Investing

Capital Waterfall

What it means for the stability of investment portfolios

CAPITAL WATERFALL MARGIN PRICE STABILITY ANNUALISED VOLATILITY POSITIVE CORRELATION TO EQUITIES DEFENSIVE RE EQUITIES?
Bank Accounts – Cash 0  23.02.16 cash stability 0.0%  N  Y
Senior Unsecured – Floating 1%  23.02.16 floaters stability 0.3%  N  Y
Senior Unsecured – Fixed 1% – 2.5%  23.02.16 fixed stability 1.2%  N  Y
Tier II Hybrids 2.7% – 3.2%  23.02.16 tier 2 stability 4.4%  Y  N
Tier I Hybrids 4.5% – 5%  23.02.16 tier 1 stability 6.6%  Y  N
Equity 5% – 10+%  23.02.16 equities stability 24.2%  Y N
Capital price normalised for individual securities. Each of the TDs and securities referenced are from the same issuer.
Source: Bloomberg & Australian Corporate Bond Company. 31 Dec 2014 to 19 Feb 2016

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