Broker prices are unreliable - Revision history

Hector at 00:01, 22 June 2017

2017-06-22T00:01:40Z

Hector at 23:57, 21 June 2017

2017-06-21T23:57:07Z

Hector: Created page with "== Firm Involved == * Saba Capital Management * Public Sector Pension Investment Board of Canada == Year of the event == 2017 == Description of the case == Saba Capital Mana..."

2017-06-21T23:51:37Z

Created page with "== Firm Involved == * Saba Capital Management * Public Sector Pension Investment Board of Canada == Year of the event == 2017 == Description of the case == Saba Capital Mana..."

New page

== Firm Involved ==
* Saba Capital Management
* Public Sector Pension Investment Board of Canada

== Year of the event ==
2017

== Description of the case ==
Saba Capital Management is a hedge fund which was holding at least USD 31m corporate bonds issued by McClatchy Co. The bonds were marked to market using broker prices, with brokers announcing quoting the bonds at 50/60. But when sold to face a large redemption by the Canadian pension fund, the position ended up being valued at 30. The pension fund sued<ref>https://data.bloomberglp.com/assets/sites/2/Saba-mismarking-complaint-25sep15.pdf?utm_medium=email&utm_source=newsletter&utm_term=170323&utm_campaign=moneystuff</ref>, but lost.

== Take-aways ==
* Broker prices must be challenge.
* The Activity and liquidity of any market must be assessed.
* IFRS 13 makes poor choices, as a non-tradable broker quote will be better rated than a composite price, which takes into account the liquidity of the market.

== References ==
<references />

@@ Line 7: / Line 7: @@
 == Description of the case ==
-Saba Capital Management is a hedge fund which was holding at least USD 31m corporate bonds issued by McClatchy Co. The bonds were marked to market using broker prices, with brokers announcing quoting the bonds at 50/60. But when sold to face a large redemption by the Canadian pension fund, the position ended up being valued at 30. The pension fund sued<ref>https://data.bloomberglp.com/assets/sites/2/Saba-mismarking-complaint-25sep15.pdf?utm_medium=email&utm_source=newsletter&utm_term=170323&utm_campaign=moneystuff</ref>, but lost.
+Saba Capital Management is a hedge fund which was holding at least USD 31m corporate bonds issued by McClatchy Co. The bonds were marked to market using broker prices, with brokers announcing quoting the bonds at 50/60. But when sold to face a large redemption by the Canadian pension fund, the position ended up being valued at 30. The pension fund sued<ref>[https://data.bloomberglp.com/assets/sites/2/Saba-mismarking-complaint-25sep15.pdf Bloomberg, ''Complaint''] </ref>, but lost.
 == Take-aways ==

@@ Line 10: / Line 10: @@
 == Take-aways ==
-* Broker prices must be challenge.
+* Broker prices must be challenged.
 * The Activity and liquidity of any market must be assessed.
 * IFRS 13 makes poor choices, as a non-tradable broker quote will be better rated than a composite price, which takes into account the liquidity of the market.