Broker prices are unreliable

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Firm Involved

  • Saba Capital Management
  • Public Sector Pension Investment Board of Canada

Year of the event


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[1], but lost.


  • 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.


  1. Bloomberg, Complaint