30 May – 03 Jun 2016

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ASX-listed floating rate hybrid margins were generally higher this week. The median trading margin rose back to 4.63%, up from 4.34% and back to where the median was two weeks ago. The changes was driven by the price and yield reversals by ANZ CPS3 (ASX code ANZPC) and ANZ CPS2 (ASX code: ANZPA) and as readers will recall, securities which are close to maturity are prone to this.

 New issues were a major focus and margins were set for NAB latest Capital Notes 2 at 5bps more than Westpac’s latest offering (Capital Notes 4). In both cases, investor demand led to a doubling of the offer sizes. As readers can see from the chart below, securities in this segment are now generally in line with one another.

hybrids-yieldreport-3jun

Evans & Partners Michael Saba has noted how the trading margin of Macquarie Notes (ASX code: MQGPA) has dipped under the margin of Macquarie Bank income securities (ASX code: MBLHB) and questioned why this was so. Typically the Notes trade at a higher margin so some reversal may be expected.

hybrids-mqg-3jun
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ASX LISTED HYBRIDS

COMPANYCODEHYBRID
TYPE
MATURITY
OR STEP-UP
DATE
MARGIN
INC FRANK
TRADING
MARGIN
∆ WEEKWEEK
CLOSE
YTM
Est**
AMP Capital NotesAMPPABasel III22/12/20215.10%4.71%0.07%103.206.71%
ANZ Banking GroupANZPAMCPS II16/12/20163.10%2.94%0.79%99.874.94%
ANZ Banking GroupANZPCMCPS III28/09/20173.10%3.34%0.42%101.005.48%
ANZ Banking GroupANZPDMCPS III1/09/20213.40%4.83%-0.21%95.196.97%
ANZ Banking GroupANZPECapital Note24/03/20223.25%4.82%-0.13%93.596.96%
ANZ Banking GroupANZPFCapital Note24/03/20233.60%4.99%0.07%93.707.13%
Bendigo BankBENHBPerpetual21/10/20541.00%2.99%0.10%67.254.99%
Bendigo BankBENPDMCPS III13/12/20175.00%4.26%0.21%100.826.40%
Bendigo BankBENPEMCPS III30/11/20203.20%5.15%0.13%92.657.29%
Bendigo BankBENPFMCPS III15/06/20214.00%4.83%-0.23%96.306.97%
Bank Of QueenslandBOQPDMCPS III15/04/20185.10%3.92%-0.42%102.986.06%
CBA PERLS 6CBAPCMCPS III15/12/20183.80%3.95%0.14%100.895.95%
CBA PERLS 7CBAPDMCPS III15/12/20222.80%4.90%0.03%90.106.90%
CBA PERLS 8CBAPEMCPS IIII15/10/20215.20%4.71%0.12%103.406.71%
ChallengerCGFPACapital Note25/05/20203.40%4.58%-0.56%96.006.58%
IAGIAGPCMCPS III1/05/20174.00%3.99%0.36%100.506.13%
IAG RESIANGReset pref16/12/20194.00%4.47%0.17%99.816.47%
Macquarie BankMBLHBIncome SecPerpetual1.70%4.14%0.02%65.806.14%
Macquarie BankMBLPACapital Note III24/03/20213.30%4.84%-0.20%94.796.98%
Macquarie GroupMQGPACapital Note III7/06/20194.00%3.86%-0.07%100.006.00%
Macquarie GroupMQGPBCapital Note III17/03/20225.15%5.18%-0.09%101.357.32%
Multiplex SITESMXUPAPerp'l PrefPerpetual3.90%6.60%-0.12%72.958.60%
Nat Aust BankNABHAIncome SecPerpetual1.25%3.54%-0.08%65.005.54%
Nat Aust BankNABPAMCPS III20/03/20193.20%4.35%-0.06%96.806.35%
Nat Aust BankNABPBMCPS III17/12/20203.25%4.74%-0.02%94.016.74%
Nat Aust BankNABPCCapital Note III23/03/20203.50%4.70%-0.07%97.056.70%
NufarmNFNGStep UpPerpetual3.90%5.49%-0.03%81.407.63%
PaperlinxPXUPAPerp'l Pref30/06/2052N/A8.80%0.00%9.7610.94%
Ramsay Health CareRHCPAPerp'l PrefPerpetual4.85%4.68%0.03%103.006.82%
Suncorp-MetwaySBKHBIncome SecPerpetual0.75%1.78%-0.32%80.003.78%
SuncorpSUNPCMCPS III17/12/20174.65%3.89%-0.05%102.505.89%
SuncorpSUNPEMCPS III17/06/20203.40%3.72%-0.22%98.605.72%
Seven Network TELYS 4SVWPAPerp'l Pref2/12/20544.75%11.79%0.45%57.0013.93%
WestpacWBCPCMCPS III31/03/20183.25%3.58%0.23%100.325.72%
WestpacWBCPDMCPS III8/03/20193.20%4.43%0.00%96.806.43%
WestpacWBCPEMCPS III22/09/20223.05%4.82%-0.14%92.006.82%
WestpacWBCPFCapital Note III22/03/20214.00%4.70%0.17%98.326.70%

** 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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