June 03, 2024 13:13 GMT
Volkswagen (VW : A3/BBB+): New FRN Looks Wide
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VW only has 2 frns
Toyota has a better curve:
TOYOTA Mar-26 DM+31
TOYOTA Apr-26 DM+33
TOYOTA Feb-27 DM+44
VW Mar-26 trades DM+41
The Toyota curve is 13 bps for 11 months = 1.2bps/month
- VW curve is 15 months to the June-27 New Issue.
- So that would be 18bps + a little because the curve is wider. Call it +22bps.
- Mar-26 DM+41 + 22bps
- Fair Value = DM+63 for Jun-27
The new issue is coming DM+78. That looks quite wide to where I see FV.
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