cancel
Showing results for 
Search instead for 
Did you mean: 
     
Participant ○○

Snapshot of trading in some large CEFs

Here is a snapshot of the trading in a few large CEFs on March 17. For each CEF, the % market return, the % NAV return, their difference, the premium (negative numbers indicate a discount), the market price, and NAV are shown. The returns will be wrong for any CEFs that went ex-dividend on 3/17. I can easily add CEFs upon request.

Why did PCI fall so hard yesterday?

      sym  mkt_ret  NAV_ret     diff  premium      mkt      NAV
    NRGX    -8.10    -6.06     -2.04   -23.27     4.88     6.36
     PCI    -5.16    -1.89     -3.27    -5.30    18.21    19.23
     PDI     1.72    -1.61      3.33    -0.60    23.07    23.21
     PFL    -2.01    -1.76     -0.25    -7.17     8.29     8.93
     PCM    -0.62    -1.13      0.51    -7.98     8.07     8.77
     PCN    -0.08    -1.20      1.12     4.21    12.88    12.36
     PFN     0.13    -1.46      1.60    -6.68     7.54     8.08
     PHK     3.00    -1.00      4.00     2.80     5.11     4.97
     PKO    -2.74    -1.71     -1.03    -5.56    19.53    20.68
     PTY    -3.30    -1.63     -1.67     9.29    13.17    12.05
     RCS     9.59     0.00      9.59    12.76     6.63     5.88
     DSL    -1.38    -2.72      1.34   -11.83    13.56    15.38
     DBL     1.60    -2.10      3.70    -6.12    18.42    19.62
     NEA     1.41    -0.87      2.28   -12.85    12.95    14.86
     NVG     2.33    -1.16      3.49   -12.72    14.07    16.12
     NZF    -1.16    -0.95     -0.21   -12.66    13.66    15.64
     NMZ    -0.69    -1.21      0.53   -10.98    11.59    13.02

The R code to get the data is

options(warn=-1)
sink(file("NUL", open = "wt"),type="message")
library("quantmod")
sink()
getQuote("NRGX;XNRGX;PCI;XPCIX;PDI;XPDIX;PFL;XPFLX;PCM;XPCMX;PCN;XPCNX;PFN;XPFNX;PHK;XPHKX;PKO;XPKOX;PTY;XPTYX;RCS;XRCSX;DSL;XDSLX;DBL;XDBLX;NEA;XNEAX;NVG;XNVGX;NZF;XNZFX;NMZ;XNMZX")

The Python 3 code to process it is 

# 03/18/2020 08:20 AM computes and prints premium
# process a file with lines such as these, produced by rterm < xget_quotes_pimco_cefs.r
# Trade Time  Last     Change   % Change  Open    High   Low
# PCI   2020-03-12 16:02:11 19.41 -2.7399998 -12.370203 20.46 20.5000 18.10
# XPCIX 2020-03-12 20:00:29 20.53 -0.8700000  -4.065420    NA      NA    NA
# PDI   2020-03-12 16:02:00 23.91 -3.2800007 -12.063261 21.10 25.6800 21.00
# XPDIX 2020-03-12 20:01:27 24.53 -0.8700000  -3.425197    NA      NA    NA
from sys import argv
infile = argv[1]
# infile = "cef_mkt_nav_quotes.txt"
fp = open(infile,"r")
iline = 0
COL_PCT   = 5
COL_CLOSE = 3
PRINT_NAV_SYM = False
fp.readline()
fmt_sym = "%8s"
print("".join("%9s"%_ for _ in ["sym","mkt_ret","NAV_ret","diff","premium","mkt","NAV"]))
fmt_r=" %8.2f"
for line in fp:
    if ("Volume" in line):
        break
    text = line.strip()
    words = text.split()
    xret = float(words[COL_PCT])
    last = float(words[COL_CLOSE])
    num_str = "%8s"%'{0:.2f}'.format(xret)
    if (iline%2 == 0):
        print(fmt_sym%words[0],num_str,end=" ")
        close_last = last
        mkt_ret    = xret
    else:
        nav_last = last
        nav_ret  = xret
        diff_ret = mkt_ret - nav_ret
        if PRINT_NAV_SYM:
            print(fmt_sym%words[0],num_str,end=" ")
        else:
            print(num_str,end=" ")
        prem = (100*(close_last-nav_last)/nav_last)
        print("".join(fmt_r%_ for _ in [diff_ret,prem,close_last,nav_last]))
    iline = iline + 1

The Windows cmd batch script combining the two programs is

set tmpf=temp_cef_mkt_nav_quotes.txt
call rterm < xget_quotes_cefs.r > %tmpf%
python xarrange_cef_mkt_nav_quotes.py %tmpf%

 

56 Replies
Highlighted
Contributor ○

Re: Snapshot of trading in some large CEFs

Thanks for that; adding the code was a good thought!

"Why did PCI fall so hard yesterday?"

A good question, especially with PDI being positive for the day.  I can see where swapping of PCI for PDI might account for SOME of that (Did a little myself; similar discount now), but still...

0 Kudos
Highlighted
Explorer ○○○

Re: Snapshot of trading in some large CEFs

I agree with Racq on the flip to PDI, after all it's been several years since it's been at a discount.  The other BIG factor in my mind is there have been so many new retirees out there searching for income and an enormous number of articles promoting PCI (particularly since it's been at a discount or low premium) on SA.  Many don't understand cefs/leverage, any of that they just like the distribution.  I still read many comments from holders about the "dividend".  They're scared and getting out - IMHO.

Highlighted
Participant ○○

Re: Snapshot of trading in some large CEFs

At yesterday's close PCI and PDI traded at the same effective distribution yield. In effect the different directions on the market price moves were adjusting for a disparity (as measured by effective yield) from the day before.

0 Kudos
Highlighted
Participant ○○

Re: Snapshot of trading in some large CEFs

More big losses. The market prices were as of 10:54 AM EST. The NAV returns are yesterday's, and the premiums are based on current market prices and yesterday's NAV. PCI bludgeoned again.

      sym  mkt_ret  NAV_ret  premium      mkt      NAV
    NRGX   -15.16    -6.06    -34.91     4.14     6.36
     PCI   -10.98    -1.89    -15.70    16.21    19.23
     PDI    -8.89    -1.61     -9.44    21.02    23.21
     PFL   -11.10    -1.76    -17.47     7.37     8.93
     PCM    -8.67    -1.13    -15.96     7.37     8.77
     PCN   -11.72    -1.20     -8.01    11.37    12.36
     PFN   -10.74    -1.46    -16.71     6.73     8.08
     PHK   -12.51    -1.00    -10.06     4.47     4.97
     PKO   -11.58    -1.71    -15.26    17.52    20.68
     PTY   -10.78    -1.63     -2.49    11.75    12.05
     RCS    -8.75     0.00      2.89     6.05     5.88
     DSL   -10.62    -2.72    -21.20    12.12    15.38
     DBL    -3.91    -2.10     -9.79    17.70    19.62
     NEA    -4.13    -0.87    -16.45    12.41    14.86
     NVG    -4.55    -1.16    -16.69    13.43    16.12
     NZF    -4.47    -0.95    -16.56    13.05    15.64
     NMZ    -7.34    -1.21    -17.52    10.74    13.02

 

Highlighted
Participant ○○

Re: Snapshot of trading in some large CEFs

As of 2:04 PM. My goodness.

      sym  mkt_ret  NAV_ret  premium      mkt      NAV
    NRGX   -15.19    -6.06    -34.92     4.14     6.36
     PCI   -21.09    -1.89    -25.27    14.37    19.23
     PDI   -19.33    -1.61    -19.82    18.61    23.21
     PFL   -22.32    -1.76    -27.88     6.44     8.93
     PCM   -21.39    -1.13    -27.66     6.34     8.77
     PCN   -21.97    -1.20    -18.69    10.05    12.36
     PFN   -20.04    -1.46    -25.38     6.03     8.08
     PHK   -24.30    -1.00    -22.18     3.87     4.97
     PKO   -22.30    -1.71    -25.53    15.40    20.68
     PTY   -17.54    -1.63     -9.88    10.86    12.05
     RCS   -10.50     0.00      0.91     5.93     5.88
     DSL   -21.02    -2.72    -30.36    10.71    15.38
     DBL   -11.29    -2.10    -16.72    16.34    19.62
     NEA   -15.06    -0.87    -25.98    11.00    14.86
     NVG   -16.42    -1.16    -27.05    11.76    16.12
     NZF   -14.86    -0.95    -25.64    11.63    15.64
     NMZ   -18.03    -1.21    -27.03     9.50    13.02
Highlighted
Participant ○○

Re: Snapshot of trading in some large CEFs

Beliavsky,

Remember back when you posted about PCI serving as an annuity. I cautioned you about volatility. It's not just price but NAV and dividend cuts to consider. I still own the same CEFs.

0 Kudos
Highlighted
Participant ○○

Re: Snapshot of trading in some large CEFs

Closing market prices, yesterday's (3/17) NAVs. I can add requested CEFs.

      sym  mkt_ret  NAV_ret  premium      mkt      NAV
    NRGX   -15.98    -6.06    -35.53     4.10     6.36
     PCI   -19.24    -1.89    -23.52    14.71    19.23
     PDI   -15.56    -1.61    -16.07    19.48    23.21
     PFL   -23.68    -1.76    -29.15     6.33     8.93
     PCM   -19.58    -1.13    -26.00     6.49     8.77
     PCN   -22.52    -1.20    -19.26     9.98    12.36
     PFN   -22.15    -1.46    -27.35     5.87     8.08
     PHK   -20.53    -1.00    -18.31     4.06     4.97
     PKO   -25.98    -1.71    -29.06    14.67    20.68
     PTY   -20.73    -1.63    -13.36    10.44    12.05
     RCS    -8.60     0.00      3.06     6.06     5.88
     DSL   -22.64    -2.72    -31.79    10.49    15.38
     DBL   -16.40    -2.10    -21.51    15.40    19.62
     NEA   -13.28    -0.87    -24.43    11.23    14.86
     NVG   -10.38     0.12    -21.87    12.61    16.14
     NZF   -14.35    -0.95    -25.19    11.70    15.64
     NMZ   -13.63     0.23    -23.30    10.01    13.05

 

Highlighted
Participant ○

Re: Snapshot of trading in some large CEFs

Are you saying that PTY, which has had a premium of 20% or more is now at a discount?

0 Kudos
Highlighted
Participant ○○

Re: Snapshot of trading in some large CEFs


@astrokng wrote:

Are you saying that PTY, which has had a premium of 20% or more is now at a discount?


It did close at a discount relative to yesterday's NAV. I wonder what today's NAV changes, to be released this evening, will be.

Highlighted
Contributor ○○○

Re: Snapshot of trading in some large CEFs

I calculate PCI closing today at a 24% discount to NAV ($14.70 close, $19.23 NAV) on 4.5 million volume, 2X normal 2.24 million.  It will be interesting to see what the NAV does tomorrow.  If much lower, that indicates, I believe, de-leveraging.  I'm not sure what bonds, in general, did today, however!

If PCI continues to pay it's regular $2.09 distribution, and I see no reason to cut it, unless deleveraging is going on, then PCI is currently yielding 14.2%.  How's THAT for 'reaching for yield?"  8-))

0 Kudos
Highlighted
Participant ○○

Re: Snapshot of trading in some large CEFs

Using 3/18 closing prices and NAVs:

      sym  mkt_ret  NAV_ret  premium      mkt      NAV
    NRGX   -25.20    -6.06    -42.61     3.65     6.36
     PCI   -19.28    -1.89    -23.56    14.70    19.23
     PDI   -15.56    -1.61    -16.07    19.48    23.21
     PFL   -23.68    -1.76    -29.15     6.33     8.93
     PCM   -19.58    -1.13    -26.00     6.49     8.77
     PCN   -22.52    -1.20    -19.26     9.98    12.36
     PFN   -22.15    -1.46    -27.35     5.87     8.08
     PHK   -20.53    -1.00    -18.31     4.06     4.97
     PKO   -25.98    -1.71    -29.06    14.67    20.68
     PTY   -20.73    -1.63    -13.36    10.44    12.05
     RCS    -8.60     0.00      3.06     6.06     5.88
     DSL   -22.64    -2.72    -31.79    10.49    15.38
     DBL   -16.40    -2.10    -21.51    15.40    19.62
     NEA   -13.28    -0.87    -24.43    11.23    14.86
     NVG   -10.38     0.12    -21.87    12.61    16.14
     NZF   -14.35    -0.95    -25.19    11.70    15.64
     NMZ   -13.63     0.23    -23.30    10.01    13.05
Highlighted
Valued Contributor

Re: Snapshot of trading in some large CEFs

@Beliavsky , you may include NAD that is a cousin of NEA on your list [AMT vs non-AMT].

YBB
0 Kudos
Highlighted
Participant ○○○

Re: Snapshot of trading in some large CEFs

are you sure about those NAV's?  They look stale to me in some cases

0 Kudos
Highlighted
Participant ○○○

Re: Snapshot of trading in some large CEFs

i think it takes a lot longer to mark holdings accurately now, so I'd be circumspect of NAV without checking at the source.  

my data feeds are running slow too

0 Kudos
Highlighted
Valued Contributor

Re: Snapshot of trading in some large CEFs

@Beliavsky , please update later as data sources update. Thanks.

YBB
0 Kudos
Highlighted
Participant ○○○

Re: Snapshot of trading in some large CEFs

If I wanted a crude intraday estimator of PCI NAV I would do this

take last nights NAV and adjust by the average daily move for today of HYG & EMB

also adjust if there were any divs that went ex, by removing from the estimated NAV

then you could guesstimate what the real intraday premium/discount would be

My guess is that NAV is off a bit like 1.30ish or so.

 

0 Kudos
Highlighted
Valued Contributor

Re: Snapshot of trading in some large CEFs

It seems that Pimco CEF NAVs have been reported for today,   https://finance.yahoo.com/quotes/PCI,XPCIX,PDI,XPDIX,PKO,XPKOX/view/v1

YBB
Highlighted
Participant ○○

Re: Snapshot of trading in some large CEFs

Added NAD and columns showing the times of the market prices and NAV:

      sym  mkt_ret  NAV_ret     diff  premium      mkt      NAV    mkt_time    nav_time
    NRGX   -25.20   -10.69    -14.51   -35.74     3.65     5.68 03-18@16:10 03-18@19:05
     PCI   -19.28    -4.42    -14.85   -20.02    14.70    18.38 03-18@16:02 03-18@19:29
     PDI   -15.56    -4.52    -11.04   -12.09    19.48    22.16 03-18@16:02 03-18@18:52
     PFL   -23.68    -4.37    -19.31   -25.91     6.33     8.54 03-18@15:59 03-18@18:58
     PCM   -19.58    -3.53    -16.04   -23.29     6.49     8.46 03-18@15:59 03-18@19:23
     PCN   -22.52    -3.48    -19.04   -16.35     9.98    11.93 03-18@16:02 03-18@19:13
     PFN   -22.15    -3.96    -18.19   -24.36     5.87     7.76 03-18@16:02 03-18@18:58
     PHK   -20.53    -3.02    -17.51   -15.77     4.06     4.82 03-18@16:02 03-18@18:58
     PKO   -25.98    -4.59    -21.39   -25.65    14.67    19.73 03-18@16:01 03-18@18:52
     PTY   -20.73    -4.81    -15.92    -8.98    10.44    11.47 03-18@16:02 03-18@19:13
     RCS    -8.60    -4.25     -4.35     7.64     6.06     5.63 03-18@16:02 03-18@19:23
     DSL   -22.64    -2.72    -19.92   -31.79    10.49    15.38 03-18@16:02 03-18@18:45
     DBL   -16.40    -1.94    -14.46   -19.96    15.40    19.24 03-18@15:59 03-18@19:21
     NEA   -13.28    -1.75    -11.53   -23.08    11.23    14.60 03-18@16:02 03-18@18:45
     NAD   -14.42    -1.86    -12.56   -23.38    11.34    14.80 03-18@16:02 03-18@18:45
     NVG   -10.38    -2.11     -8.27   -20.09    12.61    15.78 03-18@16:02 03-18@18:45
     NZF   -14.35    -2.81    -11.54   -23.03    11.70    15.20 03-18@16:02 03-18@18:45
     NMZ   -13.63    -3.23    -10.41   -20.56    10.01    12.60 03-18@16:02 03-18@18:45

 

Updated Python code:

# process a file with lines such as these
# Trade Time  Last     Change   % Change  Open    High   Low
# PCI   2020-03-12 16:02:11 19.41 -2.7399998 -12.370203 20.46 20.5000 18.10
# XPCIX 2020-03-12 20:00:29 20.53 -0.8700000  -4.065420    NA      NA    NA
# PDI   2020-03-12 16:02:00 23.91 -3.2800007 -12.063261 21.10 25.6800 21.00
# XPDIX 2020-03-12 20:01:27 24.53 -0.8700000  -3.425197    NA      NA    NA
from sys import argv
infile = argv[1]
# infile = "cef_mkt_nav_quotes.txt"
fp = open(infile,"r")
iline = 0
COL_PCT   = 5
COL_CLOSE = 3
PRINT_NAV_SYM = False
fp.readline()
fmt_sym = "%8s"
intraday = False
if intraday:
    print("".join("%9s"%_ for _ in ["sym","mkt_ret","NAV_ret","premium","mkt","NAV"]),end="")
else:
    print("".join("%9s"%_ for _ in ["sym","mkt_ret","NAV_ret","diff","premium","mkt","NAV"]),end="")
print("".join("%12s"%_ for _ in ["mkt_time","nav_time"]))
fmt_r=" %8.2f"
for line in fp:
    if ("Volume" in line):
        break
    text = line.strip()
    words = text.split()
    xret = float(words[COL_PCT])
    last = float(words[COL_CLOSE])
    num_str = "%8s"%'{0:.2f}'.format(xret)
    date_str   = words[1][5:] # trim the year at the beginnning
    time_str   = words[2][:-3]
    quote_time = date_str + "@" + time_str
    if (iline%2 == 0):
        print(fmt_sym%words[0],num_str,end=" ")
        close_last = last
        mkt_ret    = xret
        mkt_time   = quote_time
    else:
        nav_last = last
        nav_ret  = xret
        nav_time = quote_time
        diff_ret = mkt_ret - nav_ret
        if PRINT_NAV_SYM:
            print(fmt_sym%words[0],num_str,end=" ")
        else:
            print(num_str,end=" ")
        prem = (100*(close_last-nav_last)/nav_last)
        if intraday:
            print("".join(fmt_r%_ for _ in [prem,close_last,nav_last]),end=" ")
        else:
            print("".join(fmt_r%_ for _ in [diff_ret,prem,close_last,nav_last]),end=" ")
        print(mkt_time,nav_time)
    iline = iline + 1
Highlighted
Participant ○○

Re: Snapshot of trading in some large CEFs

Most CEFs down big again as of 9:40 AM

      sym  mkt_ret  NAV_ret     diff  premium      mkt      NAV    mkt_time    nav_time
    NRGX     4.93   -10.69     15.62   -32.57     3.83     5.68 03-19@09:39 03-18@20:01
     PCI    -6.39    -4.42     -1.97   -25.14    13.76    18.38 03-19@09:40 03-18@20:00
     PDI   -11.43    -4.52     -6.91   -22.14    17.25    22.16 03-19@09:40 03-18@20:01
     PFL    -2.80    -4.37      1.57   -27.99     6.15     8.54 03-19@09:40 03-18@20:00
     PCM    -9.09    -3.53     -5.55   -30.26     5.90     8.46 03-19@09:40 03-18@20:00
     PCN    -7.91    -3.48     -4.44   -22.97     9.19    11.93 03-19@09:40 03-18@20:00
     PFN    -1.19    -3.96      2.77   -25.26     5.80     7.76 03-19@09:39 03-18@20:00
     PHK   -12.56    -3.02     -9.54   -26.35     3.55     4.82 03-19@09:40 03-18@20:00
     PKO    -3.20    -4.59      1.39   -28.03    14.20    19.73 03-19@09:40 03-18@20:01
     PTY    -8.43    -4.81     -3.62   -16.65     9.56    11.47 03-19@09:40 03-18@20:00
     RCS    -4.75    -4.25     -0.50     2.53     5.77     5.63 03-19@09:40 03-18@20:00
     DSL     2.38    -2.72      5.10   -30.17    10.74    15.38 03-19@09:40 03-18@20:00
     DBL     2.52    -1.94      4.46   -17.94    15.79    19.24 03-19@09:39 03-18@20:00
     NEA    -5.61    -1.75     -3.86   -27.40    10.60    14.60 03-19@09:40 03-18@20:00
     NAD    -4.06    -1.86     -2.20   -26.49    10.88    14.80 03-19@09:40 03-18@20:00
     NVG    -2.58    -2.11     -0.47   -22.15    12.29    15.78 03-19@09:40 03-18@20:00
     NZF    -2.99    -2.81     -0.18   -25.33    11.35    15.20 03-19@09:38 03-18@20:00
     NMZ    -5.99    -3.23     -2.77   -25.32     9.41    12.60 03-19@09:40 03-18@20:00
Announcements

Morningstar is here to help you respond to the Coronavirus crisis.