Pricing Sources Flashcards
What is BGN?
BGN is Bloomberg’s generic pricing source for FX Instruments (Spots, forwards, implied yields)
Are BGN Prices Indicative or Executable?
Indicative –> Cannot trade on these rates
Name 3 examples of Market Data Inputs for BGN
Banks (JP, Citi)
Brokers
Government Agencies
Trading Platforms (Both BBG and Non-BBG)
What factors determine BGN market data input eligibility?
1 Accuracy of data
2 Reliability of Data
3 Legal Considerations
How are BGN Spot rates calculated?
Bid/Ask prices are computed by taking the median of eligible market data inputs over a time window
How are BGN Forward Rates Calculated?
A similar algorithm to spot rates is used, but a proprietary smoothing technique is used
When are BGN rates calculated from other BGN rates?
When market data inputs AREN’T readily available
How are BGN rates for Implied Yields calculated?
Using the Interest-Rate Parity Formula
What are 2 ways BGN maintain data quality?
1 BGN rates may be amended to correct errors (typographical or price entry)
2 BGN rates can be normalized by removing valid prices to improve reliability
What is BGN’s update frequency?
There is no pre-defined update frequency, update frequency based on data inputs
What are the 3 BGN closing times?
New York (BGN) - 5pm EST
London (BGNL) - 6pm BST/GMT
Tokyo (BGNT) - 8pm JST
What time do all BGN trading sessions close on Friday?
New York 5pm
What is REGN?
Bloomberg’s Generic pricing source tailored to represent the local market of a currency
Does REGN provide onshore or offshore rates?
Onshore
What is BGNE?
Bloomberg’s Generic Executable rates
How are BGNE rates derived?
Derived using executable rates from >250 banks from BBG’s FXGO platform
What is CMPN?
Bloomberg’s Composite Pricing Source which is the predecessor to BGN
How are CMPN rates derived?
From the Best bid and best ask rates from qualifying contributors
Best Bid = Lowest Bid
Best Ask = Highest Ask
When will CMPN rates be used?
When BGN Data isn’t available (due to low liquidity)
Are rates on ALLQ indicative or executable?
Indicative
How can I gain access to additional pricing sources?
Run contributor function (e.g. COBA for Commerzbank) –> Request Information –> Send email
