{"id":5969,"date":"2009-03-20T20:49:26","date_gmt":"2009-03-21T00:49:26","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=5969"},"modified":"2009-03-20T20:49:26","modified_gmt":"2009-03-21T00:49:26","slug":"march-20-2009","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=5969","title":{"rendered":"March 20, 2009"},"content":{"rendered":"

Assiduous Readers will remember I am following the Lyondell bankruptcy – the last mention was on February 24<\/a> … there’s more news today<\/a>:<\/p>\n

LyondellBasell Industries AF SCA missed an interest payment on bonds that will trigger payouts on credit-default swaps guaranteeing as much as $1.5 billion of the company\u2019s debt.<\/p>\n

Dealers and investors in the market will start the process of settling contracts linked to Netherlands-based LyondellBasell after it failed to pay interest on 500 million euros ($679 million) of bonds maturing in 2015, the International Swaps and Derivatives Association said in a statement today.
…<\/b>
Traders had bought or sold a net $744 million in protection on LyondellBasell debt through credit swaps as of March 13, according to data from the Depository Trust & Clearing Corp., which runs a central registry for the market. Another $786 million of protection was bought through index contracts that include LyondellBasell among a group of 50 companies.<\/p>\n

The net figures don\u2019t include contracts covering a gross amount of about $16.6 billion that economically offset each other and typically wouldn\u2019t be paid as long as there are no defaults by the firms selling the protection, DTCC data show.
…<\/b>
Credit-default swaps on LyondellBasell, one of the world\u2019s largest closely held chemical producers, cost 94 percent upfront and 5 percent a year, according to CMA Datavision prices at 5 p.m. in London. That means it costs 9.4 million euros in advance and 500,000 euros a year to protect 10 million euros of the company\u2019s bonds from default for five years.<\/p><\/blockquote>\n

That’s a nice price for protection, eh? I wonder if anybody paid it!<\/p>\n

Good volume and fine performance from the Fixed-Resets today, probably inspired by some portfolio reshuffling with the closing of BMO.PR.O<\/a>. PerpetualDiscounts continued their recovery from their recent dip.<\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices<\/strong>
Values are provisional and are finalized monthly<\/td>\n<\/tr>\n
Index<\/td>\nMean
Current
Yield
(at bid)<\/td>\n		Median
YTW<\/td>\n		Median
Average
Trading
Value<\/td>\n		Median
Mod Dur
(YTW)<\/td>\n		Issues<\/td>\nDay’s Perf.<\/td>\nIndex Value<\/td>\n<\/tr>\n
Ratchet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n1.2723 %<\/td>\n839.8<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n1.2723 %<\/td>\n1,358.2<\/td>\n<\/tr>\n
Floater<\/td>\n4.71 %<\/td>\n5.69 %<\/td>\n58,415<\/td>\n14.38<\/td>\n3<\/td>\n1.2723 %<\/td>\n1,049.2<\/td>\n<\/tr>\n
OpRet<\/td>\n5.26 %<\/td>\n4.86 %<\/td>\n128,732<\/td>\n3.90<\/td>\n15<\/td>\n0.0248 %<\/td>\n2,059.8<\/td>\n<\/tr>\n
SplitShare<\/td>\n6.90 %<\/td>\n10.01 %<\/td>\n52,512<\/td>\n4.79<\/td>\n6<\/td>\n-0.3167 %<\/td>\n1,609.1<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n6.07 %<\/td>\n8.99 %<\/td>\n34,920<\/td>\n0.75<\/td>\n1<\/td>\n-0.4028 %<\/td>\n1,935.5<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.2366 %<\/td>\n1,498.7<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n7.21 %<\/td>\n7.33 %<\/td>\n152,809<\/td>\n12.13<\/td>\n71<\/td>\n0.2366 %<\/td>\n1,380.3<\/td>\n<\/tr>\n
FixedReset<\/td>\n6.12 %<\/td>\n5.70 %<\/td>\n643,437<\/td>\n13.84<\/td>\n31<\/td>\n0.5914 %<\/td>\n1,811.4<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
ELF.PR.G<\/td>\nPerpetual-Discount<\/td>\n-3.33 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-20
\nMaturity Price : 13.05
\nEvaluated at bid price : 13.05
\nBid-YTW : 9.36 %<\/td>\n<\/tr>\n
SBN.PR.A<\/td>\nSplitShare<\/td>\n-1.84 %<\/td>\nAsset coverage of 1.6-:1 as of March 12, according to Mulvihill<\/a>.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2014-12-01
\nMaturity Price : 10.00
\nEvaluated at bid price : 8.00
\nBid-YTW : 10.01 %<\/td>\n<\/tr>\n
BMO.PR.L<\/td>\nPerpetual-Discount<\/td>\n-1.62 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-20
\nMaturity Price : 20.07
\nEvaluated at bid price : 20.07
\nBid-YTW : 7.33 %<\/td>\n<\/tr>\n
ACO.PR.A<\/td>\nOpRet<\/td>\n-1.35 %<\/td>\nYTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2011-11-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.65
\nBid-YTW : 4.86 %<\/td>\n<\/tr>\n
POW.PR.C<\/td>\nPerpetual-Discount<\/td>\n-1.31 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-20
\nMaturity Price : 18.81
\nEvaluated at bid price : 18.81
\nBid-YTW : 7.90 %<\/td>\n<\/tr>\n
BNA.PR.B<\/td>\nSplitShare<\/td>\n-1.25 %<\/td>\nAsset coverage of 1.7-:1 as of February 28, according to the company<\/a>.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2016-03-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.60
\nBid-YTW : 8.41 %<\/td>\n<\/tr>\n
HSB.PR.C<\/td>\nPerpetual-Discount<\/td>\n-1.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-20
\nMaturity Price : 17.55
\nEvaluated at bid price : 17.55
\nBid-YTW : 7.31 %<\/td>\n<\/tr>\n
BMO.PR.H<\/td>\nPerpetual-Discount<\/td>\n-1.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-20
\nMaturity Price : 20.33
\nEvaluated at bid price : 20.33
\nBid-YTW : 6.61 %<\/td>\n<\/tr>\n
BNS.PR.P<\/td>\nFixedReset<\/td>\n1.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-20
\nMaturity Price : 22.66
\nEvaluated at bid price : 22.75
\nBid-YTW : 4.37 %<\/td>\n<\/tr>\n
RY.PR.L<\/td>\nFixedReset<\/td>\n1.09 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-20
\nMaturity Price : 24.12
\nEvaluated at bid price : 24.16
\nBid-YTW : 4.82 %<\/td>\n<\/tr>\n
SLF.PR.E<\/td>\nPerpetual-Discount<\/td>\n1.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-20
\nMaturity Price : 14.71
\nEvaluated at bid price : 14.71
\nBid-YTW : 7.70 %<\/td>\n<\/tr>\n
TD.PR.P<\/td>\nPerpetual-Discount<\/td>\n1.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-20
\nMaturity Price : 19.85
\nEvaluated at bid price : 19.85
\nBid-YTW : 6.74 %<\/td>\n<\/tr>\n
RY.PR.E<\/td>\nPerpetual-Discount<\/td>\n1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-20
\nMaturity Price : 16.91
\nEvaluated at bid price : 16.91
\nBid-YTW : 6.75 %<\/td>\n<\/tr>\n
W.PR.J<\/td>\nPerpetual-Discount<\/td>\n1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-20
\nMaturity Price : 19.44
\nEvaluated at bid price : 19.44
\nBid-YTW : 7.37 %<\/td>\n<\/tr>\n
NA.PR.K<\/td>\nPerpetual-Discount<\/td>\n1.18 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-20
\nMaturity Price : 20.51
\nEvaluated at bid price : 20.51
\nBid-YTW : 7.25 %<\/td>\n<\/tr>\n
BAM.PR.N<\/td>\nPerpetual-Discount<\/td>\n1.20 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-20
\nMaturity Price : 12.66
\nEvaluated at bid price : 12.66
\nBid-YTW : 9.46 %<\/td>\n<\/tr>\n
TD.PR.R<\/td>\nPerpetual-Discount<\/td>\n1.20 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-20
\nMaturity Price : 21.00
\nEvaluated at bid price : 21.00
\nBid-YTW : 6.79 %<\/td>\n<\/tr>\n
GWO.PR.F<\/td>\nPerpetual-Discount<\/td>\n1.20 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-20
\nMaturity Price : 19.32
\nEvaluated at bid price : 19.32
\nBid-YTW : 7.69 %<\/td>\n<\/tr>\n
BMO.PR.J<\/td>\nPerpetual-Discount<\/td>\n1.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-20
\nMaturity Price : 16.41
\nEvaluated at bid price : 16.41
\nBid-YTW : 6.95 %<\/td>\n<\/tr>\n
BNS.PR.R<\/td>\nFixedReset<\/td>\n1.24 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-20
\nMaturity Price : 21.21
\nEvaluated at bid price : 21.21
\nBid-YTW : 4.62 %<\/td>\n<\/tr>\n
CM.PR.D<\/td>\nPerpetual-Discount<\/td>\n1.27 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-20
\nMaturity Price : 19.90
\nEvaluated at bid price : 19.90
\nBid-YTW : 7.37 %<\/td>\n<\/tr>\n
CIU.PR.A<\/td>\nPerpetual-Discount<\/td>\n1.31 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-20
\nMaturity Price : 16.98
\nEvaluated at bid price : 16.98
\nBid-YTW : 6.86 %<\/td>\n<\/tr>\n
BAM.PR.M<\/td>\nPerpetual-Discount<\/td>\n1.36 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-20
\nMaturity Price : 12.70
\nEvaluated at bid price : 12.70
\nBid-YTW : 9.43 %<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nPerpetual-Discount<\/td>\n1.36 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-20
\nMaturity Price : 14.91
\nEvaluated at bid price : 14.91
\nBid-YTW : 7.62 %<\/td>\n<\/tr>\n
BMO.PR.M<\/td>\nFixedReset<\/td>\n1.42 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-20
\nMaturity Price : 21.50
\nEvaluated at bid price : 21.50
\nBid-YTW : 4.27 %<\/td>\n<\/tr>\n
TD.PR.A<\/td>\nFixedReset<\/td>\n1.52 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-20
\nMaturity Price : 22.71
\nEvaluated at bid price : 22.75
\nBid-YTW : 4.36 %<\/td>\n<\/tr>\n
BNA.PR.A<\/td>\nSplitShare<\/td>\n1.72 %<\/td>\nAsset coverage of 1.7-:1 as of February 28 according to the company<\/a>.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2010-09-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.60
\nBid-YTW : 10.54 %<\/td>\n<\/tr>\n
BNS.PR.L<\/td>\nPerpetual-Discount<\/td>\n1.78 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-20
\nMaturity Price : 17.16
\nEvaluated at bid price : 17.16
\nBid-YTW : 6.68 %<\/td>\n<\/tr>\n
PWF.PR.G<\/td>\nPerpetual-Discount<\/td>\n1.84 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-20
\nMaturity Price : 19.35
\nEvaluated at bid price : 19.35
\nBid-YTW : 7.78 %<\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\n2.00 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-20
\nMaturity Price : 7.65
\nEvaluated at bid price : 7.65
\nBid-YTW : 5.73 %<\/td>\n<\/tr>\n
GWO.PR.J<\/td>\nFixedReset<\/td>\n2.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-20
\nMaturity Price : 23.71
\nEvaluated at bid price : 23.75
\nBid-YTW : 5.30 %<\/td>\n<\/tr>\n
TD.PR.Y<\/td>\nFixedReset<\/td>\n2.43 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-20
\nMaturity Price : 21.53
\nEvaluated at bid price : 21.53
\nBid-YTW : 4.37 %<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n2.67 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-20
\nMaturity Price : 7.70
\nEvaluated at bid price : 7.70
\nBid-YTW : 5.69 %<\/td>\n<\/tr>\n
TD.PR.Q<\/td>\nPerpetual-Discount<\/td>\n3.76 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-20
\nMaturity Price : 21.50
\nEvaluated at bid price : 21.50
\nBid-YTW : 6.63 %<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nShares
Traded<\/td>\n		Notes<\/td>\n<\/tr>\n
BMO.PR.O<\/td>\nFixedReset<\/td>\n550,271<\/td>\nNew issue settled today<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-20
\nMaturity Price : 25.10
\nEvaluated at bid price : 25.15
\nBid-YTW : 6.27 %<\/td>\n<\/tr>\n
TD.PR.G<\/td>\nFixedReset<\/td>\n145,316<\/td>\nRBC crossed 122,500 at 25.60.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-05-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.75
\nBid-YTW : 5.80 %<\/td>\n<\/tr>\n
CM.PR.M<\/td>\nFixedReset<\/td>\n108,096<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-20
\nMaturity Price : 24.86
\nEvaluated at bid price : 24.91
\nBid-YTW : 6.18 %<\/td>\n<\/tr>\n
RY.PR.T<\/td>\nFixedReset<\/td>\n107,255<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-20
\nMaturity Price : 23.21
\nEvaluated at bid price : 25.24
\nBid-YTW : 5.72 %<\/td>\n<\/tr>\n
BNS.PR.T<\/td>\nFixedReset<\/td>\n63,013<\/td>\nTD bought 11,000 from Scotia at 25.20.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-20
\nMaturity Price : 25.12
\nEvaluated at bid price : 25.17
\nBid-YTW : 5.95 %<\/td>\n<\/tr>\n
TD.PR.I<\/td>\nFixedReset<\/td>\n61,458<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-03-20
\nMaturity Price : 25.16
\nEvaluated at bid price : 25.21
\nBid-YTW : 5.91 %<\/td>\n<\/tr>\n
There were 24 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Assiduous Readers will remember I am following the Lyondell bankruptcy – the last mention was on February 24 … there’s more news today: LyondellBasell Industries AF SCA missed an interest payment on bonds that will …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[15],"tags":[],"class_list":["post-5969","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/5969","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=5969"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/5969\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=5969"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=5969"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=5969"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}