I am trying to evaluate the impact of switching an Asset-Swap Package (fixed bond + Swap) into a floating rate bond of the same issuer with the same notional and maturity. My intuition would tell me that both instruments should be equivalent, as with both I am receiving a floating cash flow from the same issuer for the same time frame.
However, when I check my loss from selling the underlying and the swap and add this loss to the income I would get from the new floating rate bond and compare it to the total income I would get if I didn't switch, I see a substantial difference.
I also created a model in Excel with toy numbers to check that and I saw that if I use a different discount rate for the bond issuer and the Swap (as the former has a lower credit quality than the Swap counterparty) the two are not similar.
Do you have any insight into this topic?