Trade Details for CUSIP: 084670AS7

11/28/2008

11:45:20 101.138 4.390 10K @ run calculations

11/28/2008

11:45:19 101.138 4.390 10K @ run calculations

11/26/2008

13:36:37 101.855 4.166 10K @ run calculations

11/26/2008

13:36:33 102.480 3.973 10K @ run calculations

11/26/2008

13:15:29 101.002 4.433 50K @ run calculations

11/26/2008

13:15:28 101.836 4.172 50K @ run calculations

11/26/2008

13:07:29 101.875 4.160 10K @ run calculations

11/26/2008

13:07:15 101.338 4.327 10K @ run calculations

11/26/2008

13:00:00 101.875 4.160 10K @ run calculations

11/26/2008

12:27:23 101.055 4.416 80K @ run calculations

11/26/2008

12:27:21 101.906 4.151 80K @ run calculations

11/26/2008

11:15:14 101.165 4.382 50K @ run calculations

11/26/2008

10:50:55 101.258 4.352 19K @ run calculations

11/26/2008

10:50:51 102.270 4.038 19K @ run calculations

11/26/2008

10:50:36 101.258 4.352 19K @ run calculations

11/26/2008

10:05:31 101.838 4.172 20K @ run calculations

11/26/2008

10:05:30 101.838 4.172 20K @ run calculations

11/26/2008

09:58:27 99.610 4.873 5K @ run calculations

11/26/2008

09:32:08 101.008 4.431 100K @ run calculations

11/26/2008

08:15:00 100.030 4.739 30K @ run calculations

11/26/2008

08:11:00 101.671 4.224 100K @ run calculations

11/25/2008

15:47:07 100.741 4.515 100K @ run calculations

11/25/2008

14:50:00 101.432 4.298 50K @ run calculations

11/25/2008

14:44:37 101.180 4.377 1K @ run calculations

11/25/2008

14:44:20 101.180 4.377 1K @ run calculations

11/25/2008

13:43:35 99.721 4.837 25K @ run calculations

11/25/2008

13:43:33 99.659 4.857 25K @ run calculations

11/25/2008

13:38:47 102.397 3.999 200K @ run calculations

11/25/2008

12:48:17 101.467 4.288 20K @ run calculations

11/25/2008

12:48:00 102.273 4.038 20K @ run calculations

11/25/2008

12:35:42 102.512 3.964 20K @ run calculations

11/25/2008

12:35:41 101.512 4.274 20K @ run calculations

11/25/2008

11:14:15 101.910 4.150 150K @ run calculations

11/25/2008

11:14:00 101.910 4.150 150K @ run calculations

11/25/2008

11:12:53 99.390 4.943 50K @ run calculations

11/25/2008

11:12:53 99.354 4.954 50K @ (c) run calculations

11/25/2008

10:49:55 102.180 4.066 15K @ run calculations

11/25/2008

10:47:33 101.184 4.376 15K @ run calculations

11/25/2008

10:39:30 100.886 4.469 20K @ run calculations

11/25/2008

10:39:18 100.886 4.469 20K @ run calculations

11/25/2008

10:17:45 100.978 4.440 47K @ run calculations

11/25/2008

10:03:50 100.860 4.477 50K @ run calculations

11/25/2008

10:03:00 100.959 4.446 50K @ run calculations

11/24/2008

16:48:50 100.467 4.602 250K @ run calculations

11/24/2008

16:41:53 102.748 3.893 50K @ run calculations

11/24/2008

16:39:46 100.467 4.602 250K @ run calculations

11/24/2008

16:38:58 100.166 4.696 250K @ run calculations

11/24/2008

16:15:48 101.000 4.434 100K @ run calculations

11/24/2008

16:14:40 100.457 4.605 100K @ run calculations

11/24/2008

15:51:01 99.330 4.962 1565K @ run calculations

11/24/2008

15:34:31 99.850 4.796 150K @ run calculations

11/24/2008

15:15:36 100.935 4.455 200K Z run calculations

11/24/2008

15:15:36 101.000 4.434 200K @ run calculations

11/24/2008

15:14:58 99.935 4.769 200K @ run calculations

11/24/2008

15:09:36 99.560 4.889 1565K @ run calculations

11/24/2008

15:09:36 99.457 4.921 1565K @ run calculations

11/24/2008

14:15:03 102.812 3.874 150K @ run calculations

In other words....the bonds are selling for around par. The yield is in the mid 4% range.

The question is simply this. If someone owned $10 million in these bonds, why would't they sell the bonds, buy Treasuries, and sell the credit default swap for 400-500 basis points?

Or however one would go about arbitraging the difference between the underlying bonds and the CDS's.

Per Andrew Berry in Barrons:

The Street talk is that Berkshire's counterparties, believed to include Goldman, are worried about their Berkshire financial exposure and are trying to hedge that by buying protection in the credit-default swap market. The cost of that protection last week hit five percentage points -- up from a half-point earlier this year, and seemingly absurd for a company that still deserves a triple-A credit rating. Similar protection for Chubb (CB), which has a lower credit rating, costs less than a percentage point.

But.....

Check out the yields on a Chubb Bond.

CHUBB CORP

171232AF8

Bank & Finance/Insurance

6.000

11/15/2011

Graph Trade Data

1 2 3 4 5 6 7 8 9 10 ...

11/25/2008

16:48:42 99.118 6.330 20K @ run calculations

11/25/2008

16:48:42 98.625 6.517 20K @ run calculations

11/25/2008

16:48:37 99.118 6.330 20K @ run calculations

11/25/2008

16:48:37 98.625 6.517 20K @ run calculations

11/25/2008

15:27:50 98.625 6.517 25K @ run calculations

## 1 comment:

I've been following your BH posts and am trying to understand the underlying transaction. Here is what I understand: BH sold puts on various equity indices for $4.8B that were exercisable only at maturity (which was on average 13.5 yrs). If the value of all these indices went to zero they would have to pay out $37B at the various maturities. Their actual payout would be in various currencies but at today's exchange rates it would be $37B. Worst case this amounts to BH borrowing $4.8B at 17% pa interest. If the indices at maturity are at 50% of their put value the loss is cut in half and the borrowing rate equivalent is 11%. Do I understand this correctly?

Post a Comment