RPQ.PR.A: Underlying Note Now Rated CCC by S&P (?)

RPQ.PR.A is a stuctured product which was last discussed on PrefBlog when dividends were suspended and the rating withdrawn.

Essentially, holders of this issue have written a “financial disaster insurance policy” – they get paid coupons as a premium on their money, but have to make a massive payment if there are too many defaults in the bonds comprising the reference portfolio.

The deal was structured via a Credit Linked Note issued by the Bank of Nova Scotia; I see that this Credit Linked Note – orginally rated A- by S&P – is now rated CCC, with a rating date of March 10. I note that the December ’08 Performance Update for RPQ.PR.A (published by CC&L group, the sponsor) states that the rating for the Credit Linked Note has been withdrawn – I’m not sure what’s going on. It is possible that BNS originally had two credit linked notes with the stated maturity, and that it is an unrelated issue that is now rated CCC … but I suggest that those potentially affected by this change contact CC&L, BNS and S&P … and let me know what you find out!

I confess to a certain morbid curiosity regarding this and its related issues. RPQ.PR.A is not tracked by HIMIPref™.

One Response to “RPQ.PR.A: Underlying Note Now Rated CCC by S&P (?)”

  1. […] was last mentioned on PrefBlog in connection with the downgrade of the credit linked note (or, at least, what I think is the credit linked note). All three issues were mentioned with […]

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