hybrids daily - baillieu.com.au · westpac nzd subordinated notes 1 mar 20 $1.17 0.0% anz capital...

EL&C BAILLIEU RESEARCH4 March 2020

Hybrids Daily

Market commentary

Annual inflation edged higher to 1.8% for the December quarter – a 0.1% increase on the

previous three months. Quarterly inflation increased 0.7% on the back of price rises in tobacco

(+8.4%) and domestic holidays, travel and accommodation (+7.3%). Economists had expected

consumer prices to rise 0.6% in the quarter, and by 1.7% from a year earlier.

FIG.1: Price Change (UP)

Wesfarmers 4.75% Mar 2020 (XTB) $102.38 $0.09

Macquarie Bank Capital Notes $101.10 $0.06

Australian Unity Bonds $101.00 $0.01

Mercantile Notes $103.00 $0.01

URF Convertible Step-Up Preference Units $60.60 $0.01

FIG.2: Price Change (DOWN)

Challenger Capital Notes $99.82 -$0.04

NAB Capital Notes $100.30 -$0.03

Bendigo Convertible Preference Shares 3 $102.43 -$0.01

Suncorp Capital Notes $103.10 -$0.01

Bendigo Convertible Preference Shares 2 $100.63 -$0.01

FIG.3: UPCOMING DISTRIBUTIONS

Security Date Amount Franking

Macquarie Bank 3.25% 2020 (XTB) 3 Mar 20 $1.63 0.0%

Macquarie Bank FRN 1.10% 2020 (XTB) 3 Mar 20 $0.50 0.0%

Macquarie Group Capital Notes 4 10 Mar 20 $1.26 40.0%

Downer 4.50% 2022 (XTB) 11 Mar 20 $2.25 0.0%

Wesfarmers 4.75% Mar 2020 (XTB) 12 Mar 20 $2.38 0.0%

Bendigo Converting Preference Shares 4 13 Mar 20 $1.16 100.0%

Telstra 4.00% Sep 2022 (XTB) 16 Mar 20 $2.00 0.0%

FIG.4: The SWAP CURVE

FIG.6: MOST PREFERRED LIST

Code Security Exp. Maturity Ranking Commentary

CBAPD PERLS VII 15 Dec 22 Tier 1 Capital Best relative value in mid-tenor amongst the majors based on swaps and trading margin.

AMPPA AMP Capital Notes 22 Dec 21 Tier 1 Capital Strong claims on short tenor and primary of AMPPB. Assumes AMP outlook improves going forward, alongside firming balance sheet thanks to equity raisings.

AMPPB AMP Capital Notes 2 22 Sep 25 Tier 1 Capital Best value long-dated, though not without risk. Seen some support in early Feb. Assumes AMP outlook improves going forward.

VAHHA Virgin Australia Notes 16 Dec 25 Senior Unsecured Corona virus has resulted in selling pressure. High risk, opportunistic strategy. Tracking movements in similar tenor USPP. Will be volatile.

ANZPD ANZ Capital Notes 26 Nov 24 Tier 1 Capital Strong relative value vs comps. Flat ANZ curve makes short-end more attractive.

NFNG Nufarm Step-Up Securities Perpetual Convertible Next call date in April, expecting October call. Trading well after weak earnings guidance.

FIG.7: MOST EXPENSIVE LIST

Code Security Exp. Maturity Ranking Commentary

NABHA NAB Income Securities Perpetual Tier 1 Capital Rich on speculation of redemption in 2020 – based on NAB’s maturity profile and regulatory amortisation this seems neither feasible or optimal.

BENPG Bendigo Preference Shares 4 13 Jun 24 Tier 1 Capital Rich vs majors, asset quality is eroding, not being paid for risk.

SUNPG Suncorp Capital Notes 2 17 Jun 24 Tier 1 Capital Trading too tight against the majors.

ANZPH ANZ Capital Notes 5 20 Mar 25 Tier 1 Capital Overbought, no term premium compared to short term ANZ AT1 securities.

BOQPE BOQ Capital Notes 15 Aug 24 Tier 1 Capital Looks rich against majors, asset quality is eroding, not being paid for risk.

What are hybrids? Hybrids combine elements of both debt and equity securities. They typically pay a rate of return to a set maturity date, but because they have some equity (higher risk) characteristics pay a higher return than normal debt.

Hybrids are broadly split into three varieties: 1) convertible/converting debt securities (that convert into ordinary equity securities at some stage); 2) preference shares (equity securities with debt like features); and 3) capital notes (debt securities with equity features) which may be perpetual (no maturity), subordinated bonds and securities where the issuer can redeem the securities under certain conditions. It is therefore important to understand the terminology of hybrid securities to ascertain the terms and conditions and risk of investing in these securities.

Including hybrids in your portfolio Diversifying your investment portfolio with a variety of listed products can help reduce risk and protect returns over the longer term. Provided you understand the risk and rewards, hybrids provide a higher return than term deposits and provide regular quarterly or half-yearly income.

Investors may choose to invest in hybrid securities for a number of reasons including:

▪ The potential to receive a periodic income stream for a pre-determined period;

▪ A higher return commensurate with the increased risk;

▪ Diversifying the risk of the overall portfolio; and

▪ Greater liquidity and more price transparency than wholesale corporate bonds.

Key risks to consider Hybrids are typically higher risk investments than other fixed income securities due to their subordination in the capital structure, but lower risk than shares. Risks include:

▪ Credit risk: The risk that the issuer may default on its obligation (default risk) or that the security value will decline and/or its price performance will compare unfavourably to other securities against which the investment is compared, due either to perceived increases in the risk that the issuer will default (credit spread risk), or that a company's credit rating will be lowered (downgrade risk).

▪ Interest rate risk: If the coupon rate is fixed, the yield on the security can only keep pace with changing interest rates if the price of the security changes. The market price of a fixed-rate hybrid security will go up if expected yields fall and will go down if expected yields rise. Many hybrid securities however are floating rate and adjust with interest rate movements.

▪ Market risk: Because hybrids have equity characteristics, at times they may decline in value with falling equity markets, or for instance if an issuer defers dividend or coupon payments.

▪ Liquidity risk: The risk of not being able to sell an investment quickly and easily, or for a fair price, in the market if the investor needs to. It is important for investors to consider whether the amount of liquidity in a fund’s holdings matches the amount of liquidity offered to its investors.

ASX Listed Debt & Hybrid Securities Rate Sheet (as at close 3/03/2020)

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ISSUE CURRENT PRICING FRANKED RESET/MATURITY FLOATING MARGIN CURRENT COUPON TRADING

Security Name ISIN ASX CodeIssue Size

($m)Last Price

AccruedInterest

CapitalPrice

RunningYield

TradingMargin

Yield toMaturity

FrankingSwap Rateto Reset /Maturity

Reset /Maturity

Date

Years toReset /

Maturity

CouponMargin

Step-upMargin

CurrentRate (%)

PaymentFrequency

CashAmount

Ex-dateNext

CouponPayment

TradedVolume

Capital Note

Floating

AMP Capital Notes AU0000AMPPA2 AMPPA 267.5 $102.64 $1.17 $101.47 4.57% +4.26% 4.82% 70.0% 0.57% 22 Dec 21 1.8 +5.10% - 6.02% Q $1.15 12 Mar 20 23 Mar 20 2,329

AMP Capital Notes 2 AU0000067860 AMPPB 275.0 $100.60 $1.06 $99.55 4.19% +4.59% 5.32% 70.0% 0.73% 16 Dec 25 5.8 +4.50% - 5.42% Q $0.96 5 Mar 20 16 Mar 20 5,750

ANZ Capital Notes AU0000ANZPD3 ANZPD 1,120.0 $100.88 $0.01 $100.87 3.31% +2.91% 3.48% 70.0% 0.57% 1 Sep 21 1.5 +3.40% - 4.34% S $1.67 20 Aug 20 1 Sep 20 15,517

ANZ Capital Notes 2 AU0000ANZPE1 ANZPE 1,610.0 $102.40 $1.89 $100.51 3.27% +3.00% 3.57% 70.0% 0.57% 24 Mar 22 2.1 +3.25% - 4.28% S $1.64 13 Mar 20 24 Mar 20 17,190

ANZ Capital Notes 3 AU0000ANZPF8 ANZPF 970.0 $103.74 $2.04 $101.70 3.50% +3.02% 3.60% 70.0% 0.59% 24 Mar 23 3.1 +3.60% - 4.63% S $1.78 13 Mar 20 24 Mar 20 4,361

ANZ Capital Notes 4 AU0000ANZPG6 ANZPG 1,622.0 $105.75 $1.14 $104.61 4.13% +3.46% 4.10% 70.0% 0.64% 20 Mar 24 4.0 +4.70% - 5.61% Q $1.08 11 Mar 20 20 Mar 20 9,985

ANZ Capital Notes 5 AU0000ANZPH4 ANZPH 931.1 $102.60 $0.96 $101.64 3.57% +3.44% 4.13% 70.0% 0.69% 20 Mar 25 5.0 +3.80% - 4.71% Q $0.90 11 Mar 20 20 Mar 20 6,406

Bank of Queensland Limited Capital Notes AU0000BOQPE6 BOQPE 350.0 $100.20 $0.19 $100.01 3.26% +3.76% 4.42% 100.0% 0.66% 15 Aug 24 4.5 +3.75% - 4.66% Q $0.79 28 Apr 20 15 May 20 5,158

Bendigo Floating Rate Capital Notes AU0000BENHB7 BENHB 75.0 $85.50 $0.08 $85.42 2.23% +1.37% 2.54% - 1.17% - - +1.00% - 1.91% Q $0.46 23 Apr 20 15 May 20 100

Challenger Capital Notes AU0000CGFPA1 CGFPA 345.0 $99.82 $0.08 $99.74 2.99% +4.82% 5.42% 100.0% 0.59% 25 May 20 0.2 +3.40% - 4.26% Q $0.73 14 May 20 25 May 20 4,048

Challenger Capital Notes 2 AU0000CGFPB9 CGFPB 460.0 $102.74 $0.12 $102.62 3.60% +3.55% 4.14% 100.0% 0.59% 22 May 23 3.2 +4.40% - 5.28% Q $0.89 11 May 20 22 May 20 2,282

IAG Capital Notes AU0000IAGPD3 IAGPD 350.0 $105.50 $1.20 $104.30 4.13% +3.30% 3.90% 70.0% 0.60% 15 Jun 23 3.3 +4.70% - 5.60% Q $1.07 5 Mar 20 16 Mar 20 1,954

Macquarie Bank Capital Notes AU0000MBLPA9 MBLPA 429.4 $101.10 $1.91 $99.19 3.73% +17.63% 18.20% 40.0% 0.56% 24 Mar 20 0.1 +3.30% - 4.33% S $1.84 13 Mar 20 24 Mar 20 3,131

Macquarie Group Capital Notes 2 AU0000MQGPB5 MQGPB 531.0 $104.70 $2.89 $101.81 5.27% +3.38% 3.96% 40.0% 0.58% 17 Mar 21 1.0 +5.15% - 6.29% S $2.68 6 Mar 20 17 Mar 20 2,940

Macquarie Group Capital Notes 3 AU0000010522 MQGPC 1,000.0 $102.47 $1.05 $101.42 4.12% +3.67% 4.35% 40.0% 0.67% 16 Dec 24 4.8 +4.00% - 4.90% Q $1.04 5 Mar 20 16 Mar 20 17,467

Macquarie Bank Capital Notes 2 TBC1TBC2TBC3 MBLPB 400.0 $100.00 $0.00 $100.00 3.35% +2.90% 3.63% 40.0% 0.73% 22 Dec 25 5.8 +2.90% - 3.92% Q $0.83 28 May 20 22 Jun 20 -

Macquarie Group Capital Notes 4 AU0000040172 MQGPD 905.5 $102.75 -$0.10 $102.85 4.18% +3.65% 4.42% 40.0% 0.77% 10 Sep 26 6.5 +4.15% - 5.04% Q $1.07 28 Feb 20 10 Mar 20 19,661

NAB Capital Notes AU0000NABPC6 NABPC 1,340.0 $100.30 $0.86 $99.44 3.11% +14.04% 14.60% 100.0% 0.56% 23 Mar 20 0.1 +3.50% - 4.42% Q $0.77 12 Mar 20 23 Mar 20 8,593

NAB Capital Notes 2 AU0000NABPD4 NABPD 1,498.9 $104.79 $0.90 $103.89 3.95% +3.22% 3.79% 100.0% 0.57% 7 Jul 22 2.3 +4.95% - 5.86% Q $1.02 27 Mar 20 7 Apr 20 28,413

NAB Capital Notes 3 AU0000039042 NABPF 1,874.1 $103.51 $1.03 $102.48 3.35% +3.55% 4.31% 100.0% 0.76% 17 Jun 26 6.3 +4.00% - 4.90% Q $0.86 6 Mar 20 17 Mar 20 48,956

NAB Capital Notes 4 TBCATBCBTBCD NABPG 750.0 $100.00 $0.00 $100.00 2.74% +2.95% 3.78% 100.0% 0.83% 17 Sep 27 7.5 +2.95% - 3.92% Q $0.65 27 May 20 17 Jun 20 -

PERLS VIII AU0000CBAPE5 CBAPE 1,450.0 $104.74 $1.30 $103.44 4.12% +2.90% 3.47% 100.0% 0.57% 15 Oct 21 1.6 +5.20% - 6.10% Q $1.06 5 Mar 20 16 Mar 20 4,705

PERLS IX AU0000CBAPF2 CBAPF 1,640.0 $102.36 $1.03 $101.34 3.31% +3.22% 3.79% 100.0% 0.57% 31 Mar 22 2.1 +3.90% - 4.80% Q $0.84 5 Mar 20 16 Mar 20 8,840

PERLS VII AU0000CBAPD7 CBAPD 3,000.0 $100.10 $0.79 $99.31 2.60% +3.07% 3.64% 100.0% 0.58% 15 Dec 22 2.8 +2.80% - 3.70% Q $0.64 5 Mar 20 16 Mar 20 24,528

PERLS XI AU0000028854 CBAPH 1,590.0 $102.55 $0.98 $101.57 3.17% +3.28% 3.92% 100.0% 0.64% 26 Apr 24 4.2 +3.70% - 4.60% Q $0.80 5 Mar 20 16 Mar 20 6,893

PERLS X AU0000003832 CBAPG 1,365.0 $101.90 $0.92 $100.98 2.98% +3.19% 3.88% 100.0% 0.69% 15 Apr 25 5.1 +3.40% - 4.30% Q $0.75 5 Mar 20 16 Mar 20 7,693

PERLS XII AU0000061327 CBAPI 1,650.0 $99.06 $1.17 $97.89 2.81% +3.35% 4.16% 100.0% 0.81% 20 Apr 27 7.1 +3.00% - 3.93% Q $0.92 5 Mar 20 16 Mar 20 26,229

Suncorp Capital Notes AU0000SUNPF1 SUNPF 375.0 $103.10 $1.06 $102.05 3.43% +3.17% 3.74% 100.0% 0.57% 17 Jun 22 2.3 +4.10% - 5.00% Q $0.87 5 Mar 20 17 Mar 20 1,876

Suncorp Capital Notes 2 AU0000SUNPG9 SUNPG 375.0 $100.75 -$0.18 $100.93 3.16% +3.42% 4.07% 100.0% 0.65% 17 Jun 24 4.3 +3.65% - 4.55% Q $0.79 2 Mar 20 17 Mar 20 1,271

Suncorp Capital Notes 3 AU0000064594 SUNPH 389.0 $98.46 $0.82 $97.64 2.80% +3.43% 4.19% 100.0% 0.76% 17 Jun 26 6.3 +3.00% - 3.90% Q $0.68 5 Mar 20 17 Mar 20 2,709

Suncorp Floating Rate Capital Notes (FRCN) AU0000SBKHB3 SBKHB 200.0 $84.00 -$0.02 $84.02 1.95% +1.12% 2.33% - 1.21% - - +0.75% - 1.32% Q $0.33 14 May 20 2 Jun 20 151

Westpac Capital Notes 3 AU0000WBCPF6 WBCPF 1,320.0 $102.00 $0.96 $101.04 3.41% +3.01% 3.59% 100.0% 0.58% 22 Mar 21 1.1 +4.00% - 4.92% Q $0.86 12 Mar 20 23 Mar 20 20,915

Westpac Capital Notes 4 AU0000WBCPG4 WBCPG 1,700.0 $104.70 $1.01 $103.70 3.93% +2.51% 3.07% 100.0% 0.57% 20 Dec 21 1.8 +4.90% - 5.82% Q $1.02 19 Mar 20 30 Mar 20 10,701

Westpac Capital Notes 2 AU0000WBCPE9 WBCPE 1,310.6 $100.85 $0.77 $100.08 2.78% +3.03% 3.60% 100.0% 0.57% 23 Sep 22 2.6 +3.05% - 3.97% Q $0.69 12 Mar 20 23 Mar 20 6,720

Westpac Capital Notes 6 AU0000031106 WBCPI 1,423.1 $102.30 $0.96 $101.34 3.17% +3.36% 4.02% 100.0% 0.65% 31 Jul 24 4.4 +3.70% - 4.59% Q $0.80 9 Mar 20 18 Mar 20 15,176

Westpac Capital Notes 5 AU0000000564 WBCPH 1,690.0 $99.76 $0.80 $98.96 2.92% +3.41% 4.13% 100.0% 0.72% 22 Sep 25 5.6 +3.20% - 4.12% Q $0.72 12 Mar 20 23 Mar 20 8,188

Convertible Bonds

Floating

http://app.bondadviser.com.au/forward_daily_ratesheet/11318



($m)Last Price

AccruedInterest

CapitalPrice

RunningYield

TradingMargin

Yield toMaturity


Reset /Maturity

Date

Years toReset /

Maturity

CouponMargin

Step-upMargin

CurrentRate (%)

PaymentFrequency

CashAmount

Ex-dateNext

CouponPayment

TradedVolume

CVC Notes AU0000015638 CVCG 60.0 $95.50 $0.81 $94.69 4.93% +5.67% 6.27% - 0.60% 22 Jun 23 3.3 +3.75% - 4.67% Q $1.17 20 Mar 20 31 Mar 20 205

Convertible Preference Share

Fixed

URF Convertible Step-Up Preference Units AU0000URFPA0 URFPA 199.1 $60.60 $1.08 $59.52 10.50% +27.26% 27.84% - 0.58% 1 Jan 23 2.8 - 2.50% 6.25% S $3.13 18 Jun 20 30 Jun 20 3,991

Floating

Bendigo Convertible Preference Shares 2 AU0000BENPE4 BENPE 292.1 $100.63 $1.06 $99.57 2.91% +3.87% 4.47% 100.0% 0.60% 30 Nov 20 0.7 +3.20% - 4.14% S $1.45 19 May 20 1 Jun 20 6,002

Bendigo Convertible Preference Shares 3 AU0000BENPF1 BENPF 288.2 $102.43 $1.05 $101.38 3.38% +2.95% 3.52% 100.0% 0.58% 15 Jun 21 1.3 +4.00% - 4.90% S $1.71 1 Jun 20 15 Jun 20 2,144

Bendigo Converting Preference Shares 4 AU0000BENPG9 BENPG 321.6 $100.00 -$0.13 $100.13 3.25% +3.72% 4.37% 100.0% 0.65% 13 Jun 24 4.3 +3.75% - 4.65% Q $0.81 28 Feb 20 13 Mar 20 2,764

NAB Convertible Preference Shares 2 AU0000NABPB8 NABPB 1,717.2 $100.43 -$0.16 $100.59 2.89% +2.51% 3.11% 100.0% 0.60% 17 Dec 20 0.8 +3.25% - 4.15% Q $0.72 28 Feb 20 17 Mar 20 31,412

Suncorp Convertible Preference Shares III AU0000SUNPE4 SUNPE 400.0 $99.23 -$0.17 $99.40 3.03% +5.60% 6.20% 100.0% 0.60% 17 Jun 20 0.3 +3.40% - 4.30% Q $0.75 2 Mar 20 17 Mar 20 1,776

Corporate Bonds

Fixed

AGL 5.00% 2021 (XTB) AU000YTMAGL5 YTMAGL 600.0 $108.11 $1.64 $106.47 4.70% +0.52% 1.09% - 0.57% 5 Nov 21 1.7 - - 5.00% S $2.50 16 Apr 20 5 May 20 433

ANZ 3.25% 2020 (XTB) AU000YTMANZ1 YTMANZ 600.0 $101.51 $0.81 $100.70 3.23% -0.12% 0.47% - 0.59% 3 Jun 20 0.3 - - 3.25% S $1.63 15 May 20 3 Jun 20 -

APA Group 7.75% 2020 (XTB) AU000YTMAPA9 YTMAPA 300.0 $103.56 $0.87 $102.68 7.55% +0.19% 0.80% - 0.61% 22 Jul 20 0.4 - - 7.75% S $3.88 3 Jul 20 22 Jul 20 -

Aurizon 5.75% Oct 2020 (XTB) AU000YTMAZJ9 YTMAZJ 525.0 $104.85 $2.00 $102.86 5.59% +0.73% 1.34% - 0.61% 28 Oct 20 0.7 - - 5.75% S $2.88 14 Apr 20 28 Apr 20 900

Ausnet 5.75% 2022 (XTB) AU000YTMAST3 YTMAST 305.0 $112.75 $1.04 $111.71 5.15% +0.09% 0.66% - 0.57% 28 Jun 22 2.3 - - 5.75% S $2.88 9 Jun 20 28 Jun 20 5

BHP 3.00% 2020 (XTB) AU000YTMBH13 YTMBH1 1,000.0 $101.46 $1.28 $100.18 2.99% +0.02% 0.60% - 0.58% 30 Mar 20 0.1 - - 3.00% S $1.50 11 Mar 20 30 Mar 20 -

Centuria 7.00% 2021 AU3CB0243749 - 85.0 $103.89 $2.54 $101.34 6.91% +5.16% 5.75% - 0.59% 21 Apr 21 1.1 - - 7.00% S $3.50 14 Apr 20 21 Apr 20 -

Centuria Notes II 6.50% 2023 AU3CB0257830 - 45.0 $105.98 $2.36 $103.62 6.27% +4.60% 5.23% - 0.63% 21 Apr 23 3.1 - - 6.50% S $3.25 14 Apr 20 21 Apr 20 -

Civmec Secured Notes AU3CB0258937 - 60.0 $105.63 $1.79 $103.85 6.74% +4.84% 5.47% - 0.62% 30 Nov 22 2.7 - - 7.00% S $3.50 23 May 20 30 May 20 -

Dexus 4.75% Nov 2025 (XTB) AU000YTMDX11 YTMDX1 185.0 $119.66 $1.55 $118.11 4.02% +0.69% 1.42% - 0.72% 5 Nov 25 5.7 - - 4.75% S $2.38 21 Apr 20 5 May 20 101

Downer 4.50% 2022 (XTB) AU000YTMDO12 YTMDO1 250.0 $105.93 -$0.10 $106.02 4.24% +0.90% 1.47% - 0.56% 11 Mar 22 2.0 - - 4.50% S $2.25 2 Mar 20 11 Mar 20 3,202

Lend Lease 6.00% May 2020 (XTB) AU000YTMLL15 YTMLL1 225.0 $102.70 $1.83 $100.87 5.95% +0.91% 1.50% - 0.60% 13 May 20 0.2 - - 6.00% S $3.00 29 Apr 20 13 May 20 573

Macquarie Bank 3.25% 2020 (XTB) AU000YTMMQG9 YTMMQG 478.6 $101.47 $0.99 $100.47 3.23% -0.09% 0.81% - 0.90% 3 Mar 20 0.2 - - 3.25% S $1.63 13 Feb 20 3 Mar 20 -

Mercantile Notes AU0000MVTHA7 MVTHA 22.3 $103.00 $1.36 $101.64 7.87% +6.09% 6.68% - 0.59% 10 Jul 21 1.4 - - 8.00% S $4.00 9 Jun 20 30 Jun 20 50

Mirvac 5.75% Sep 2020 (XTB) AU000YTMMGR7 YTMMGR 200.0 $105.17 $2.64 $102.53 5.61% +0.44% 1.05% - 0.62% 18 Sep 20 0.5 - - 5.75% S $2.88 9 Mar 20 18 Mar 20 -

NAB 4.00% 2021 (XTB) AU000YTMNA16 YTMNA1 300.0 $106.97 $0.85 $106.11 3.77% -0.01% 0.56% - 0.57% 16 Dec 21 1.8 - - 4.00% S $2.00 28 May 20 16 Jun 20 -

Peet Bonds AU0000PPCHA8 PPCHA 100.0 $104.50 $1.58 $102.92 7.29% +3.11% 3.70% - 0.59% 7 Jun 21 1.3 - - 7.50% S $3.75 4 Jun 20 16 Jun 20 165

Qantas 6.50% 2020 (XTB) AU000YTMQF18 YTMQF1 250.0 $103.10 $2.27 $100.82 6.45% +0.40% 1.00% - 0.60% 27 Apr 20 0.2 - - 6.50% S $3.25 14 Apr 20 30 Apr 20 -

Qantas 7.50% 2021 (XTB) AU000YTMQF26 YTMQF2 400.0 $109.69 $1.70 $107.98 6.95% +0.59% 1.16% - 0.58% 11 Jun 21 1.3 - - 7.50% S $3.75 23 May 20 11 Jun 20 714

Qantas 7.75% 2022 (XTB) AU000YTMQF34 YTMQF3 300.0 $116.07 $2.24 $113.83 6.81% +0.81% 1.38% - 0.57% 19 May 22 2.2 - - 7.75% S $3.88 30 Apr 20 19 May 20 1,234

Stockland 8.25% Nov 2020 (XTB) AU000YTMSG15 YTMSG1 160.0 $107.71 $2.24 $105.47 7.82% +0.10% 0.71% - 0.60% 25 Nov 20 0.7 - - 8.25% S $4.13 11 May 20 25 May 20 180

Telstra 7.75% Jul 2020 (XTB) AU000YTMTLS0 YTMTLS 500.0 $103.72 $1.02 $102.70 7.55% -0.20% 0.41% - 0.61% 15 Jul 20 0.4 - - 7.75% S $3.88 1 Jul 20 15 Jul 20 -

Telstra 4.00% Sep 2022 (XTB) AU000YTMTL17 YTMTL1 500.0 $109.98 $1.86 $108.12 3.70% +0.19% 0.76% - 0.57% 16 Sep 22 2.5 - - 4.00% S $2.00 5 Mar 20 16 Mar 20 -

Transurban 4.75% Dec 2021 (XTB) AU000YTMTCL4 YTMTCL 250.0 $107.28 $1.12 $106.16 4.47% +0.64% 1.21% - 0.57% 8 Dec 21 1.8 - - 4.75% S $2.38 25 May 20 8 Jun 20 -

Wesfarmers 4.75% Mar 2020 (XTB) AU000YTMWE11 YTMWE1 350.0 $102.38 $2.25 $100.13 4.74% -0.70% 0.00% - 0.70% 12 Mar 20 0.0 - - 4.75% S $2.38 3 Mar 20 12 Mar 20 -

Westpac 3.50% Jul 2020 (XTB) AU000YTMWB14 YTMWB1 200.0 $101.54 $0.34 $101.20 3.46% -0.08% 0.53% - 0.61% 28 Jul 20 0.4 - - 3.50% S $1.75 9 Jul 20 28 Jul 20 -

Floating

ANZ FRN 0.82% 2020 (XTB) AU000YTMF077 YTMF07 3,000.0 $100.29 $0.21 $100.08 1.69% +0.47% 1.07% - 0.60% 17 Apr 20 0.1 +0.82% - 1.69% Q $0.42 29 Mar 20 17 Apr 20 -

Australian Unity Bonds AU0000AYUHB2 AYUHB 250.0 $101.00 $0.50 $100.51 3.67% +2.02% 2.62% - 0.60% 15 Dec 20 0.8 +2.80% - 3.69% Q $0.92 3 Apr 20 14 Apr 20 1,177

Australian Unity Bonds Series C AU0000059917 AYUHC 115.0 $101.55 $0.39 $101.16 2.86% +1.74% 2.41% - 0.67% 15 Dec 24 4.8 +2.00% - 2.89% Q $0.72 3 Apr 20 14 Apr 20 144

Australian Unity Bonds Series D AU0000059933 AYUHD 207.0 $100.90 $0.41 $100.49 3.03% +2.07% 2.86% - 0.79% 15 Dec 26 6.8 +2.15% - 3.04% Q $0.76 3 Apr 20 14 Apr 20 500

Axsesstoday Bonds AU0000017717 AXLHA 55.0 $101.08 $1.08 $100.00 6.89% +4.91% 7.32% - 2.41% 20 Jul 23 4.9 +4.90% - 7.31% Q $0.00 22 Mar 20 31 Mar 20 5,689

Centuria FRN 4.50% 2021 AU3FN0035457 - 40.0 $101.72 $0.60 $101.12 5.29% +3.52% 4.11% - 0.59% 21 Apr 21 1.1 +4.50% - 5.35% Q $1.33 14 Apr 20 21 Apr 20 -

Centuria Notes II FRN 4.25% 2023 AU3FN0045068 - 35.0 $101.42 $0.57 $100.85 5.06% +3.97% 4.60% - 0.63% 21 Apr 23 3.1 +4.25% - 5.10% Q $1.27 14 Apr 20 21 Apr 20 -

IMF Bentham Bonds AU0000IMFHA3 IMFHA 76.0 $100.35 $0.89 $99.47 5.15% +4.52% 5.09% - 0.57% 8 Jan 22 1.9 +4.20% - 5.13% Q $1.28 30 Mar 20 8 Apr 20 648

Macquarie Bank FRN 1.10% 2020 (XTB) AU000YTMF093 YTMF09 969.2 $100.27 $0.11 $100.16 1.98% +0.26% 1.15% - 0.90% 3 Mar 20 0.2 +1.10% - 1.99% Q $0.50 13 Feb 20 3 Mar 20 -



($m)Last Price

AccruedInterest

CapitalPrice

RunningYield

TradingMargin

Yield toMaturity


Reset /Maturity

Date

Years toReset /

Maturity

CouponMargin

Step-upMargin

CurrentRate (%)

PaymentFrequency

CashAmount

Ex-dateNext

CouponPayment

TradedVolume

NAB FRN 0.80% 2020 (XTB) AU000YTMF101 YTMF10 1,900.0 $100.18 $0.00 $100.18 1.39% +0.08% 0.68% - 0.59% 3 Jun 20 0.3 +0.80% - 1.39% Q $0.35 15 May 20 3 Jun 20 -

Peet Bonds 2 AU0000PPCHB6 PPCHB 50.0 $104.50 $0.87 $103.63 5.37% +3.18% 3.76% - 0.57% 5 Oct 22 2.6 +4.65% - 5.57% Q $1.39 26 Mar 20 6 Apr 20 45

Westpac FRN 0.90% Jul 2020 (XTB) AU000YTMF119 YTMF11 2,700.0 $100.52 $0.17 $100.35 1.78% +0.14% 0.75% - 0.61% 28 Jul 20 0.4 +0.90% - 1.78% Q $0.44 9 Apr 20 28 Apr 20 127

Exchange Traded Fund

Listed Investment Trust

Preference Shares

Floating

Nufarm Subordinated Step-Up Securities (NSS) NZFCND0004S9 NFNG 251.0 $88.99 $1.86 $87.13 5.57% +4.65% 5.82% - 1.17% - - +3.90% - 4.85% S $2.43 6 Apr 20 15 Apr 20 9,360

Ramsay CARES AU0000RHCPA4 RHCPA 260.0 $106.55 $2.15 $104.40 3.92% +4.60% 5.77% 100.0% 1.17% - - +4.85% - 5.85% S $2.04 31 Mar 20 20 Apr 20 2,652

Stapled Security

Floating

Macquarie Income Securities AU0000MBLHB4 MBLHB 400.0 $99.74 $0.34 $99.40 2.61% +7.11% 7.71% - 0.60% 15 Apr 20 0.1 +1.70% - 2.59% Q $0.65 26 Mar 20 15 Apr 20 11,313

National Income Securities AU0000NABHA7 NABHA 2,000.0 $94.00 $0.09 $93.91 2.30% +1.41% 2.58% - 1.17% - - +1.25% - 2.16% Q $0.53 29 Apr 20 15 May 20 14,052

Structured Note

Fixed

URF Notes II AU0000URFHB5 URFHB 90.5 $25.25 $0.31 $24.94 31.07% +9.56% 10.34% - 0.79% 31 Mar 20 0.1 - - 7.75% Q $0.48 22 Mar 20 31 Mar 20 325

URF Notes III AU0000URFHC3 URFHC 175.0 $99.50 $1.32 $98.19 7.89% +8.39% 8.99% - 0.60% 24 Dec 21 1.8 - - 7.75% Q $1.93 20 Mar 20 31 Mar 20 517

Westpac NZD Subordinated Notes NZWBCD0010L1 - 400.0 $103.44 $0.03 $103.42 4.54% +1.79% 2.36% - 0.57% 1 Sep 21 1.5 - - 4.70% Q $1.17 24 May 20 1 Jun 20 -

Floating

Crown Subordinated Notes II AU0000CWNHB7 CWNHB 630.0 $100.50 $1.05 $99.45 4.92% +4.45% 5.02% - 0.57% 23 Jul 21 1.4 +4.00% - 4.90% Q $1.22 5 Mar 20 16 Mar 20 13,567

NAB Subordinated Notes 2 AU0000NABPE2 NABPE 943.2 $101.40 $0.63 $100.77 3.09% +1.98% 2.59% - 0.61% 20 Sep 23 3.6 +2.20% - 3.11% Q $0.78 11 Mar 20 20 Mar 20 3,611

Qube Subordinated Notes AU0000QUBHA8 QUBHA 305.0 $106.30 $0.75 $105.55 4.56% +2.28% 2.89% - 0.61% 5 Oct 23 3.6 +3.90% - 4.82% Q $1.20 26 Mar 20 6 Apr 20 2,880

Treasury Bonds

Fixed

Treasury Bond 4.50% Apr 2020 AU3TB0000036 GSBG20 20,397.0 $102.17 $1.72 $100.45 4.48% +0.06% 0.66% - 0.60% 15 Apr 20 0.1 - - 4.50% S $2.25 8 Apr 20 15 Apr 20 -

Treasury Bond 1.75% Nov 2020 AU000XCLWAN8 GSBU20 14,300.0 $101.42 $0.50 $100.93 1.73% -0.15% 0.45% - 0.60% 21 Nov 20 0.7 - - 1.75% S $0.88 14 May 20 21 May 20 -

Treasury Bond 5.75% May 2021 AU0000XCLWM5 GSBI21 21,599.0 $108.00 $1.72 $106.27 5.41% -0.08% 0.50% - 0.58% 15 May 21 1.2 - - 5.75% S $2.88 8 May 20 15 May 20 -

Treasury Bond 2.00% Dec 2021 AU000XCLWAT5 GSBW21 9,300.0 $103.13 $0.40 $102.74 1.95% -0.09% 0.47% - 0.57% 21 Dec 21 1.8 - - 2.00% S $1.00 14 Jun 20 21 Jun 20 -

Treasury Bond 5.75% Jul 2022 AU3TB0000051 GSBM22 17,500.0 $113.19 $0.76 $112.43 5.11% -0.10% 0.47% - 0.57% 15 Jul 22 2.4 - - 5.75% S $2.88 8 Jul 20 15 Jul 20 -

Treasury Bond 2.25% Nov 2022 AU000XCLWAW9 GSBU22 7,000.0 $105.49 $0.64 $104.85 2.15% -0.13% 0.45% - 0.58% 21 Nov 22 2.7 - - 2.25% S $1.13 14 May 20 21 May 20 -

Treasury Bond 5.50% Apr 2023 AU3TB0000101 GSBG23 21,300.0 $117.66 $2.01 $115.65 4.76% -0.12% 0.46% - 0.59% 21 Apr 23 3.1 - - 5.50% S $2.75 14 Apr 20 21 Apr 20 -



Treasury Bond 4.25% Apr 2026 AU000XCLWAI8 GSBG26 13,500.0 $123.50 $1.56 $121.95 3.49% -0.15% 0.60% - 0.75% 21 Apr 26 6.1 - - 4.25% S $2.13 14 Apr 20 21 Apr 20 -


Treasury Bond 2.75% Nov 2027 AU000XCLWAQ1 GSBU27 8,500.0 $116.13 $0.78 $115.35 2.38% -0.14% 0.70% - 0.84% 21 Nov 27 7.7 - - 2.75% S $1.38 14 May 20 21 May 20 -

Treasury Bond 2.25% May 2028 AU000XCLWAR9 GSBI28 7,000.0 $112.73 $0.64 $112.09 2.01% -0.14% 0.73% - 0.87% 21 May 28 8.2 - - 2.25% S $1.13 14 May 20 21 May 20 -

Treasury Bond 2.75% Nov 2028 AU000XCLWAU3 GSBU28 1,240.0 $117.60 $0.78 $116.82 2.35% -0.14% 0.75% - 0.90% 21 Nov 28 8.7 - - 2.75% S $1.38 14 May 20 21 May 20 -


Treasury Bond 2.75% Nov 2029 AU000XCLWAX7 GSBU29 18,100.0 $119.16 $0.78 $118.38 2.32% -0.17% 0.78% - 0.95% 21 Nov 29 9.7 - - 2.75% S $1.38 14 May 20 21 May 20 -

Treasury Bond 2.50% May 2030 AU0000013740 GSBI30 125.0 $117.42 $0.71 $116.72 2.14% -0.18% 0.79% - 0.98% 21 May 30 10.2 - - 2.50% S $1.25 14 May 20 21 May 20 -

Treasury Bond 1.50% Jun 2031 AU0000047003 GSBK31 3,000.0 $107.52 $0.30 $107.22 1.40% -0.19% 0.83% - 1.02% 21 Jun 31 11.3 - - 1.50% S $0.75 14 Jun 20 21 Jun 20 -

Treasury Bond 4.50% Apr 2033 AU000XCLWAG2 GSBG33 9,100.0 $146.39 $1.65 $144.74 3.11% -0.21% 0.88% - 1.10% 21 Apr 33 13.1 - - 4.50% S $2.25 14 Apr 20 21 Apr 20 -

Treasury Bond 2.75% June 2035 AU000XCLWAM0 GSBK35 7,350.0 $125.01 $0.55 $124.47 2.21% -0.15% 1.02% - 1.17% 21 Jun 35 15.3 - - 2.75% S $1.38 14 Jun 20 21 Jun 20 -


Treasury Bond 3.25% Jun 2039 AU000XCLWAP3 GSBK39 8,400.0 $135.27 $0.65 $134.63 2.41% +0.06% 1.23% - 1.17% 21 Jun 39 19.3 - - 3.25% S $1.63 14 Jun 20 21 Jun 20 -



($m)Last Price

AccruedInterest

CapitalPrice

RunningYield

TradingMargin

Yield toMaturity


Reset /Maturity

Date

Years toReset /

Maturity

CouponMargin

Step-upMargin

CurrentRate (%)

PaymentFrequency

CashAmount

Ex-dateNext

CouponPayment

TradedVolume

Treasury Bond 2.75% May 2041 AU0000018442 GSBI41 3,600.0 $127.26 $0.78 $126.49 2.17% +0.14% 1.32% - 1.17% 21 May 41 21.2 - - 2.75% S $1.38 14 May 20 21 May 20 -

Treasury Bond 3.00% Mar 2047 AU000XCLWAS7 GSBE47 7,600.0 $136.86 $1.35 $135.51 2.21% +0.24% 1.42% - 1.17% 21 Mar 47 27.1 - - 3.00% S $1.50 14 Mar 20 21 Mar 20 -

Treasury Index Bonds

Capital Indexed

Treasury Indexed Bond 4.00% Aug 2020 AU0000XCLWE2 GSIO20 3,040.2 -$179.01 - -$179.01 - - - - - - - - - 4.00% Q $1.73 13 May 19 20 May 19 -

Treasury Indexed Bond 1.25% Feb 2022 AU000XCLWAB3 GSIC22 6,290.0 -$119.95 - -$119.95 - - - - - - - - - 1.25% Q $0.36 14 May 19 21 May 19 -

Treasury Indexed Bond 3.00% Sep 2025 AU0000XCLWP8 GSIQ25 7,300.2 -$149.16 - -$149.16 - - - - - - - - - 3.00% Q $0.92 13 Jun 19 20 Jun 19 -

Treasury Indexed Bond 0.75% Nov 2027 AU000XCLWAV1 GSIU27 4,450.0 -$114.33 - -$114.33 - - - - - - - - - - Q - - - -

Treasury Indexed Bond 2.50% Sep 2030 AU0000XCLWV6 GSIQ30 4,650.0 -$159.30 - -$159.30 - - - - - - - - - 2.50% Q $0.75 13 Jun 19 20 Jun 19 -

Treasury Indexed Bond 2.00% Aug 2035 AU000XCLWAF4 GSIO35 3,950.0 -$151.72 - -$151.72 - - - - - - - - - 2.00% Q $0.56 14 May 19 21 May 19 -

Treasury Indexed Bond 1.25% Aug 2040 AU000XCLWAO6 GSIO40 1,550.0 -$137.39 - -$137.39 - - - - - - - - - 0.13% Q $0.03 14 May 19 21 May 19 -

Treasury Indexed Bond 1.00% Feb 2050 AU0000024044 GSIC50 3,750.0 -$132.47 - -$132.47 - - - - - - - - - - Q - - - -

Definitions

1 Last Price This is the physical price at which a security is last traded. It is a function of Capital Price plus Accrued Interest. Also known as dirty price.

2 Accrued Interest The amount of interest that has been accumulated from the last coupon payment date to the settlement date when the bond is traded.

3 Capital Price This is the price of a security excluding any interest that has accrued since issue or the most recent interest payment. Also known as clean price.

4 Running Yield The running yield is annual income from a security divided by capital price. Unless the capital price is equal to the last price, it will be different to the yield to maturity.

5 Trading Margin The trading margin is the margin over the appropriate benchmark (usually the swap curve). It represents the credit risk premium of a security and is also known as the credit spread.

6 Yield to Maturity This is the absolute yield an investor will receive if they buy the security today at the last price, assuming that the bond will be held until maturity.

7 Calculation Method Calculations are based upon Australian market standard formulae (RBA method for fixed rate securities & AFMA method for floating rate securities).

8 Par Value All calculations are based upon a security par value of $100.

Important Information

E.L. & C. Baillieu Limited as the issuer of this research report has a different rating/research opinion on Australian listed equity securities.

This document has been prepared by:Bond Adviser Pty LimitedABN 31 164 148 467Australian Financial Services Licence No. 456783

This document is issued by:E.L. & C. Baillieu LimitedABN 74 006 519 393Australian Financial Service Licence No. 245421Participant of ASX GroupParticipant of NSX Ltd

Disclosure of potential interest and disclaimer:

Bond Adviser Pty Limited (BondAdviser) is authorised to provide general financial product advice under its Australian Financial Services Licence.

This report was created by BondAdviser and was not commissioned or funded by a third party service provider or product issuer. The research within it was conducted approximately 5 days before its date of creation. Bond Adviser does not guarantee the currency of theresearch. If you would like to assess the currency, you should compare the contents of this report with more recent characteristics and performance of the assets mentioned within it. Some of the research in this report is based on past performance. Past performanceshould not be taken as an indication or guarantee of future performance, and no representation or warranty, express or implied, is made regarding future performance. Information, opinions and estimates contained in this report reflect a judgment at its original date ofpublication and are subject to change without notice. The price, value of and income from any of the securities or financial instruments mentioned in this report can fall as well as rise. The value of securities and financial instruments is subject to exchange rate fluctuationthat may have a positive or adverse effect on the price or income of such securities or financial instruments.

E.L. & C. Baillieu Limited (EL&C Baillieu) and/or its associates may receive commissions, calculated at normal client rates, from transactions involving securities of the companies mentioned herein and may hold interests in securities of the companies mentioned hereinfrom time to time.

Your adviser will earn a commission of up to 55% of any brokerage resulting from any transactions you may undertake as a result of this advice.

Investment can give rise to substantial risk and a product mentioned in this report may not be suitable to you. BondAdviser has taken all reasonable steps to ensure that any opinion or recommendation in this report is based on reasonable grounds, and is not influencedby any interests of Bond Adviser staff or other persons. The content of this report is of a general nature only, and does not amount to personal advice to a retail client. It does not take into account the objectives, financial situation or individual needs of any individual.

When EL&C Baillieu provides advice to you, it is based on the information you have provided about your personal circumstances, financial objectives and needs. If you wish to rely on this report or any advice given to you, it is important that you inform EL&C Baillieu of anychanges to your personal investment needs, objectives and financial circumstances. If you do not provide updated information on your circumstances, any advice may be based on inaccurate information, and you will need to consider whether the advice is suitable to you.Please do not hesitate to contact EL&C Baillieu offices if you need to update your information held with us. Please be assured that EL&C Baillieu keeps your information strictly confidential.

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