nN\/A<\/td>\nN\/A\u00a0<\/td>\n<\/tr>\n
Floater<\/td>\n\u00a00%<\/td>\nN\/A\u00a0<\/td>\nN\/A\u00a0<\/td>\n<\/tr>\n
OpRet<\/td>\n\u00a00%<\/td>\nN\/A\u00a0<\/td>\nN\/A\u00a0<\/td>\n<\/tr>\n
SplitShare<\/td>\n\u00a078%<\/td>\n4.38%\u00a0<\/td>\n6.08\u00a0<\/td>\n<\/tr>\n
Interest Rearing<\/td>\n\u00a00%<\/td>\nN\/A\u00a0<\/td>\nN\/A\u00a0<\/td>\n<\/tr>\n
PerpetualPremium<\/td>\n\u00a028%<\/td>\n4.94%\u00a0<\/td>\n4.43\u00a0<\/td>\n<\/tr>\n
PerpetualDiscount<\/td>\n\u00a03%<\/td>\n4.59%\u00a0<\/td>\n16.21<\/td>\n<\/tr>\n
Scraps<\/td>\n\u00a01%<\/td>\n3.86%\u00a0<\/td>\n5.86\u00a0<\/td>\n<\/tr>\n
Cash<\/td>\n\u00a0-11%<\/td>\nN\/A<\/td>\nN\/A<\/td>\n<\/tr>\n
Total<\/strong><\/td>\n\u00a0100%<\/td>\n4.52%<\/td>\n5.93\u00a0<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

Sharp-eyed readers will observe that the “total” reflects the un-leveraged total portfolio, and may make their own adjustments to reflect interest costs incurred on the cash debit. MAPF will often have relatively large cash balances to facilitate trading.<\/p>\n

They will also note, with a certain amount of glee, that the percentages do not add up to exactly 100% in this or the following tables. This\u00a0is due to rounding.\u00a0You know something? Sharp-eyed readers really bug me.<\/p>\n

Credit distribution is:<\/p>\n

\n\n\n\n\n\n\n\n\n
MAPF Credit Analysis 2007-4-30<\/td>\n<\/tr>\n
DBRS Rating<\/td>\nWeighting<\/td>\n<\/tr>\n
Pfd-1<\/td>\n16%<\/td>\n<\/tr>\n
Pfd-1(low)<\/td>\n2%<\/td>\n<\/tr>\n
Pfd-2<\/td>\n78%<\/td>\n<\/tr>\n
Pfd-2(low)<\/td>\n14%<\/td>\n<\/tr>\n
Cash<\/td>\n-11%<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

Liquidity Distribution is:<\/p>\n

\n\n\n\n\n\n\n\n\n\n
MAPF Liquidity Analysis 2007-4-30<\/td>\n<\/tr>\n
Average Daily Trading<\/td>\nWeighting<\/td>\n<\/tr>\n
<$50,000<\/td>\n1%<\/td>\n<\/tr>\n
$50,000 – $100,000<\/td>\n0%<\/td>\n<\/tr>\n
$100,000 – $200,000<\/td>\n50%<\/td>\n<\/tr>\n
$200,000 – $300,000<\/td>\n19%<\/td>\n<\/tr>\n
>$300,000<\/td>\n40%<\/td>\n<\/tr>\n
Cash<\/td>\n-11%<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

Just in case anybody’s interested! Incidentally … cash, calculated on a trade-date basis on 2007-5-11, is basically as close to zero as it ever will be. But who knows? I might get half a trade done on Monday!<\/p>\n","protected":false},"excerpt":{"rendered":"

For reasons that will become clear with the release of the June edition of Canadian Moneysaver, I thought I would disclose the broad characteristics of the MAPF Portfolio as of last month end: MAPF Sectoral …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[14],"tags":[],"class_list":["post-846","post","type-post","status-publish","format-standard","hentry","category-mapf"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/846","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=846"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/846\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=846"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=846"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=846"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}