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 trigger payouts on credit-default swaps guaranteeing as much as $1.5 billion of the company’s debt.
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.
…
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.The net figures don’t include contracts covering a gross amount of about $16.6 billion that economically offset each other and typically wouldn’t be paid as long as there are no defaults by the firms selling the protection, DTCC data show.
…
Credit-default swaps on LyondellBasell, one of the world’s 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’s bonds from default for five years.
That’s a nice price for protection, eh? I wonder if anybody paid it!
Good volume and fine performance from the Fixed-Resets today, probably inspired by some portfolio reshuffling with the closing of BMO.PR.O. PerpetualDiscounts continued their recovery from their recent dip.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
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| Index | Mean Current Yield (at bid) |
Median YTW |
Median Average Trading Value |
Median Mod Dur (YTW) |
Issues | Day’s Perf. | Index Value |
| Ratchet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.2723 % | 839.8 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.2723 % | 1,358.2 |
| Floater | 4.71 % | 5.69 % | 58,415 | 14.38 | 3 | 1.2723 % | 1,049.2 |
| OpRet | 5.26 % | 4.86 % | 128,732 | 3.90 | 15 | 0.0248 % | 2,059.8 |
| SplitShare | 6.90 % | 10.01 % | 52,512 | 4.79 | 6 | -0.3167 % | 1,609.1 |
| Interest-Bearing | 6.07 % | 8.99 % | 34,920 | 0.75 | 1 | -0.4028 % | 1,935.5 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2366 % | 1,498.7 |
| Perpetual-Discount | 7.21 % | 7.33 % | 152,809 | 12.13 | 71 | 0.2366 % | 1,380.3 |
| FixedReset | 6.12 % | 5.70 % | 643,437 | 13.84 | 31 | 0.5914 % | 1,811.4 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| ELF.PR.G | Perpetual-Discount | -3.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-20 Maturity Price : 13.05 Evaluated at bid price : 13.05 Bid-YTW : 9.36 % |
| SBN.PR.A | SplitShare | -1.84 % | Asset coverage of 1.6-:1 as of March 12, according to Mulvihill. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2014-12-01 Maturity Price : 10.00 Evaluated at bid price : 8.00 Bid-YTW : 10.01 % |
| BMO.PR.L | Perpetual-Discount | -1.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-20 Maturity Price : 20.07 Evaluated at bid price : 20.07 Bid-YTW : 7.33 % |
| ACO.PR.A | OpRet | -1.35 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2011-11-30 Maturity Price : 25.00 Evaluated at bid price : 25.65 Bid-YTW : 4.86 % |
| POW.PR.C | Perpetual-Discount | -1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-20 Maturity Price : 18.81 Evaluated at bid price : 18.81 Bid-YTW : 7.90 % |
| BNA.PR.B | SplitShare | -1.25 % | Asset coverage of 1.7-:1 as of February 28, according to the company. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2016-03-25 Maturity Price : 25.00 Evaluated at bid price : 20.60 Bid-YTW : 8.41 % |
| HSB.PR.C | Perpetual-Discount | -1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-20 Maturity Price : 17.55 Evaluated at bid price : 17.55 Bid-YTW : 7.31 % |
| BMO.PR.H | Perpetual-Discount | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-20 Maturity Price : 20.33 Evaluated at bid price : 20.33 Bid-YTW : 6.61 % |
| BNS.PR.P | FixedReset | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-20 Maturity Price : 22.66 Evaluated at bid price : 22.75 Bid-YTW : 4.37 % |
| RY.PR.L | FixedReset | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-20 Maturity Price : 24.12 Evaluated at bid price : 24.16 Bid-YTW : 4.82 % |
| SLF.PR.E | Perpetual-Discount | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-20 Maturity Price : 14.71 Evaluated at bid price : 14.71 Bid-YTW : 7.70 % |
| TD.PR.P | Perpetual-Discount | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-20 Maturity Price : 19.85 Evaluated at bid price : 19.85 Bid-YTW : 6.74 % |
| RY.PR.E | Perpetual-Discount | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-20 Maturity Price : 16.91 Evaluated at bid price : 16.91 Bid-YTW : 6.75 % |
| W.PR.J | Perpetual-Discount | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-20 Maturity Price : 19.44 Evaluated at bid price : 19.44 Bid-YTW : 7.37 % |
| NA.PR.K | Perpetual-Discount | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-20 Maturity Price : 20.51 Evaluated at bid price : 20.51 Bid-YTW : 7.25 % |
| BAM.PR.N | Perpetual-Discount | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-20 Maturity Price : 12.66 Evaluated at bid price : 12.66 Bid-YTW : 9.46 % |
| TD.PR.R | Perpetual-Discount | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-20 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 6.79 % |
| GWO.PR.F | Perpetual-Discount | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-20 Maturity Price : 19.32 Evaluated at bid price : 19.32 Bid-YTW : 7.69 % |
| BMO.PR.J | Perpetual-Discount | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-20 Maturity Price : 16.41 Evaluated at bid price : 16.41 Bid-YTW : 6.95 % |
| BNS.PR.R | FixedReset | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-20 Maturity Price : 21.21 Evaluated at bid price : 21.21 Bid-YTW : 4.62 % |
| CM.PR.D | Perpetual-Discount | 1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-20 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 7.37 % |
| CIU.PR.A | Perpetual-Discount | 1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-20 Maturity Price : 16.98 Evaluated at bid price : 16.98 Bid-YTW : 6.86 % |
| BAM.PR.M | Perpetual-Discount | 1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-20 Maturity Price : 12.70 Evaluated at bid price : 12.70 Bid-YTW : 9.43 % |
| MFC.PR.C | Perpetual-Discount | 1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-20 Maturity Price : 14.91 Evaluated at bid price : 14.91 Bid-YTW : 7.62 % |
| BMO.PR.M | FixedReset | 1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-20 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 4.27 % |
| TD.PR.A | FixedReset | 1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-20 Maturity Price : 22.71 Evaluated at bid price : 22.75 Bid-YTW : 4.36 % |
| BNA.PR.A | SplitShare | 1.72 % | Asset coverage of 1.7-:1 as of February 28 according to the company. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2010-09-30 Maturity Price : 25.00 Evaluated at bid price : 23.60 Bid-YTW : 10.54 % |
| BNS.PR.L | Perpetual-Discount | 1.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-20 Maturity Price : 17.16 Evaluated at bid price : 17.16 Bid-YTW : 6.68 % |
| PWF.PR.G | Perpetual-Discount | 1.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-20 Maturity Price : 19.35 Evaluated at bid price : 19.35 Bid-YTW : 7.78 % |
| BAM.PR.K | Floater | 2.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-20 Maturity Price : 7.65 Evaluated at bid price : 7.65 Bid-YTW : 5.73 % |
| GWO.PR.J | FixedReset | 2.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-20 Maturity Price : 23.71 Evaluated at bid price : 23.75 Bid-YTW : 5.30 % |
| TD.PR.Y | FixedReset | 2.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-20 Maturity Price : 21.53 Evaluated at bid price : 21.53 Bid-YTW : 4.37 % |
| BAM.PR.B | Floater | 2.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-20 Maturity Price : 7.70 Evaluated at bid price : 7.70 Bid-YTW : 5.69 % |
| TD.PR.Q | Perpetual-Discount | 3.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-20 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 6.63 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BMO.PR.O | FixedReset | 550,271 | New issue settled today. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-20 Maturity Price : 25.10 Evaluated at bid price : 25.15 Bid-YTW : 6.27 % |
| TD.PR.G | FixedReset | 145,316 | RBC crossed 122,500 at 25.60. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-30 Maturity Price : 25.00 Evaluated at bid price : 25.75 Bid-YTW : 5.80 % |
| CM.PR.M | FixedReset | 108,096 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-20 Maturity Price : 24.86 Evaluated at bid price : 24.91 Bid-YTW : 6.18 % |
| RY.PR.T | FixedReset | 107,255 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-20 Maturity Price : 23.21 Evaluated at bid price : 25.24 Bid-YTW : 5.72 % |
| BNS.PR.T | FixedReset | 63,013 | TD bought 11,000 from Scotia at 25.20. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-20 Maturity Price : 25.12 Evaluated at bid price : 25.17 Bid-YTW : 5.95 % |
| TD.PR.I | FixedReset | 61,458 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-20 Maturity Price : 25.16 Evaluated at bid price : 25.21 Bid-YTW : 5.91 % |
| There were 24 other index-included issues trading in excess of 10,000 shares. | |||