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.
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.