BAM.PR.S, the new FloatingReset that has come into existence via partial exchange from BAM.PR.R, is now trading.
The 14% conversion rate has been reported previously; Assiduous Readers will remember that I recommended against conversion. BAM.PR.R now pays 3.014% (on par) until 2021-6-30, while BAM.PR.S will pay 3-month bills +230bp, reset quarterly.
BAM.PR.S closed July 4 with a quote of 15.00-50, 1×1.
Vital statistics are:
| BAM.PR.R | FixedReset | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-07-04 Maturity Price : 15.39 Evaluated at bid price : 15.39 Bid-YTW : 4.74 % |
| BAM.PR.S | FloatingReset | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-07-04 Maturity Price : 15.00 Evaluated at bid price : 15.00 Bid-YTW : 4.68 % |
The $0.39 price difference between the two elements of the Strong Pair implies a break-even three-month bill rate of +0.33% – the highest of the investment-grade Strong Pairs.
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