08 Aug – 12 Aug 2016

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The median trading margin for ASX-listed floating rate notes fell a few more basis points this week to finish at 1.98%, down 4bps from the previous week’s 2.02%. Trading margins changes were, by and large, quite small and any large changes were limited to listed-notes issued by Woolworths, Colonial and Origin whose maturities are fast approaching.

AGL noteholders (ASX code: AGLHA) interested in the more esoteric terms of their investment may wish to check Shaw and Partners’ note regarding the securities’ mandatory deferral conditions. For those readers without access to the note, in short AGL must make interest payments quarterly on the notes unless a Mandatory Deferral Condition exists, in which case interest payments are deferred. A Mandatory Deferral Condition will exist if the Interest Coverage Ratio is less than 3.0 times or the Leverage Ratio is above 4.0 times on particular “Testing” dates. According to the latest AGL ASX release both ratios are far away from their trigger limits.

YieldReport noticed this week how Woolworth’s Notes (ASX code: WOWHC) now have a negative trading margin. This essentially means investors receive less than BBSW rate. Readers will recall how the trading margin is the sum of distributions, franking credits and capital gains (or loss) per annum, less BBSW. Perhaps it is just an example of short term mispricing or perhaps investors are bidding them up (forcing the yield lower) in the expectation of a replacement security in November.

listed-notes-12aug

ASX LISTED FLOATING RATE NOTES

COMPANY
$100
Face Val
CODEBOND
TYPE
MATURITYISSUE
MARGIN
TRADING
MARGIN
Δ WEEKWEEK
CLOSE
YTM
Est**
AGLAGLHASub Note8-Jun-193.80%2.41%-0.21%104.604.16%
AMPAMPHASub Note II18-Dec-182.65%1.57%-0.10%103.003.32%
ANZ Banking GroupANZHASub Note II14-Jun-172.75%1.19%-0.27%101.882.94%
APT PipelinesAQHHASub Note31-Mar-184.50%2.38%-0.03%104.004.13%
Australian UnityAYUHBBond15-Dec-202.80%1.89%0.02%104.003.64%
ColonialCNGHASub Note31-Mar-173.25%1.04%-0.53%101.892.79%
CaltexCTXHASub Note15-Sep-174.50%1.98%-0.04%103.613.73%
CrownCWNHASub Note14-Sep-185.00%5.75%0.09%99.617.50%
CrownCWNHBSub Note23-Jul-214.00%7.19%0.14%88.538.94%
Goodman GroupGMPPASub Note30-Sep-183.90%3.51%-0.14%101.405.26%
Bentham IMFIMFHABond30-Jun-194.20%4.93%-0.48%98.606.68%
Nat Aust BankNABHBSub Note II18-Jun-172.75%1.16%-0.08%101.912.91%
OriginORGHASub Note22-Dec-164.00%3.66%-1.16%100.875.41%
Suncorp MetwaySUNPDSub Note III21-Nov-182.85%2.16%0.04%101.303.91%
TabcorpTAHHBSub Bond22-Mar-174.00%2.14%-0.44%101.853.89%
TattsTTSHASnr. Bond5-Jul-193.10%1.89%0.11%103.753.64%
WestpacWBCHASub Note II23-Aug-172.75%1.31%-0.21%101.253.06%
WestpacWBCHBSub Note III22-Aug-182.30%1.77%-0.15%100.853.52%
WoolworthsWOWHCSub Note24-Nov-163.25%-0.30%-1.96%102.001.45%

ASX LISTED FIXED RATE BONDS

COMPANYCODETYPEMATURITYCOUPONWEEK
HIGH
WEEK
LOW
WEEK
CLOSE
YTMNEXT DIV
AND EX
DATE
Heritage BSHBSHBSnr Bond20/06/20177.25%104.89104.05104.153.48%

ASX LISTED CONVERTIBLE NOTES

COMPANYCODEFACE
VALUE
MATURITYWEEK
HIGH
WEEK
LOW
WEEK
CLOSE
YTMSIZE
($m)
Aust FoundationAFIG$100.0028-Feb-17115.00114.00114.0012.17%

** 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