Buy-side and sell-side trading desks utilize a variety of pricing data, such as composite dealer quotes and intra-day benchmarks to assess market levels and demonstrate best execution to their clients. Compliance, pricing and accounting teams require reproducible and defensible end-of-day pricing for asset valuation and risk measurement at the portfolio level. The need is more acute for thinly-traded instruments for which there is little or no observable liquidity, and regulations require institutional investors to have detailed disclosures and stricter risk measurement processes.
End of Day Pricing:
Bloomberg’s evaluated pricing service, BVAL, provides accurate and defensible pricing for 2.5 million fixed income securities and derivatives instruments. It provides mutual funds, money managers, hedge funds, internal pricing groups, auditors, and regulators with several pricing snapshots per day so they have independent and transparent valuations for mark-to-market operations.
CBBT is a composite price based on the most relevant executable quotations on FIT, Bloomberg’s Fixed Income Trading platform. Its aim is to indicate where clients can reasonably expect to execute on the platform during trading hours, and prices are updated as dealer levels change.
Bloomberg offers multiple solutions for intra-day indicative pricing:
- Bloomberg Generic prices (BGN) are a single-security composite derived from electronic dealer contribution. Both executable and indicative levels are considered.
- The Bloomberg Benchmark Magenta Line (BMRK) is a market-calibrated price based on reported trades, electronic dealer contributions, terms and conditions data and comparable securities. The result is broader coverage than BGN and a degree of independence from dealer levels.
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