Use of Bloomberg

chokingvictim · Post by **chokingvictim** » Tue Oct 16, 2007 6:15 am

"Also, I manage funds registered in France, Lux, UK, & and some cross registered ones, so maybe jurisdiction disclosure has some sort of stupid built in lag."

If the fund's NAV is priced when the NYSE stops trading, but brokers in France, Lux, UK, etc. aren't called and asked what those securities were trading at at the time the rest of the portfolio was priced, the NAV will be wrong.

Apparently this is an issue that comes up often with some funds our firm audits. It makes perfect sense but I didn't think of it until it came up in discussion with an audit senior at our firm.

Bachelier · Post by **Bachelier** » Tue Oct 16, 2007 3:23 pm

I trade OTC bonds, and we don't have TRACE.

Supposedly ML acts as a sort of central clearinghouse for prices, but stale stale data is in their series and reportings all the time. also, incredibly tiny trades (of like Euro 1,000, from a retail account) often set the market for bonds that haven't traded in months in their regualr size (million lots).

happens more often than you think. Granny dies, wierd bond is in her estate in a weird odd lot, retail broker has a hard time placing it, etc.

data in my market is for crap, and Ml andthen Bloomberg and then an auditor putting a veneer of valuatio on it is compounded folly.

chiral3 · Post by **chiral3** » Tue Oct 16, 2007 4:41 pm

OK, I now have an example of a real bbg screwup in something it should not screw up. On the 8th, sometime between 11 and 1 New York time, BBG listed the wrong values for a few tenors on the yen swap curve, spread by the evil interpolation function to all points. They were updated from the previous px_last, to the wrong numbers, then changed later that day to the correct numbers. I have evidence of this because me models sample this value at discrete points. This affected some of my swap and futures required notionals, but not my fx. Thankfully it was within rounding so no damage.

margarita · Post by **margarita** » Tue Oct 16, 2007 9:03 pm

The very few funds I have checked were fine against the performance report we got from the fund managers - but my sample is very limited to draw any conclusions from. I'll be very cautious in the future.

Bbg is very widely used but can be problematic: there was a launchpad screen giving US govt bond rates that hadn't been updated for the latest benchmark issues! let alone interpolations and stuff... One has to be careful.

PS: hello again phamily Smiley