Below is a spreadsheet based table I have developed to help analyse the main Lloyds Banking Group and RBS fixed income issues. The securities included are based on those listed in the recent JP Morgan report on Lloyds and RBS capital plus a number of the LBG sterling preference shares (such as LLPC, LLPD, LLPE and LLPF) which were not included in the report. I am still trying to find online sources for some of the prices and, in these cases, the prices will show as zero. The tabs at the bottom of the sheet allow you to view the securities sorted in various different ways with the sort column being highlighted in yellow for ease of reference. Please ignore the price feed tag as this is just a working sheet for the prices.  The values for the different coupon skip scenarios have been calculated using a 10% discount rate which is consistant with the JPM approach. If you have any suggestions for new columns or sorts please let me know via the Contact Form and I will see what I can do.

 

NOTE 1: CPF stands for Coupon Protection Factor. It is a measure I have come up with to try to quantify the level of coupon protection given by the terms of a security. The various classifications (with CPF 1 being the strongest) are as follows:

 

CPF 1 = Mandatory and Cumulative

CPF 2 = Mandatory and Quasi Cumulative (for example by means of an Alternative Coupon Settlement Mechanism (ACSM)

CPF 3 = Discretionary and Cumulative

CPF 4 = Mandatory and Non-Cumulative

CPF 5 = Currently Mandatory but could be made Discretionary (for example by redeeming another issue)

CPF 6 = Discretionary

 

NOTE 2: Following the Lloyds announcement on 3 November 2009 of its ECN/ECA offers for most of its T1 and UT2 issues I added new columns on the right of the table sorted by issuer to try to summarise the offers as they effect each issue.