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Fixed Income: Weekly Strategy 8 April 2013
Adam Donaldson Head of Debt Research T. +612 9118 1095 E. [email protected] Philip Brown Quantitative Strategist T. +613 9675 7522 E. [email protected] Alex Stanley Interest Rate Strategist T. +612 9118 1125 E. [email protected] Tariq Chotani Credit Research Analyst T. +612 9280 8058 E. [email protected] Tally Dewan Credit Research Analyst T. +612 9118 1105 E. [email protected]
Important Disclosures and analyst certifications regarding subject companies are in the Disclosure and Disclaimer Appendix of this document and atwww.research.commbank.com.au. This report is published, approved and distributed by Commonwealth Bank of Australia ABN 48 123 123 124 AFSL 234945.
Holding fire as BoJ impact washes through
Bond yields are under downward pressure as Korea threatens, data disappoints and the BoJ steps up.
We judge the market as overbought on fundamental grounds, but at risk of a further rally on flighty risk and technical considerations, so avoid stepping up to the plate. We exited long-end swap and bills/libor trades on the BoJ move.
We do enter a long Dec against short June bills position, as the front end has scope to catch up.
Credit remains relatively well supported due to QE support. We bought the IFC Jun-14s above cash.
Bonds have performed very well this week and yields are now sitting near their lows for the year. EU risks have given way to broader growth concerns and a realisation that central banks will continue to pump liquidity into markets.
The BoJ shook markets last week with a much larger than expected QE program, taking JGBs and the JPY to new lows. That propelled AUD/JPY over 100, putting steepening pressure on the back end of the AUD swap curve, EFP spreads and the bills/libor basis. We took profit on our 10/30Y flattener on Friday and exited our received 6Y*1Y bills/libor trade on Thursday. However, we hold our 2-4Y swap spread flattener, which we judge to be safer than back-end EFP spreads.
The broader impact of the BoJ’s announcement on bonds is hard to disentangle from weak US and European data (and tension in Korea). The March PMI and ISM reports disappointed, while US payrolls were particularly weak – raising concerns another ‘spring slowdown’ is emerging. Confirmation that QE is here for a while yet supported the bond rally, and leaves equities and credit only slightly weaker.
That’s not enough to force any change in economic view; we still see the US recovery as solid and look for yields to gradually lift this year as investors move more decisively into risk assets. But this isn’t shaping as one of those weeks and we are cautious that weak economic data and Korea might yet have a larger impact on credit and swap spreads. At the same time, we’re wary that Japanese buying (or expectation of) could drive US bond yields even lower in the short term.
Australia’s yield advantage has helped Aus 10yrs out-perform the strong US rally. A continuation of the risk-off tone in markets could take the AUS-US 10Y spread to 140bp. To trade even tighter, the front end would need to price in further RBA easing.
Reluctance to price more than one 25bp cut has markedly flattened the curve (both front and back end). That barrier should fall on further bond rallies if economic data doesn’t continue to beat improving expectations. We implement a short June, long Dec bills position to capture this risk, assuming Thursday’s jobs data is more believable than last month.
Wider swap spreads are a problem for SSA and semi-governments versus bond and they have underperformed as a result. But this is bigger further out the curve. The short-end has held up well given levels to cash. We bought the IFC Jun-14s on this basis last week.
Central bank assets & projections (% of GDP)*
Source: CBA, Bloomberg, Central Banks *Projections estimated based on central bank statements. QE programs are assumed to be in full
Key Strategy Views
Tactical (<2 mth)
Strategic (>6 mths)
Policy rate* 3.0% 2.75%
3yr bond 2.9% 2.9%
10yr bond 3.4% 3.5%
10yr BEI 270 280
3/10 curve 50bp 60bp
10yr v US 150bp 130bp
3yr EFP 30bp 20bp
10yr EFP 60bp 40bp
iTraxx 115 105
*Note: Strategy Team views. CBA Economics looks for cash rate to remain steady at 3.0-% indefinitely
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Global Markets Research
Fixed Income: Weekly Strategy
2
Key Trades
Bonds
Trade Entry Current Profit Target Stop Comment Buy the ACGB Aug-15i vs the Oct-15 Receive ZCS at 2.65%.
250bp (30-Mar-12)
Hold: The trade is now (close to) an 8bp per annum annuity.
Buy the QTC Feb-20 to the NSWTC Mar-19
36bp (13-Nov-12)
34bp 2bp+2bp carry = 4bp
10bp 50bp Hold: S&P should keep Qld at AA+/Stable, but NSW AAA/neg to remain under pressure
Buy the Jan-18 ACGB vs the Feb-17 12bp (21-Nov-12)
11bp 1bp+1bp carry = 2bp
0bp 20bp Hold: There is a clear kink in the curve and a promising carry profile.
Buy the NSWTC Feb-17 against the NSWTC May-20
48bp (12-Feb-13)
44bp -4bp 60bp 42bp Hold: This looks attractive on an RV basis, generally flattening is hurting
Buy the QTC Apr-16 against the ACGB Jun-16
54.5bp (4-Mar-13)
57.5bp -3bp +1.5bp carry = -1.5bp
30bp 65bp Hold: QTC Apr-16 looks cheap and the carry is attractive
Buy the TCV Nov-16 against NSWTC Apr-15
31.5bp (6-Mar-13)
23bp +8.5bp 15bp 37bp Hold: TCV cheap in 2016 section, while NSWTC is dear.
2013 to date +12bps (including +3bp from closed trades)
Swap
Trade Entry Current Profit Target Stop Comment
Receive 30Y against pay 10Y swap 64bp (23-Jan-13)
47bp +17bp (5-Apr-13(
30bp 70bp Profit Taken: JPY weakness has driven the curve too steep; we look for a pull-back.
Short Feb-17, long Oct-14 ACGB on an ASW basis.
-29bp (30-Jan-13)
-26bp +3bp -10bp -35bp Hold: The swap-bond spreads curve is too steep.
Short June/long Dec bill futures +5bp +25bp -5bp New Trade: front end has scope to catch up in rally if local data disappoints.
Buy a 6M*5Y payer swaption at 3.85% (8bp premium)
3.85% strike (22-Oct-12)
3.47% Hold: An insurance trade. Tight spreads and low vol make options cheap.
Receive the 6Y*1Y Bills/LIBOR Spread
47bp (3-Dec-12)
45bp +2bp (4-Apr-13)
30bp 55bp Profit Taken: Bills/LIBOR curve is very steep, making forwards attractive to receive
5Y/20Y ZCS flattener (receive inflation at 5Y point)
32.5bp (22-Mar-13)
32.5bp 0bp 10bp 42bp Hold: 5Y/20Y slope is too steep given overall CPI outlook.
2013 to date 112bps (including +109bp from closed trades)
Credit
Trade Entry Current Profit Target Stop Comment
Buy WOWAU 4% Sep-20 (U$) on ASW basis
138.0 (23-Jan-13)
116.5 + 21.5 100bps 157bps Hold: WOWAU long-end is trading steep relative other comparable corporates
Buy WSTP 3.625% Feb-23 (U$) on ASW basis
190.0 (7-Jan-13)
181.3 + 8.7 160bps 205bps Hold: The callable subordinated offer significant yield pick relative to Sn Unsec
Buy WESAU 6.25% Mar-19 vs WOWAU 6.% Mar-19 on ASW basis
30.0 (30-Aug-12)
17.8 + 12.2 10bp 25bp Hold: Coles should continue to outperform Woolworths. Stop tightened.
Buy RIO 3.75% Sep-21 (U$) vs BHP 3.5% Nov-21 (U$) on ASW basis
43.0 (13-Feb-13)
45.6 - 2.6 20bp 55bp Hold: RIO US$ long-end is steep relative
BHP U$ curve
Buy EIB 6.00% Aug-20 (A$) vs EIB 6.25% Apr-15 (A$) on ASW basis
45.0 (15-Mar-13)
53.4 - 8.4 25bp 60bp Hold: Initiated curve flattener
Buy IFC 5.75% Jun-14 (A$) on ASW 12.0 (4-Apr-13)
9.5 + 2.5 5bp 15.0 Buy: ‘Washington’ names have under-performed slightly & are attractive over 3%.
2013 to date +72.2bps
Global Markets Research
Fixed Income: Weekly Strategy
3
Short term interest rates
CBA’s Economics team continue to look for the cash rate to remain on hold at 3.0% indefinitely. They forecast GDP to be around trend at 3.2% in 2013, with inflation rising to the top of the 2-3% band.
The Strategy team see distinct downside risks, as domestic demand fails to meaningfully fill a gap left by the pending peak in the capex cycle. Fiscal tightening, deleveraging, the high AUD and tight financial conditions all point to further easing. However, recent strength in housing, generally improving global sentiment and the RBA’s rhetoric all suggest rates are on hold for 3-6 months.
RBA pricing has been quite steady, considering the magnitude of the rally further out the curve in recent weeks. While there are fewer recent domestic catalysts for the market to price in further rate cuts, we sense that confidence in the year-ahead outlook could wane with global pressure and weaker data. We’ve entered a long Dec against June bills position this week. A risk to this view is further positive RBA rhetoric and stronger data flow.
Spot and forward BBSW-OIS spreads have been under some widening pressure recently. But spreads have tightened again today and spot bill/OIS is back near 10bp. Limited issuance and ample liquidity suggest spreads should remain tighter than the norm of recent years (despite intra-month seasonal volatility).
Commonwealth bond curve
The recent rally has been unusually dependent on offshore markets (the front end of the curve is only pricing one rate cut) and so the longer end of the curve has dominated and generally flattened slopes. After pausing around 52bp, the 3Y/10Y futures curve has pushed lower on the back of rallies in the US (payrolls) and Japan (BoJ QE).
In the short-term the slope is difficult to predict because it has recently broken through technical boundaries and is susceptible to surprises in either direction from the coming labour force data.
Looking beyond short term issues, global reflationary pressures, particularly the US recovery and QE support to risk appetite, are likely to exert up-side pressure on yields. We forecast US 10yrs to reach 2.5% in 2H-13, feeding through to other sovereigns including Australia.
At the front end, our preferred 1Y swap versus 3Y bond trade has been stopped out. We still expect 1/3Y curve to steepen, as risk premiums in the 3Y yield are unwound. But in the short term, event risk guards against re-entering just yet.
Commonwealth bond spreads
The market has stepped away from a recovery theme in recent weeks as US and European data have surprised negatively and Cyprus hit the news wires.
The higher yield and higher beta of Australian rates have meant that 10Y spreads have actually narrowed against the US despite the US focus of the rally.
We look for AUS-US bond spread compression over time on fundamental grounds, but struggle to see that trade performing while risk appetite is picking up and yields are rising. QE restricts moves in the US but has less direct impact in Australia, leaving adjustment to include a strong AUD over time. Narrowing in the spread is likely to be very slow from here and subject to setbacks.
Source: Bloomberg, CBA
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Global
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Global Markets Research
Fixed Income: Weekly Strategy
5
We think investors will extend along the steep credit curve in 2013 and that the curve will flatten. But it will be gradual given sovereign sustainability questions are unresolved. For semis, the back end has also lagged because of issuance programs, rating pressures, JPY profit-taking and waning balance sheet appetite due to uncertainty around Basel III liquidity. These concerns should slowly fade as fiscal consolidation unfolds, with APRA also flagging a tough approach that may support semi demand from bank liquidity books.
These considerations highlight the 4-7yr part of the semi curve as the most attractive, which is reinforced by our views on swap spreads (as above). RV and core credit views direct us to QTC 2020s against NSWTCs 2019s and to TCV 2016s against NSWTC 2015s. We see NSW as remaining under pressure from S&P, but believe QTC will hold firm at AA+.
SSAs
The front end of the A$ SSA curve continued to grind slightly tighter to swap and we saw some bid interest in the long-end of select European SSAs. The market price action was positive given Cyprus headwinds remained unresolved. Economic and political uncertainty in Europe and the AUD/JPY will continue to remain negative drivers of sentiment. The SSA issuance amount for the year so far is A$6.78b (2012 YTD A$9.85b).
The ‘Washington and Asian’ names flat-lined in 2012 and YTD the long-end of their A$ curve also moved out but outperformed the European names. We find it hard to get excited about the ‘Washington and Asian’ SSAs at current levels. However, wider swap to bond spreads have taken some short bonds above cash, opening up value for short tenors. We bought IFC Jun-14s last week.
Near term sovereign downgrade risk (that could impact repo eligibility) and the ongoing macro and political risks in Europe will be the main driver of sentiment & demand for European SSAs.
Year-to-date buying has been focused on the short end of the curve (2yr & 3yr) causing steepness in the long end (5yr to 7yr). We recently initiated a trade to take advantage of this steepness and implemented an EIB A$ 2020-2015 curve flattener. We continue to believe global appetite for AUD fixed income will remain strong and the current steep SSA curve should start to flatten over the coming months.
Credit Markets
Markets are on the back foot after watching the situation in Cyprus and now Korea evolve over the past week, along with a downturn in US economic data. Investors have switched from risk-on to risk-off mode, wondering what will flare up next. Cash spreads however remain resilient, with A$ banks and corporates paper moving out only 1-3 bp. Considering a (small) country almost went bankrupt, that is a great performance.
Notwithstanding the headwinds, conditions in the A$ MTN market remain stable and conducive to borrowers. However year-to-date primary issuance remains 25% lower than last year’s levels even with credit spreads about 85bp tighter since June 2012. Year to date primary issuance as of 5 April 2013 was A$27.78b
In the short term we remain cautious of the still unresolved situations in Europe – Cyprus, Italy and now Portugal back in the news. But while economic uncertainties remain, quality corporate paper remains in short supply. With ~A$65.5b worth of bonds maturing by June-end we expect cash spreads to remain well supported.
Select SSA A$ Curve
Source: Bloomberg
European SSA A$ 20 minus 15/16 (Spread to ASW)
Source: Bloomberg
Select CDS Indices
Source: Bloomberg
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Global Markets Research
Fixed Income: Weekly Strategy
6
Medium to longer term we remain optimistic and expect credit spreads – cash and CDS – to tighten given the supportive monetary policy globally and the relative health of corporate Australia. Central bank policies (read: the Fed, BoJ, EU and others in the alphabet soup) have successfully encouraged investors to take more risk and we expect them to hold that path at least till early 2014.
CDS Markets
Despite widening 20bp from recent tights the iTraxx Australia index is 41.0% or 83bp tighter than its June 2012 wides. The A-iTraxx is ~3.25bp wider than intrinsic value. Since the start of 2013, the iTraxx Australia has performed very well relative to other major indices. Currently the iTraxx Australia (122bp) trades tighter than the iTraxx Europe (129bp). At the start of the year, Australia was about 10% wider.
Over the long term we are sellers of protection but the events over the last few years have taught us that, when in uncertain times, it is better and more effective to be dynamic and to remain in liquid instruments. We consider ourselves in uncertain times at present.
QBE has been the best performing CDS in Australia over the last 3 months. FY12 results were a credit positive. The Minimum Capital Requirement (MCR) multiple showed an improvement largely driven by the capital raising and the reduced dividend. The risk of more capital bond issues from QBE has abated for now. The group has demonstrated that it is committed to improving the capital coverage and reducing gearing. We expect QBE spreads to tighten over the next 12 months if it continues to stick to its stated plan. But after the recent run, we expect the name to trade sideways until the next set of financial numbers.
We adjust our end-year target for the iTraxx Australia to 105bp but in the short to medium term we expect the index to oscillate between 110bp and 130bp, providing ample trading opportunities.
Financials
Australian banks are, relative to global peers, in a very strong position. Wholesale funding costs pressures have reduced substantially. The banks have continued to strengthen their capital and liquidity positions. Asset quality in the banks’ domestic book continues to remain stable with NPLs at ~1.5% of total loans (well below the 1.9% post-GFC high). Although profitability and returns have remained strong thanks to lower funding costs, lower credit costs and cost controls, the banks face a slight earnings headwind in a slow credit growth environment.
Banks in Australia face a number of regulatory developments in 2013, most notably the introduction of Basel III. Australian banks have largely been unaffected by many of the structural issues that plague banks in the US and Europe. The Australian banks are well placed to meet Basel III minimum capital requirements. As of December 2012 the 4 majors CET1 ratios in the range of 7.7%-8.3% are well ahead of the 1 Jan 2016 milestone of 7%. Recently APRA further clarified that the 4 majors would have to provide extra capital from 1 Jan 2016 for being domestic systemically important banks (D-SIBs). We expect that the D-SIB capital surcharge to be at the lower end of expectations, in the vicinity of 60bp.
The main concern for the Australian banks will be the liquidity ratios under Basel III. While the Basel committee relaxed the Liquidity Coverage Ratio (LCR) implementation schedule globally we do not expect APRA to follow suit. We expect the LCR to be implemented in its entirety in Australia from 1 Jan 2015. We expect final draft LCR rules from APRA very soon.
2013 Maturity Profile (Corp+SSA+Semi+ACGS)
Source: Bloomberg
iTraxx Australia RV performance to Major Indices
Source: Bloomberg
Select 5Yr Aus CDS - 3M Absolute Change
Source: Bloomberg
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Global Markets Research
Fixed Income: Weekly Strategy
7
Given anaemic credit growth we expect Australian banks’ issuance in 2013 to be limited to rolling over existing term wholesale funding. Although borrowing costs have reduced, Australian banks have only issued A$40b of bonds in the last six months. The 4 Majors have been consistently paying down wholesale funds even as credit spreads have tightened. We do not expect this trend to change any time soon unless corporate and household activity improves.
With that back drop we expect demand for 4M term paper to remain strong with domestic and international investors. At current levels we would look at the short end (<2yr) of the 4M A$ curves for a yield pick up over cash rates. Relative to the seniors, we prefer the callable pre-Basel III LT2 bonds as they offer great value.
Non-Financial Corporates
We expect supply of Australian corporate paper to be limited because there are limited capex plans (outside mining). Australian corporates should be opportunistic in tapping domestic markets. Over the last few years Australian corporates have done well to manage and repair their balance sheets (read: A-REITS) which, in turn, allowed many Australian companies to access offshore investors. We expect limited corporate bond supply in the domestic market and for non-financial spreads to be well supported.
While it is tempting to consider higher yielding issuers in a spread tightening environment, and select names have performed well, we prefer to be positioned on an individual credit perspective. In select sectors we continue to expect best-in-class names to continue to outperform even though they trade at already tight spreads.
A-REITs have been the most consistent issuer this year and this is likely to continue as companies move away from bank debt funding to corporate bond funding. We prefer companies with Industrial exposure over Residential exposure due to lower earnings volatility. While the residential sector is showing signs of life as RBA rate cuts work their way through the system, we are not convinced that the sector has turned the corner and we remain underweight for now. In the current tough retail environment we prefer companies with scale advantage. Our preferred list in the A-REITs (in no particular order) is WRT, WDC, GPT, GMG (and GAIF).
Iron Ore is now the most tracked commodity in Australia. With China orchestrating a slowdown and the large swings in Iron Ore prices, we expect earnings volatility to continue for the miners. From a credit perspective we prefer RIO to BHP. RIO’s CY12 result represented a number of positives. With Sam Walsh taking a firm grip on the purse strings, RIO’s focus on reducing spending (lower capex) and costs (U$3.0b cost reduction plan) look credible. While BHP has announced similar plans, expectations from BHP are much higher given the 2 notch rating differential between the two issuers.
We expect select credit names to continue to perform well over the next 6-12 months albeit with some bumps on the way. We remain neutral on Crown Ltd (CWN) considering the spread tightening over the last 12-18 months. We expect the company to deliver stable numbers and while the credit metrics look slightly soft we expect a quick turnaround over the next 6-12 months, The big overhang remains the ever evolving situation with the Sydney casino license and project and we remain vary of this risk.
Woolworths (WOW) and Wesfarmers (WES) credits have performed very well since July 2012 with credit spreads (measured in 5yr U$ CDS) about 40bp tighter. Competition between the two remains fierce and regulatory (ACCC) overhang remains. We however prefer WES over WOW as Coles and Kmart continue to outperform Woolworths and Big W. We are also wary of WOW’s greenfield expansion into the Home Improvement sector which is not without
Select CDS and Bonds
Source: Bloomberg. Bonds – Spread to ASW
Old Style LT2 spread pick-up over Seniors
Source: Bloomberg
Fair Value Corporate Spread to ASW
Source: CBA
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bps NAB 7.25% 18WSTP 6.00% 17ANZ 5y CDSiTraxx Eu Sn FinCDX America Sn Fin
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bps AA Spectrum (5yrs)
AA- Spectrum (5yrs)
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BBB Spectrum (5yrs)
Global Markets Research
Fixed Income: Weekly Strategy
8
risk and could be a major drag. We are however not averse to taking advantage of kinks in the curves and have recommended an outright long on the WOWAU 4% Sept-2020 U$ bond because WOW’s long-end trades much too steep relative to comparable names.
Covered bonds
Covered bond spreads have narrowed by around 100bps since issuance in late 2011. That 4yr paper is currently trading at a 40% premium to senior unsecured notes. This premium has widened over the year and points to a cautious near-term outlook. At current levels we believe that covered bonds are trading at fair value relative to the seniors. Covered bonds are viewed as defensive in nature and therefore in a narrowing market we expect the covered bonds to underperform the seniors and vice-a-versa.
According to Fitch, the five banks issued A$44 billion (equivalent) covered bonds up to Dec 2012 and have around A$102 billion in spare issuance capacity. Thus, while issuance for 2013 may not be at the same level as 2012, there is still sizeable room for the banks to tap the covered bond market. Australian covered bond issuance should again be large at around A$35 billion for 2013. We anticipate other regional bank(s) to join the covered bond market.
According to the RBA’s Financial Stability Review APRA is in the process of finalising the liquidity standards that will ensure banks take all reasonable steps to minimise the CLF’s contribution to their liquidity requirements – for example, by lengthening their funding maturities. The banks will be charged an access fee for the CLF, whether or not it is drawn, and it will be secured against assets that are eligible for the Reserve Bank’s normal market operations.
RMBS/ABS
We expect RMBS issuance to be highly opportunistic and significantly driven by prevailing market conditions. According to our calculations based on APRA data, the four major banks (~80% of lending market) are currently well funded. However, for the smaller ADI’s, RMBS should remain a key source of funding and their share of total securitisation should remain high.
ABS/RMBS issue margins lagged the tightening seen in the broader credit market in 2012. But they narrowed markedly late in 2012 and earlier this year. The prime RMBS transactions for 2-3 WAL has compressed by around 30bps compared to end of last year. We believe that the observed rally on issue spreads has reached a plateau and do not foresee any major contraction in the near term. We are also expecting APRA’s determination on Basel III liquidity treatment to be released in early April. Based on APRA’s CLF guidelines, we can expect marginal movement in RMBS pricing.
Monetary easing should further improve loan serviceability for 2013. We expect recent natural disasters in Queensland and northern NSW to have marginal impact on arrears for 1H 2013 and we do not expect any notes to incur losses as a result of the flooding earlier in the year.
The Financial Stability Review shows that internal securitisation has increased rapidly during the post-GFC period and currently stands at around $200 billion. While the level of highly liquid assets - CGS and semis - held by the banks has increased over the same period, these available Level1 liquid assets will be insufficient to meet LCR requirements. Internal securitisation would form part of the assets that can be pledged against the CLF. If APRA limits HQLA to cash, government and semi-government bonds, then we can expect to see more increase in internal securitisation as a means for banks to meet LCR obligations.
Aust banks A$ covered bonds vs senior debt
Source: CBASpectrum
Covered and Senior bonds
Source: Bloomberg, CBA
RMBS, ABS and CMBS Issue Margin (2-4yr)
Source: Bloomberg, CBA
40
60
80
100
120
140
160
180
200
Jul-11 Nov-11 Mar-12 Jul-12 Nov-12 Mar-13
bps WBC (18-Nov-16)
CBAC (25-Jan-17)
WBC (09-May-16)
WBCC (06-Feb-17)
WBC (20-Feb-17)
0
10
20
30
40
50
60
70
Aug-12 Oct-12 Dec-12 Feb-13 Apr-13
YTM
Sp
read
Ove
r Cov
ered
(bp
s)
WSTP 1.40% 2015 (U$)
WSTP 2.13% 2016 (€)
WSTP 5.75% 2017 (A$)
0
100
200
300
400
500
Jan-07 Jul-08 Jan-10 Jul-11 Jan-13
bps
CMBS
ABS
RMBS
Global Markets Research
Fixed Income: Weekly Strategy
9
iTraxx Australia: Key constituents and 3M snapshot
5y CDS change over 3 months: 5y CDS performance over 3 months:
Issuer 3 month trend 05-Apr %: Absolute bps: Absolute %: Relative to A-iTrx bps: Relative to Index
(bps) (bps) + = CDS wider (- = CDS tighter) + = underperformed (- = outperformed)
A-iTraxx 118 +3.0% +3.5
ANZ 93 -6.6% -6.6 -9.6% -10.1
CBA 93 -6.7% -6.7 -9.7% -10.2
NAB 94 -8.1% -8.3 -11.2% -11.8
WBC 94 -9.4% -9.7 -12.5% -13.2
AMP 114 +7.6% +8.1 +4.6% +4.6
MBL 137 -5.8% -8.5 -8.9% -12.0
QBE 176 -34.6% -93.0 -37.6% -96.5
GPT 123 +1.8% +2.2 -1.2% -1.3
LLC 204 -21.9% -57.2 -25.0% -60.7
WFG 114 -5.6% -6.8 -8.7% -10.3
BHP 69 +13.9% +8.4 +10.9% +4.9
RIO 113 +42.8% +34.0 +39.7% +30.5
WPL 96 +4.5% +4.1 +1.4% +0.6
TLS 68 +8.1% +5.1 +5.1% +1.6
WES 64 +7.0% +4.2 +3.9% +0.7
WOW 62 +3.1% +1.9 +0.1% -1.6
CWN 151 +0.9% +1.3 -2.2% -2.2
TAH 173 -12.6% -24.9 -15.6% -28.4
AMC 95 +4.4% +4.0 +1.4% +0.5
CSR 103 -8.9% -10.0 -11.9% -13.5
AGL 69 +9.1% +5.7 +6.0% +2.2
QAN 199 -15.9% -37.6 -18.9% -41.1
Source: Bloomberg, Prices as of 28 Mar 2013
Global Markets Research
Fixed Income: Weekly Strategy
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