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Re: Snapshot of trading in some large CEFs

One more please.

LDP - Combination of Bonds and Convertible and Preferred Equities. 

I would like to see how it blends in with this matrix. 

Thanks again. 

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Re: Snapshot of trading in some large CEFs

@astrokng wrote:

One more please.

LDP - Combination of Bonds and Convertible and Preferred Equities. 

I would like to see how it blends in with this matrix. 


Added LDP:

      sym  mkt_ret  NAV_ret     diff  premium      mkt      NAV    mkt_time    nav_time
    NRGX     9.89     2.03      7.85   -20.73     4.78     6.03 03-24@16:02 03-24@20:01
     PCI    11.20    -0.38     11.58     0.76    15.88    15.76 03-24@16:02 03-24@20:00
     PDI     8.74     0.10      8.63    -0.16    19.29    19.32 03-24@16:02 03-24@20:01
     PFL     4.25     0.63      3.62    -4.99     7.61     8.01 03-24@16:02 03-24@20:00
     PCM    10.90    -3.42     14.32    -1.84     6.92     7.05 03-24@15:59 03-24@20:00
     PCN     9.91     0.45      9.46     4.25    11.53    11.06 03-24@16:02 03-24@20:00
     PFN     0.67     0.55      0.11    45.25    10.56     7.27 06-19@16:04 03-24@20:00
     PHK    15.00     0.44     14.56     1.55     4.60     4.53 03-24@16:02 03-24@20:00
     PKO     7.78     0.33      7.45   -26.97    18.01    24.66 03-24@16:02 06-19@20:01
     PTY    10.82     0.28     10.54     9.05    11.57    10.61 03-24@16:02 03-24@20:00
     RCS     9.06    -0.37      9.43     5.79     5.66     5.35 03-24@16:02 03-24@20:00
     DSL     3.84    -1.26      5.10    -7.55    11.63    12.58 03-24@16:02 03-24@20:00
     DBL     0.48    -2.20      2.68    19.47    20.74    17.36 06-19@16:02 03-24@20:00
     NEA     3.29     1.72      1.57   -12.09    11.93    13.57 03-24@16:02 03-24@20:00
     NAD     2.30     1.63      0.67   -12.65    12.01    13.75 03-24@16:02 03-24@20:00
     NVG     1.71     1.69      0.02   -11.89    12.74    14.46 03-24@16:02 03-24@20:00
     NZF     3.66     1.17      2.49   -11.75    12.17    13.79 03-24@15:59 03-24@20:00
     NMZ     3.67     1.59      2.08    -6.61    10.73    11.49 03-24@16:02 03-24@20:00
     HPI    15.82    15.56      0.26    -0.86    12.74    12.85 03-24@16:02 03-24@20:00
     JPS    15.24     4.16     11.08    -8.28     6.20     6.76 03-24@16:02 03-24@20:00
     RNP     6.15     8.42     -2.27   -13.90    13.63    15.83 03-24@16:02 03-24@20:00
     DFP    11.33     7.99      3.34    -6.48    16.31    17.44 03-24@15:59 03-24@20:00
     FPF    18.35     3.55     14.80    -4.78    15.54    16.32 03-24@16:02 03-24@20:01
     JPI    12.09     4.34      7.75    -3.86    15.95    16.59 03-24@16:00 03-24@20:01
     LDP     9.69     3.12      6.57    -0.34    17.77    17.83 03-24@16:02 03-24@20:01
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Re: Snapshot of trading in some large CEFs

From the documents received from LDP. Realize this is from February, which is before the crash. But hopeful that they can continue to find funds to meet their dividend.

Capture LDP.PNG

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Re: Snapshot of trading in some large CEFs

Big move in PFF today, and big outperformance of PDI over PCI.

     % Change          Trade Time
SPY      1.76 2020-03-25 12:11:01
HYG      2.67 2020-03-25 12:11:01
PFF      8.80 2020-03-25 12:11:01
LQD      2.13 2020-03-25 12:10:54
MUB      3.16 2020-03-25 12:10:58
VTEB     3.12 2020-03-25 12:09:21
TLT      1.44 2020-03-25 12:11:0
      sym  mkt_ret  NAV_ret  premium      mkt      NAV    mkt_time    nav_time
    NRGX     7.88     2.03    -14.48     5.16     6.03 03-25@12:09 03-24@20:01
     PCI     0.63    -0.38      1.40    15.98    15.76 03-25@12:10 03-24@20:00
     PDI     8.61     0.10      8.44    20.95    19.32 03-25@12:10 03-24@20:01
     PFL     5.12     0.63     -0.12     8.00     8.01 03-25@12:09 03-24@20:00
     PCM     8.12    -3.42      6.12     7.48     7.05 03-25@11:57 03-24@20:00
     PCN     8.52     0.45     13.13    12.51    11.06 03-25@12:09 03-24@20:00
     PFN     5.43     0.55      0.21     7.29     7.27 03-25@12:10 03-24@20:00
     PHK     9.77     0.44     11.47     5.05     4.53 03-25@12:10 03-24@20:00
     PKO     3.97     0.71      2.21    18.73    18.32 03-25@12:01 03-24@20:01
     PTY    10.33     0.28     20.31    12.77    10.61 03-25@12:10 03-24@20:00
     RCS     8.13    -0.37     14.39     6.12     5.35 03-25@12:11 03-24@20:00
     DSL     3.35    -1.26     -4.45    12.02    12.58 03-25@12:11 03-24@20:00
     DBL    -3.95    -2.20     -0.46    17.28    17.36 03-25@12:07 03-24@20:00
     NEA     5.91     1.72     -6.89    12.63    13.57 03-25@12:10 03-24@20:00
     NAD     5.75     1.63     -7.64    12.70    13.75 03-25@12:10 03-24@20:00
     NVG     7.70     1.69     -5.11    13.72    14.46 03-25@12:10 03-24@20:00
     NZF     9.34     1.17     -3.18    13.35    13.79 03-25@12:10 03-24@20:00
     NMZ     8.85     1.59      1.65    11.68    11.49 03-25@12:08 03-24@20:00
     HPI    18.53    15.56     17.52    15.10    12.85 03-25@12:08 03-24@20:00
     JPS    16.61     4.16      6.95     7.23     6.76 03-25@12:10 03-24@20:00
     RNP    10.38     8.42     -4.96    15.04    15.83 03-25@12:08 03-24@20:00
     DFP    13.30     7.99      5.96    18.48    17.44 03-25@12:09 03-24@20:00
     FPF     6.02     3.55      0.95    16.48    16.32 03-25@12:10 03-24@20:01
     LDP     5.73     3.12      5.37    18.79    17.83 03-25@12:09 03-24@20:01
     PDT    17.91    17.53     13.84    10.53     9.25 03-25@12:10 03-24@20:00
     HPF    17.66    15.53     13.75    14.39    12.65 03-25@11:58 03-24@20:00
     HPS    18.64    15.81     16.22    13.11    11.28 03-25@12:09 03-24@20:00
     FFC    14.39     7.46     19.07    16.30    13.69 03-25@12:10 03-24@20:00
     FLC    11.43     7.01      6.82    15.50    14.51 03-25@12:10 03-24@20:00
     PFD    18.91     7.33     23.71    11.95     9.66 03-25@12:05 03-24@20:00
     PFO    14.88     7.23     18.03     9.45     8.01 03-25@12:09 03-24@20:00
     JPI     8.23     4.34      4.05    17.26    16.59 03-25@12:09 03-24@20:01
     JPC    16.64     5.63      5.63     6.94     6.57 03-25@12:10 03-24@20:00
     JPT    10.71     3.11      3.07    18.82    18.26 03-25@12:01 03-24@20:01
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Re: Snapshot of trading in some large CEFs

Market prices and NAVs as of 3/25

     % Change          Trade Time
SPY     1.497 2020-03-25 16:00:01
HYG     2.813 2020-03-25 16:00:00
PFF     7.352 2020-03-25 16:00:01
LQD     4.787 2020-03-25 16:00:00
MUB     4.384 2020-03-25 16:00:00
VTEB    4.707 2020-03-25 16:00:00
TLT    -0.227 2020-03-25 16:00:01
      sym  mkt_ret  NAV_ret  premium      mkt      NAV    mkt_time    nav_time
    NRGX    10.04     4.31    -16.38     5.26     6.29 03-25@16:02 03-25@19:05
     PCI     1.83    -1.52      4.19    16.17    15.52 03-25@16:02 03-25@19:05
     PDI    10.16    -0.26     10.28    21.25    19.27 03-25@16:02 03-25@18:46
     PFL     7.36     1.75      0.25     8.17     8.15 03-25@16:02 03-25@18:45
     PCM    11.27    -1.28     10.63     7.70     6.96 03-25@15:59 03-25@18:50
     PCN    11.10     0.45     15.82    12.81    11.06 03-25@16:02 03-25@18:45
     PFN     6.08     1.65     -0.81     7.33     7.39 03-25@16:02 03-25@18:45
     PHK     7.61     0.44      9.27     4.95     4.53 03-25@16:02 03-25@18:45
     PKO     4.33     0.76      1.79    18.79    18.46 03-25@16:02 03-25@18:46
     PTY     9.68     0.28     19.60    12.69    10.61 03-25@16:02 03-25@18:45
     RCS    12.69    -0.75     20.11     6.38     5.31 03-25@15:59 03-25@18:50
     DSL     5.33    -1.26     -2.62    12.25    12.58 03-25@16:02 03-25@18:45
     DBL    -3.89    -2.20     -0.40    17.29    17.36 03-25@15:59 03-25@18:45
     NEA     8.13     6.41    -10.66    12.90    14.44 03-25@16:02 03-25@18:51
     NAD     7.74     6.62    -11.73    12.94    14.66 03-25@16:02 03-25@18:51
     NVG     8.08     6.71    -10.76    13.77    15.43 03-25@16:02 03-25@18:51
     NZF     8.76     7.32    -10.27    13.28    14.80 03-25@16:02 03-25@18:51
     NMZ     8.76     6.18     -4.34    11.67    12.20 03-25@16:02 03-25@18:51
     HPI    19.94    10.74      7.38    15.28    14.23 03-25@15:59 03-25@18:45
     JPS     7.26     6.07     -7.25     6.65     7.17 03-25@16:02 03-25@18:51
     RNP     4.92     7.33    -15.83    14.30    16.99 03-25@15:59 03-25@18:45
     DFP    14.16    10.61     -3.47    18.62    19.29 03-25@15:59 03-25@18:45
     FPF    11.45     6.56     -0.40    17.32    17.39 03-25@16:02 03-25@18:46
     LDP     8.44     5.95      2.01    19.27    18.89 03-25@16:02 03-25@18:46
     PDT    22.62    10.05      7.56    10.95    10.18 03-25@16:02 03-25@18:45
     HPF    19.38    10.59      4.36    14.60    13.99 03-25@15:59 03-25@18:45
     HPS    17.38    10.82      3.76    12.97    12.50 03-25@16:02 03-25@18:45
     FFC    12.42     9.93      6.45    16.02    15.05 03-25@16:02 03-25@18:45
     FLC    14.59     9.58      0.25    15.94    15.90 03-25@15:59 03-25@18:45
     PFD    14.43     9.73      8.49    11.50    10.60 03-25@16:02 03-25@18:45
     PFO    14.34     9.74      7.05     9.41     8.79 03-25@15:59 03-25@18:45
     JPI     8.21     5.36     -1.26    17.26    17.48 03-25@15:54 03-25@18:51
     JPC    11.09     6.39     -5.44     6.61     6.99 03-25@16:02 03-25@18:51
     JPT    12.94     3.23      1.86    19.20    18.85 03-25@15:59 03-25@18:51
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Re: Snapshot of trading in some large CEFs

It's interesting that many CEFs are selling at large premia even though VIX, although down, is still close to 60.

    % Change          Trade Time
SPY     2.64 2020-03-26 10:02:54
HYG     2.49 2020-03-26 10:02:53
PFF     5.17 2020-03-26 10:02:45
LQD     0.04 2020-03-26 10:02:48
MUB     1.75 2020-03-26 10:02:50
TLT     0.11 2020-03-26 10:02:54
      sym  mkt_ret  NAV_ret  premium      mkt      NAV    mkt_time    nav_time
    NRGX     1.29     4.31    -15.29     5.33     6.29 03-26@09:59 03-25@20:01
     PCI    -1.67    -1.14      2.05    15.90    15.58 03-26@10:02 03-25@20:00
     PDI     2.35    -0.16     12.75    21.75    19.29 03-26@10:02 03-25@20:01
     PFL     2.20     1.75      2.45     8.35     8.15 03-26@10:02 03-25@20:00
     PCM    -4.35    -1.13      5.67     7.37     6.97 03-26@09:58 03-25@20:00
     PCN     4.14     0.72     19.75    13.34    11.14 03-26@10:02 03-25@20:00
     PFN     2.59     1.65      1.76     7.52     7.39 03-26@10:01 03-25@20:00
     PHK     2.02     0.66     10.75     5.05     4.56 03-26@10:02 03-25@20:00
     PKO     3.08     0.87      4.81    19.37    18.48 03-26@10:01 03-25@20:01
     PTY     6.93     1.41     26.12    13.57    10.76 03-26@10:02 03-25@20:00
     RCS    -1.69    -0.56     17.86     6.27     5.32 03-26@10:01 03-25@20:00
     DSL     3.14    -0.64      1.08    12.63    12.50 03-26@10:02 03-25@20:00
     DBL    -1.45    -2.53      0.71    17.04    16.92 03-26@10:02 03-25@20:00
     NEA     3.41     6.41     -7.62    13.34    14.44 03-26@10:01 03-25@20:00
     NAD     3.63     6.62     -8.53    13.41    14.66 03-26@10:01 03-25@20:00
     NVG     4.43     6.71     -6.80    14.38    15.43 03-26@10:02 03-25@20:00
     NZF     4.22     7.32     -6.49    13.84    14.80 03-26@10:02 03-25@20:00
     NMZ     4.67     6.18      0.12    12.21    12.20 03-26@10:02 03-25@20:00
     HPI     4.47    10.74     12.18    15.96    14.23 03-26@10:02 03-25@20:00
     JPS     4.59     6.07     -3.00     6.96     7.17 03-26@10:02 03-25@20:00
     RNP     6.96     7.33     -9.98    15.29    16.99 03-26@10:02 03-25@20:00
     DFP     8.81    10.61      5.03    20.26    19.29 03-26@10:02 03-25@20:00
     FPF     3.71     6.56      3.29    17.96    17.39 03-26@10:02 03-25@20:01
     LDP     2.71     5.95      4.78    19.79    18.89 03-26@10:02 03-25@20:01
     PDT     5.53    10.05     13.51    11.55    10.18 03-26@09:59 03-25@20:00
     HPF     5.17    10.59      9.76    15.36    13.99 03-26@09:59 03-25@20:00
     HPS     3.16    10.82      7.04    13.38    12.50 03-26@09:58 03-25@20:00
     FFC     6.05     9.93     12.89    16.99    15.05 03-26@10:02 03-25@20:00
     FLC     5.64     9.58      5.90    16.84    15.90 03-26@10:02 03-25@20:00
     PFD     4.78     9.73     13.68    12.05    10.60 03-26@09:46 03-25@20:00
     PFO     7.23     9.74     14.79    10.09     8.79 03-26@10:01 03-25@20:00
     JPI     3.13     5.36      1.83    17.80    17.48 03-26@09:59 03-25@20:01
     JPC     3.93     6.39     -1.72     6.87     6.99 03-26@10:01 03-25@20:00
     JPT     0.00     3.23      1.86    19.20    18.85 03-26@09:57 03-25@20:01
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Re: Snapshot of trading in some large CEFs

Market prices and NAVs as of 3/26.

    % Change          Trade Time
SPY     5.84 2020-03-26 16:00:02
HYG     4.57 2020-03-26 16:00:00
PFF     6.62 2020-03-26 16:00:01
LQD     0.08 2020-03-26 16:00:00
MUB     3.43 2020-03-26 16:00:00
TLT     0.49 2020-03-26 16:00:02
      sym  mkt_ret  NAV_ret  premium      mkt      NAV    mkt_time    nav_time
    NRGX     3.23     3.02    -16.20     5.43     6.48 03-26@16:02 03-26@18:47
     PCI     0.12     2.63      1.25    16.19    15.99 03-26@16:02 03-26@18:47
     PDI     8.66    -0.16     19.70    23.09    19.29 03-26@15:59 03-26@18:46
     PFL     4.53     2.09      2.64     8.54     8.32 03-26@16:02 03-26@18:45
     PCM    -4.81    -1.13      5.16     7.33     6.97 03-26@15:59 03-26@18:45
     PCN     9.60     1.62     24.03    14.04    11.32 03-26@16:02 03-26@18:45
     PFN     3.55     2.03      0.66     7.59     7.54 03-26@16:02 03-26@18:45
     PHK     5.25     0.66     14.25     5.21     4.56 03-26@16:02 03-26@18:45
     PKO     5.06     2.49      4.22    19.74    18.94 03-26@16:02 03-26@18:46
     PTY    10.09     1.77     27.58    13.97    10.95 03-26@15:59 03-26@18:47
     RCS    -3.89    -0.56     15.23     6.13     5.32 03-26@16:02 03-26@18:45
     DSL     6.20    -0.64      4.08    13.01    12.50 03-26@16:02 03-26@18:45
     DBL    -2.37    -2.53     -0.24    16.88    16.92 03-26@15:59 03-26@18:45
     NEA     4.96     4.36    -10.15    13.54    15.07 03-26@16:02 03-26@18:45
     NAD     5.64     4.57    -10.83    13.67    15.33 03-26@16:02 03-26@18:45
     NVG     5.37     4.67    -10.15    14.51    16.15 03-26@16:02 03-26@18:45
     NZF     5.35     5.00     -9.97    13.99    15.54 03-26@16:02 03-26@18:45
     NMZ     6.86     4.43     -2.12    12.47    12.74 03-26@16:02 03-26@18:45
     HPI    11.58     8.57     10.36    17.05    15.45 03-26@16:02 03-26@18:46
     JPS     2.26     5.30     -9.93     6.80     7.55 03-26@16:02 03-26@18:45
     RNP    12.38     8.00    -12.43    16.07    18.35 03-26@16:02 03-26@18:45
     DFP    11.28     4.98      2.32    20.72    20.25 03-26@16:02 03-26@18:45
     FPF     0.75     5.75     -5.11    17.45    18.39 03-26@16:02 03-26@18:46
     LDP     8.46     6.30      4.08    20.90    20.08 03-26@16:02 03-26@18:46
     PDT    12.42    10.12      9.81    12.31    11.21 03-26@16:02 03-26@18:46
     HPF    11.30     8.51      7.05    16.25    15.18 03-26@16:02 03-26@18:46
     HPS    10.49     8.56      5.60    14.33    13.57 03-26@16:02 03-26@18:46
     FFC     8.55     5.45      9.58    17.39    15.87 03-26@16:02 03-26@18:45
     FLC    10.10     5.79      4.34    17.55    16.82 03-26@16:02 03-26@18:45
     PFD     7.74     5.47     10.82    12.39    11.18 03-26@16:02 03-26@18:45
     PFO    11.26     5.57     12.82    10.47     9.28 03-26@15:59 03-26@18:45
     JPI     3.62     6.81     -4.20    17.89    18.67 03-26@15:59 03-26@18:46
     JPC     2.57     6.72     -9.12     6.78     7.46 03-26@16:02 03-26@18:45
     JPT    -1.56     4.88     -4.40    18.90    19.77 03-26@15:59 03-26@18:46
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Re: Snapshot of trading in some large CEFs

It really is fascinating to see how daily the change in NAV rarely has a correlation with the change in price. 

sym  mkt_ret  NAV_ret  premium      mkt      NAV    mkt_time    nav_time
PCI     0.12     2.63      1.25    16.19    15.99 03-26@16:02 03-26@18:47

 

PDI     8.66    -0.16     19.70    23.09    19.29 03-26@15:59 03-26@18:46

 

PTY    10.09     1.77     27.58    13.97    10.95 03-26@15:59 03-26@18:47

 

PTY goes up 10% in price while NAV increases by 1.77%. PDI NAV actually decreases while the price is up 8%

These are challenging times for sure.  

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Re: Snapshot of trading in some large CEFs

Beliavsky

Thanks for keeping this.

And thanks for adding HPS.(Preferred stock)

I bought some recently, and it is zooming!  

R48

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Re: Snapshot of trading in some large CEFs

I checked PDI NAV and it is 19.86, an increase of nearly 3% for 3/26.  I did not check other NAVs posted in this thread.

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Re: Snapshot of trading in some large CEFs


@Anitya wrote:

I checked PDI NAV and it is 19.86, an increase of nearly 3% for 3/26.  I did not check other NAVs posted in this thread.


Thanks for catching that. Maybe I need to run the program after 8pm for all the NAVs to be updated. PCI, which I did spot check, did have the correct NAV in yesterday evening's run. This run has the NAV for PDI you mention:

      sym  mkt_ret  NAV_ret  premium      mkt      NAV    mkt_time    nav_time
    NRGX     3.23     3.02    -16.20     5.43     6.48 03-26@16:02 03-26@20:01
     PCI     0.12     2.63      1.25    16.19    15.99 03-26@16:02 03-26@20:00
     PDI     8.66     2.95     16.26    23.09    19.86 03-26@15:59 03-26@20:01
     PFL     4.53     2.09      2.64     8.54     8.32 03-26@16:02 03-26@20:00
     PCM    -4.81     3.59      1.52     7.33     7.22 03-26@15:59 03-26@20:00
     PCN     9.60     1.62     24.03    14.04    11.32 03-26@16:02 03-26@20:00
     PFN     3.55     2.03      0.66     7.59     7.54 03-26@16:02 03-26@20:00
     PHK     5.25     1.54     12.53     5.21     4.63 03-26@16:02 03-26@20:00
     PKO     5.06     2.49      4.22    19.74    18.94 03-26@16:02 03-26@20:01
     PTY    10.32     1.77     27.85    14.00    10.95 03-26@15:59 03-26@20:00
     RCS    -3.89     2.07     12.89     6.13     5.43 03-26@16:02 03-26@20:00
     DSL     6.20     2.24      1.80    13.01    12.78 03-26@16:02 03-26@20:00
     DBL    -2.37     0.65     -0.88    16.88    17.03 03-26@15:59 03-26@20:00
     NEA     4.96     4.36    -10.15    13.54    15.07 03-26@16:02 03-26@20:00
     NAD     5.64     4.57    -10.83    13.67    15.33 03-26@16:02 03-26@20:00
     NVG     5.37     4.67    -10.15    14.51    16.15 03-26@16:02 03-26@20:00
     NZF     5.35     5.00     -9.97    13.99    15.54 03-26@16:02 03-26@20:00
     NMZ     6.86     4.43     -2.12    12.47    12.74 03-26@16:02 03-26@20:00
     HPI    11.58     8.71     10.21    17.05    15.47 03-26@16:02 03-26@20:00
     JPS     2.26     5.30     -9.93     6.80     7.55 03-26@16:02 03-26@20:00
     RNP    12.38     8.00    -12.43    16.07    18.35 03-26@16:02 03-26@20:00
     DFP    11.28     4.98      2.32    20.72    20.25 03-26@16:02 03-26@20:00
     FPF     0.75     5.75     -5.11    17.45    18.39 03-26@16:02 03-26@20:01
     LDP     8.46     6.30      4.08    20.90    20.08 03-26@16:02 03-26@20:01
     PDT    12.42    10.12      9.81    12.31    11.21 03-26@16:02 03-26@20:00
     HPF    11.30     8.65      6.91    16.25    15.20 03-26@16:02 03-26@20:00
     HPS    10.49     8.72      5.45    14.33    13.59 03-26@16:02 03-26@20:00
     FFC     8.55     5.45      9.58    17.39    15.87 03-26@16:02 03-26@20:00
     FLC    10.10     5.79      4.34    17.55    16.82 03-26@16:02 03-26@20:00
     PFD     7.74     5.47     10.82    12.39    11.18 03-26@16:02 03-26@20:00
     PFO    11.26     5.57     12.82    10.47     9.28 03-26@15:59 03-26@20:00
     JPI     3.62     6.81     -4.20    17.89    18.67 03-26@15:59 03-26@20:01
     JPC     2.57     6.72     -9.12     6.78     7.46 03-26@16:02 03-26@20:00
     JPT    -1.56     4.88     -4.40    18.90    19.77 03-26@15:59 03-26@20:01

 

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Re: Snapshot of trading in some large CEFs

PCI outperforming PDI by about 2% -- we were discussing the big difference in premia this morning.

    % Change          Trade Time
SPY    -2.97 2020-03-27 12:22:47
HYG     0.27 2020-03-27 12:22:47
PFF    -2.80 2020-03-27 12:22:47
LQD    -0.71 2020-03-27 12:22:41
MUB    -1.08 2020-03-27 12:22:46
TLT     1.64 2020-03-27 12:22:47
      sym  mkt_ret  NAV_ret  premium      mkt      NAV    mkt_time    nav_time
    NRGX    -4.42     3.02    -19.91     5.19     6.48 03-27@12:22 03-26@20:01
     PCI    -0.48     2.63      0.76    16.11    15.99 03-27@12:22 03-26@20:00
     PDI    -2.36     2.95     13.52    22.55    19.86 03-27@12:21 03-26@20:01
     PFL    -4.55     2.09     -2.03     8.15     8.32 03-27@12:02 03-26@20:00
     PCM     1.09     3.59      2.63     7.41     7.22 03-27@12:20 03-26@20:00
     PCN    -5.90     1.62     16.71    13.21    11.32 03-27@12:16 03-26@20:00
     PFN    -3.13     2.03     -2.48     7.35     7.54 03-27@12:21 03-26@20:00
     PHK    -5.76     1.54      6.05     4.91     4.63 03-27@12:22 03-26@20:00
     PKO    -2.61     2.49      1.50    19.23    18.94 03-27@11:57 03-26@20:01
     PTY    -6.01     1.77     19.91    13.13    10.95 03-27@12:17 03-26@20:00
     RCS    -2.94     2.07      9.58     5.95     5.43 03-27@12:20 03-26@20:00
     DSL    -2.69     2.24     -0.94    12.66    12.78 03-27@12:22 03-26@20:00
     DBL    -1.69     0.65     -2.55    16.59    17.03 03-27@12:20 03-26@20:00
     NEA    -1.42     4.36    -11.43    13.35    15.07 03-27@12:21 03-26@20:00
     NAD    -1.52     4.57    -12.19    13.46    15.33 03-27@12:22 03-26@20:00
     NVG    -0.41     4.67    -10.53    14.45    16.15 03-27@12:20 03-26@20:00
     NZF     0.12     5.00     -9.86    14.01    15.54 03-27@12:20 03-26@20:00
     NMZ    -3.61     4.43     -5.65    12.02    12.74 03-27@12:22 03-26@20:00
     HPI    -4.11     8.71      5.69    16.35    15.47 03-27@12:21 03-26@20:00
     JPS     1.05     5.30     -8.99     6.87     7.55 03-27@12:21 03-26@20:00
     RNP    -0.42     8.00    -12.80    16.00    18.35 03-27@12:21 03-26@20:00
     DFP    -4.48     4.98     -2.26    19.79    20.25 03-27@12:13 03-26@20:00
     FPF    -2.30     5.75     -7.29    17.05    18.39 03-27@12:22 03-26@20:01
     LDP    -4.64     6.30     -0.75    19.93    20.08 03-27@12:21 03-26@20:01
     PDT    -2.31    10.12      7.27    12.03    11.21 03-27@12:12 03-26@20:00
     HPF    -2.58     8.65      4.14    15.83    15.20 03-27@12:16 03-26@20:00
     HPS    -2.61     8.72      2.69    13.96    13.59 03-27@12:22 03-26@20:00
     FFC    -5.32     5.45      3.75    16.46    15.87 03-27@12:21 03-26@20:00
     FLC    -5.50     5.79     -1.39    16.59    16.82 03-27@12:05 03-26@20:00
     PFD    -3.09     5.47      7.40    12.01    11.18 03-27@11:06 03-26@20:00
     PFO    -2.77     5.57      9.70    10.18     9.28 03-27@12:14 03-26@20:00
     JPI    -1.12     6.81     -5.28    17.68    18.67 03-27@12:22 03-26@20:01
     JPC     1.62     6.72     -7.64     6.89     7.46 03-27@12:22 03-26@20:00
     JPT    -1.06     4.88     -5.41    18.70    19.77 03-27@12:03 03-26@20:01
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Re: Snapshot of trading in some large CEFs

"I added the requested CEFs and PFF, a preferred ETF."

Although there isn't much real difference between a CEF and an ETF, the one big difference is that arbitrage usually keeps the share price fairly close to the NAV of an ETF.  Obviously not so with a CEF, or an ETN, for that matter!

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Re: Snapshot of trading in some large CEFs

Market prices and NAVs as of 3/27

    % Change          Trade Time
SPY    -2.76 2020-03-27 16:00:01
HYG     0.26 2020-03-27 16:00:00
PFF    -2.81 2020-03-27 16:00:01
LQD    -0.20 2020-03-27 16:00:00
MUB    -1.30 2020-03-27 16:00:00
TLT     2.67 2020-03-27 16:00:02
      sym  mkt_ret  NAV_ret  premium      mkt      NAV    mkt_time    nav_time
    NRGX    -4.97    -3.24    -17.70     5.16     6.27 03-27@16:02 03-27@20:01
     PCI     3.40     1.88      2.76    16.74    16.29 03-27@16:02 03-27@20:00
     PDI     0.09     1.21     14.98    23.11    20.10 03-27@15:59 03-27@20:01
     PFL    -0.94     0.36      1.32     8.46     8.35 03-27@16:02 03-27@20:00
     PCM     5.59     2.35      4.74     7.74     7.39 03-27@15:59 03-27@20:00
     PCN    -2.99     0.62     19.58    13.62    11.39 03-27@16:02 03-27@20:00
     PFN     0.40     0.53      0.53     7.62     7.58 03-27@16:02 03-27@20:00
     PHK    -5.95     0.43      5.38     4.90     4.65 03-27@16:02 03-27@20:00
     PKO    -0.86     0.90      2.41    19.57    19.11 03-27@16:02 03-27@20:01
     PTY    -4.29     0.37     21.66    13.37    10.99 03-27@16:02 03-27@20:00
     RCS     3.26     1.10     15.30     6.33     5.49 03-27@16:02 03-27@20:00
     DSL    -1.23     1.41     -0.85    12.85    12.96 03-27@16:02 03-27@20:00
     DBL     0.95     2.06     -1.96    17.04    17.38 03-27@15:59 03-27@20:00
     NEA    -2.14     0.66    -12.66    13.25    15.17 03-27@16:02 03-27@20:00
     NAD    -1.76     0.65    -12.96    13.43    15.43 03-27@16:02 03-27@20:00
     NVG    -1.79     0.87    -12.52    14.25    16.29 03-27@16:02 03-27@20:00
     NZF    -0.79     0.90    -11.48    13.88    15.68 03-27@16:02 03-27@20:00
     NMZ    -2.25     1.18     -5.43    12.19    12.89 03-27@16:02 03-27@20:00
     HPI    -3.81    -2.84      9.12    16.40    15.03 03-27@15:59 03-27@20:00
     JPS     3.82     0.53     -6.98     7.06     7.59 03-27@16:02 03-27@20:00
     RNP     2.68     0.27    -10.33    16.50    18.40 03-27@16:02 03-27@20:00
     DFP    -4.15     0.10     -2.02    19.86    20.27 03-27@15:59 03-27@20:00
     FPF    -3.78    -0.16     -8.55    16.79    18.36 03-27@16:02 03-27@20:01
     LDP    -4.02     0.60     -0.69    20.06    20.20 03-27@15:59 03-27@20:01
     PDT    -0.89    -1.69     10.71    12.20    11.02 03-27@16:02 03-27@20:00
     HPF    -2.65    -2.89      7.18    15.82    14.76 03-27@16:02 03-27@20:00
     HPS    -2.09    -2.87      6.29    14.03    13.20 03-27@16:02 03-27@20:00
     FFC    -4.54     0.19      4.40    16.60    15.90 03-27@16:02 03-27@20:00
     FLC    -4.67     0.18     -0.71    16.73    16.85 03-27@15:59 03-27@20:00
     PFD    -3.31     0.09      7.06    11.98    11.19 03-27@15:59 03-27@20:00
     PFO    -2.48     0.11      9.90    10.21     9.29 03-27@15:59 03-27@20:00
     JPI    -0.20    -0.16     -4.24    17.85    18.64 03-27@16:02 03-27@20:01
     JPC     3.98    -0.94     -4.60     7.05     7.39 03-27@16:02 03-27@20:00
     JPT    -0.32    -0.61     -4.12    18.84    19.65 03-27@15:59 03-27@20:01
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Explorer ○○○

Re: Snapshot of trading in some large CEFs

Dear experts, how confident are you that the NAV calculations for large funds like PCI are truly based on NAV prices of the underlying assets rather than some estimation by PIMCO? I wonder if everything they hold in funds like PCI is fully liquid..

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Re: Snapshot of trading in some large CEFs


@SteadyEddy wrote:

Dear experts, how confident are you that the NAV calculations for large funds like PCI are truly based on NAV prices of the underlying assets rather than some estimation by PIMCO? I wonder if everything they hold in funds like PCI is fully liquid..


Reality is that bond prices are based on matrix pricing* by 3rd parties and those had trouble last week with prices. So, all bond fund NAVs last week were a bit suspect. This isn't just a Pimco issue.

*In matrix pricing, the price of bond A that didn't trade is determined by another bond B with similar features that traded.

YBB
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Explorer ○○○

Re: Snapshot of trading in some large CEFs


@yogibearbull wrote:

@SteadyEddy wrote:

Dear experts, how confident are you that the NAV calculations for large funds like PCI are truly based on NAV prices of the underlying assets rather than some estimation by PIMCO? I wonder if everything they hold in funds like PCI is fully liquid..


Reality is that bond prices are based on matrix pricing* by 3rd parties and those had trouble last week with prices. So, all bond fund NAVs last week were a bit suspect. This isn't just a Pimco issue.

*In matrix pricing, the price of bond A that didn't trade is determined by another bond B with similar features that traded.


YBB - Thanks. Two questions.

1. Do you feel that matrix pricing has returned to normalcy now given the FOMC threw everything AND THE KITCHEN SINK into the market?

2. Given this massive FOMC engagement, what is the future in your opinion of aggregate bond funds (BND/BNDX)?

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