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Back From The Dead

21 January 2019 by lberuti

Whilst the US holiday today meant a quiet start to the week in credit volume wise, there was some news in Europe to digest for the market. Ziggo, which provides telecommunications and media services throughout the Netherlands, had in the past used a SPV named Ziggo Bond Finance NV (ZBF) to issue debt. In its annual account 2017 filed in December 2018, ZBF mentioned that “the VodafoneZiggo SPV structure was terminated on March 8, 2018” leading some market participants to assume the market had missed a succession event as the lookback period during which investors much identify a structural change spans 90 days. The value of protection referencing ZBF debt collapsed from 300bps to 150bps as they assumed it was now an dead box. It looks as if they got carried away though. Indeed, in the revamped CDS documentation published in 2014, the notion of “Universal Successor” was introduced. As long as an entity assumes all of the obligations of a reference entity, it is deemed its Successor, regardless of the backstop date. In the same 2017 annual account, it was also said that Ziggo Bondco assumed all the obligations under the note issued by ZBF. The Determination Committee of ISDA confirmed today that CDS formerly referencing ZBF are now in effect referencing Ziggo Bondco, and protect exactly the same debt as before. Unsurprisingly, these CDS were pushed 86bps wider to 253bps.