Their work has proved especially valuable in providing an appropriate level of support for the annual independent audit of the Fund.

George J. McVey, Jr.
Dynamis Advisors, LLC & IMVA, LLC

LiquiStat - ARS


LiquiStat consists of records of trades that have taken place between investors in the secondary market.

For each transaction, we have collected information, including deal documents, on the buyers and sellers of the securities, the nature, rights, preferences, and privilleges of the securities, restrictions on resale inherent in the securities, and data on the issuer's financial condition, among other factors.

The goal is, for each transaction, to discover, determine, and analyze the factors that were considered by the buyer and seller when making the decision to trade. These factors, then, represents the main drivers of value of the securities sold.

LiquiStat contains thousands of transactions in auction rate securities since 2008. These transactions have taken place at discounts from the par value of the bonds or preferred shares, due to the illiquidity of the securities.

Auction rate securities almost always sell, not just at a discount from par, but at a yield spread over otherwise similar securities that are not ARS, likely due to the opacity of the instruments and the complexity of receiving an auction rate coupon. However, the main drivers of the size of the discount from par appears to be the low coupon rate, the expected time to economic (as opposed to legal) maturity of the instrument, and the credit quality of the issuer. Prices for ARS range from the high 90s for the best quality, most liquid, paper to the teens or single-digits for the lowest quality securities.

LiquiStat contains a wealth of information on each transaction and each CUSIP sold. We use this information to value our clients' holdings of ARS. Pluris generates thousands of ARS valuations monthly, more than any other firm that we are aware of. For more detail on the secondary market for ARS, see the white paper below: