12 Oct – 16 Oct 2015

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As volatility in equity markets has dissipated to a degree, hybrids margins have wound back and Evans and Partners recently took a look at the various sub-sector average margins as ratios of the iTraxx index. They came to the conclusion bank and non-bank subordinated notes and income securities all look about fairly priced, hence recent price gains have kept pace with the falling iTraxx. “Basel III” hybrids still look wide, although they are at the bottom of a 6 month range relative to iTraxx.

Hybrids 12102015
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ASX LISTED HYBRIDS

COMPANYCODEHYBRID
TYPE
MATURITY
OR STEP-UP
DATE
MARGIN
INC FRANK
TRADING
MARGIN
∆ WEEKWEEK
CLOSE
YTM
Est**
ANZ Banking GroupANZPAMCPS I16/12/20163.10%3.20%0.00%100.305.33%
ANZ Banking GroupANZPCMCPS II28/09/20173.10%3.45%-0.12%100.005.66%
ANZ Banking GroupANZPDMCPS II1/09/20213.40%4.60%-0.22%94.976.81%
ANZ Banking GroupANZPECapital Note24/03/20223.25%4.84%-0.15%92.287.05%
Bendigo BankBENHBPerpetual21/10/20541.00%2.63%-0.03%73.994.76%
Bendigo BankBENPDMCPS II13/12/20175.00%4.12%-0.33%104.156.33%
Bendigo BankBENPEMCPS II30/11/20203.20%4.87%0.03%94.987.08%
Bendigo BankBENPFMCPSII15/06/20214.00%5.12%0.11%112.507.33%
Bank Of QueenslandBOQPDMCPS II15/04/20185.10%3.65%-0.27%103.325.86%
CBA PERLS 3PCAPAStep Up6/04/20161.05%3.16%-0.48%198.155.29%
CBA PERLS 6CBAPCMCPS II15/12/20183.80%3.93%-0.11%100.106.06%
CBA PERLS 7CBAPDMCPS II15/12/20222.80%4.82%0.02%89.276.95%
ChallengerCGFPACapital Note25/05/20203.40%4.90%-0.21%94.937.03%
IAGIAGPCMCPS II1/05/20174.00%3.61%-0.45%103.405.82%
IAG RESIANGReset pref16/12/20194.00%4.31%-0.08%100.956.44%
Macquarie BankMBLHBIncome SecPerpetual1.70%3.89%0.09%69.756.02%
MacquarieMBLPACapital Note24/03/20213.30%4.56%-0.12%94.506.77%
MacquarieMQGPACapital Note7/06/20194.00%4.20%-0.28%101.156.41%
Multiplex SITESMXUPAPerp'l PrefPerpetual3.90%6.00%-0.03%77.008.13%
Nat Aust BankNABHAIncome SecPerpetual1.25%3.47%0.05%68.255.60%
Nat Aust BankNABPAMCPS II20/03/20193.20%4.46%-0.24%96.506.59%
Nat Aust BankNABPBMCPS II17/12/20203.25%4.62%-0.27%94.506.75%
NufarmNFNGStep UpPerpetual3.90%5.46%-0.11%82.007.67%
PaperlinxPXUPAPerp'l Pref30/06/2052N/A8.80%0.00%13.0011.01%
Ramsay Health CareRHCPAPerp'l PrefPerpetual4.85%4.65%-0.11%102.506.86%
Suncorp-MetwaySBKHBIncome SecPerpetual0.75%2.11%-0.01%76.714.24%
SuncorpSUNPCMCPS II17/12/20174.65%3.67%-0.50%102.505.80%
SuncorpSUNPEMCPS II17/06/20203.40%4.45%-0.31%96.246.58%
Seven Network TELYS 4SVWPAPerp'l Pref2/12/20544.75%8.85%-0.21%68.0011.06%
WestpacWBCPCMCPS II31/03/20183.25%3.75%0.11%99.095.96%
WestpacWBCPDMCPS II8/03/20193.20%4.54%0.20%96.506.67%
WestpacWBCPEMCPS II22/09/20223.05%4.83%-0.05%90.706.96%
WestpacWCTPAStep Up30/06/20161.00%4.00%0.51%98.066.13%

** YTM for floating rate securities is an estimate using current interest rates. This will vary if rates change.
Source: Evans & Partners. Dealing Contact Michael Saba +61 3 9631 9813

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