The issuers and their salesmen must be trying to extract every dollar from this market since the new Royal Bank issue announced nine days ago staggered to market, trading 395,889 shares and closing at $24.75-80, 73×29. It opened at $24.90, the high for the day.
It seems buyers of new issues only get rewarded by Split Shares nowadays! And, of course, when you buy a split share new issue, you generally get saddled with a capital unit as well.
This issue has been added to the HIMIPref™ database with a securityCode of A45015, replacing the preIssue code of P37500. A reorgDataEntry has been processed.
The issue has been added to the HIMIPref™ PerpetualDiscount Index.
More later.
Later, more
| Royal Bank 4.45% Perp New Issue & Comparatives | |||
| Data | RY.PR.F | RY.PR.A | RY.PR.E |
| Price due to base-rate | 22.65 | 22.65 | 22.90 |
| Price due to short-term | -0.34 | -0.34 | -0.34 |
| Price due to long-term | 1.27 | 1.27 | 1.28 |
| Price to to Cumulative Dividends | 0 | 0 | 0 |
| Price due to Liquidity | 1.66 | 1.66 | 1.67 |
| Price due to error | -0.04 | -0.04 | -0.04 |
| Curve Price (Taxable Curve) | 25.20 | 25.20 | 25.47 |
| Dividend Rate | $1.1125 | $1.1125 | $1.125 |
| Quote 3/14 | 24.75-80 | 24.89-95 | 25.11-15 |
| YTW (after tax) | 3.58% | 3.57% | 3.60% |
| YTW Date | 2037-3-14 | 2037-3-14 | 2037-3-14 |
| Credit Rating (DBRS) | Pfd-1 | Pfd-1 | Pfd-1 |
| YTW (Pre-Tax) | 4.51% | 4.50% | 4.53% |
| YTW Modified Duration (Pre-Tax) | 16.42 | 16.40 | 16.29 |
| YTW Pseudo-Convexity (Pre-Tax) | -21.37 | -33.51 | -54.33 |
Observant readers will note that there have been large changes in the YTW Modified Duration and the YTW Pseudo-Convexity. This will be a common occurance when the issue’s price is near its inflection point, as shown on the following graphs:
More later.
Later, More: : I have uploaded some HIMIPref™ reports regarding RY.PR.F on its announcement date, to wit (note that all referenced yields are after-tax):
- pseudoPortfolioReportBox for RY.PR.F on its announcement date
- cashFlowDiscountingAnalysisBox for the 2037 maturity
- cashFlowDiscountingAnalysisBox for the 2016 maturity
The enormous effect on duration that a miniscule change in yields produces – the yield difference between the 2016 scenario and the 2037 scenario is less than 1 basis point – shows just why pseudo-convexity is so important! In valuation terms, uncertainties of this nature are discouraged by HIMIPref™ via the optionDoubtPenalty which keys off the optionDoubt attribute, which proxies pseudo-convexity fairly effectively.
I really need to write an article about this stuff.
[…] New issue settled today. Now with a pre-tax bid-YTW of 4.51% based on a bid of $24.75 and a limitMaturity. […]
[…] Recent new issue. Now with a pre-tax bid-YTW of 4.50% based on a bid of $24.76 and a limitMaturity. […]
[…] Recent new issue. Now with a pre-tax bid-YTW of 4.50% based on a bid of $24.78 and a limitMaturity […]
[…] Recent new issue. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.70 and a limitMaturity. […]