ROC Pref Corp. II has announced:
that it expects to be notified by HSBC Bank Canada of a Credit Event on Quebecor World Inc. as a result of the company filing a petition in Quebec Superior Court for creditor protection under the Companies’ Creditors Arrangement Act.
The exposure of ROC Pref II Corp. Preferred Shareholders to Quebecor World is up to 0.71% of the Reference Portfolio. The ROC Pref II Corp. Preferred Shares benefit from from the protection of a first loss tranche equal to 3.43% of the Reference Portfolio. Therefore, ROC Pref II Corp.’s ability to meet its investment objectives of paying Preferred Shareholders $25.00 per Preferred Share on December 31, 2009 and quarterly distributions at a rate of 4.65% or $0.290625 per Preferred Share will not be affected by this Credit Event. Since its inception on October 1, 2004, the Preferred Shares have been rated P‐1(low) by Standard & Poor’s.
Prior to this Credit Event, ROC Pref II Corp. had the ability sustain approximately 8 Credit Events, assuming an estimated average recovery rate of 40%, which represents approximately 5.0 times the average and 2.1 times the worst cumulative historical default level experienced in a portfolio with the same credit rating distribution over rolling two year periods, being equal to the time to maturity of ROC Pref II Corp. since during the 25‐year period ending in 2006.
RPA.PR.A was removed from the S&P/TSX Preferred Share Index as of the close on January 18.
The default of Quebecor World has been discussed elsewhere.
Update, 2008-01-23: The company has announced:
that it does not expect Quebecor World Inc’s recent filing for creditor protection to result in a downgrade to the Company’s preferred shares (the “Preferred Shares”). Standard & Poor’s, which rates the Company’s Preferred Shares P-1 (low), confirmed yesterday that the Preferred Shares will not be placed on credit watch negative. Since the Company’s inception on October 1, 2004, the Preferred Shares have been rated P-1 (low) by Standard & Poor’s.
The exposure of ROC Pref II Corp.’s Preferred Shares to Quebecor World is up to 0.71% of the reference portfolio, with the actual level being dependent on the recovery rate that is realized on Quebecor World’s senior unsecured bonds. The Preferred Shares benefit from the protection of a first loss tranche equal to 3.43% of the reference portfolio. Therefore, the Company’s ability to meet its investment objectives of paying Preferred Share holders $25.00 per Preferred Share on December 31, 2009 and quarterly distributions at a rate of 4.65% or $0.290625 per Preferred Share will not be affected by this credit event.
After giving effect to this, the first credit event to affect ROC Pref II Corp, the Company has the ability to sustain approximately 7 further credit events, assuming an estimated average recovery rate of 40% as well as a 40% recovery rate for Quebecor World Inc. The ability to sustain 7 credit events represents approximately 5.5 times the average and 2.1 times the worst cumulative historical default level experienced in a portfolio with the same
credit rating distribution over rolling two year periods during the 25-year period ending in 2006.
[…] RPA.PR.A was last discussed on PrefBlog when it sustained a credit event from Quebecor World. […]