Can someone enlighten me regarding the market convention for quoting an overnight fx swap where one leg is USD and today is a USD-holiday (but not a holiday in the other currency)? An example is attached below from bbg where today = 24/11 (=thanksgiving holiday in the US). It seems there is a quote for an o/n fx swap from 24/11 to 25/11 and this I find a bit odd. 
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$\begingroup$ ...the Bid and Ask for the ON are a bit strange also. $\endgroup$– nbbo2Nov 25, 2022 at 11:33
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1$\begingroup$ yup it is pretty wide but still displayed as a valid quote (FYI, sometimes when a tn does not exist because of the holidays bbg greys out the quote). $\endgroup$– MagnyzNov 25, 2022 at 11:48
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3$\begingroup$ I used to work as a trader for a big bank and once sales called me that a client is asking whether our bond quotes on BBG are valid. We looked into it and realized we were submitting indicative quotes via an out-of-date Excel add-in: we told the client to ping us directly and disregard the bloomberg quote. There are so many banks that submit 100s of quotes to bloomberg for 100s different products: and sometimes, some of these go stale. It might just be that someone went on thanksgiving holiday and forgot to switch something off. I always take Bloomberg quotes with reservation. $\endgroup$– Jan StullerNov 27, 2022 at 9:25
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3$\begingroup$ I had many experiences similar to Jan's :) when desks feed indicative (not executable) quotes to Bloomberg, sometimes it's bunk or stale. Bloomberg showing some number doesn't always mean much, especially if it's contributed. $\endgroup$– Dimitri VulisNov 27, 2022 at 12:05
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$\begingroup$ Ok, I guess I will assume that the ON-quote is just an error. $\endgroup$– MagnyzNov 28, 2022 at 9:34
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1 Answer
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Firstly, whenever looking at Bloomberg FRD you need to have the following in mind:
- Prices are only indicative (not executable).
- BGN is Bloomberg generic, a blend of existing quotes that are filtered and combined by an algo (L stands for London and only matters historically for the close time).
Having a quote for ON is no different from having a quote in any other tenor or spot. If there is a proper holiday in all relevant calendars, you will not have quotes (same as a weekend). Since you have quotes on that day, you also have ON quotes. ON, TN and Spot follow the standard logic in your screenshot (Spot is simply T+2, TN is Friday to Monday/Next day and ON is Thursday to Friday).
- ON: For a 2 day settlement currency the legs are TOD and TOM
- TOD: Is the given price date.
- TOM: Is short for tomorrow, and for a two day settlement currency this is the first business day before the spot settlement date. In some cases, the calculated TOM settlement date may even be before the trade date.
TN (tomorrow next) is different. Next refers to the following business day (the first day that is neither a weekend nor a holiday in ANY respected calendar), which for a two-day settlement currency is almost always the same as spot. However, it is undefined on the day before a Fed holiday and there is no TN funding to do. You can look at this answer to see the relevant sections on the help page of FRD discussing this special special rule for US holidays.
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2$\begingroup$ It's a pity that your other excellent and informative answer that you cite is not visible to most readers because the other question is closed. $\endgroup$ Nov 27, 2022 at 15:23
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$\begingroup$ Thaks fo pointing out @Dimitri Vulis. Do you recommend to reopen it? $\endgroup$– AKdemyNov 27, 2022 at 21:44
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$\begingroup$ sure, why not. It's better than a median question these days :) thanks $\endgroup$ Nov 27, 2022 at 21:52
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$\begingroup$ Thanks. Your answer provides a good general explanation but does not really adress my specific question. from the screenshot: 1) we have a quote for both ON and TN. 2) ON: has a maturity on the 25th = TOM implying a start date = TOD = 24th 3) TN: has a maturity on the 28th = SPOT implying a start date = TOM = 25th To me this it is strange to have a quote for the ON-tenor when 24th is a US holiday. I would have guessed the following would be the quotes ON: start = 25th and maturity = 28th TN: none $\endgroup$– MagnyzNov 28, 2022 at 9:32
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$\begingroup$ It is not a holiday in all calendars (only FD) and you have quotes. If 24th were a proper holiday you wouldn't have quotes at all. If you quote on a day, it implies the market must be open and ON is the next day. (Spot is also T+2). Again, it's only indicative quotes. If your counterparty does not operate on that day, you will not get an executable quote at all for any tenor. $\endgroup$– AKdemyNov 28, 2022 at 9:49