Summary: Trading margins on average move lower; falls outweigh rises by nearly 2:1; sector trading margin below lower bound of “normal” trading range; margins of ANZPF, CGFPB largest movers over week.
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The median trading margin of ASX-listed declined as the number of securities with lower spreads to BBSW outweighed securities with higher spreads by a ratio of nearly 2:1. By the end of the week, the median trading margin had decreased from 2.53% to 2.48%, a reading which is below the lower bound of its “normal” ten-year trading range.
Trading margins of most hybrids varied within a range of -25bps to +30bps. Ignoring short-dated securities, the margins of ANZ Capital Notes 3 (code: ANZPF, -56bps) and Challenger Capital Notes 2 (code: CGFPB, +56bps) had the largest (absolute) changes over the week.
ANZ will redeem its Capital Notes (code: ANZPD) for $100 on 1 September 1. Registered holders on 24 August will receive the final distribution of $0.3655.
The current 3-month BBSW rate is just a couple of basis points above zero. Add the trading margin from the above chart or from the tables to this figure for an estimate of the gross return per annum in the absence of BBSW rate changes. The gross return may contain imputation credits. BBSW typically is around 15bps (average since 1990) more than the RBA rate.
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