MFC.PR.P, the new FloatingReset that has come into existence via partial exchange from MFC.PR.F, is now trading.
The 21% conversion rate has been reported previously; Assiduous Readers will remember that I recommended against conversion. MFC.PR.F now pays 2.178% (on par) until 2021-6-19, while MFC.PR.P will pay 3-month bills +141bp, reset quarterly.
MFC.PR.P closed June 20 with a quote of 12.90-20
Vital statistics are:
| MFC.PR.P | FloatingReset | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.50 Bid-YTW : 12.25 % |
The $2.05 price difference between the two elements of the Strong Pair (I told you not to convert!) implies a break-even three-month bill rate of -1.20% – at the low end of the range defined by other investment-grade Strong Pairs.
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