Defined Benefit
Defined Contribution
Insurance Assets
Nonprofit

Bloomberg Barclays Pricing Time Change and What It Means for Institutional Investors

Bloomberg Barclays Pricing Time Change and What It Means for Institutional Investors
clock
1 min 42 sec

On Jan. 14, Bloomberg Barclays changed the time it closes the pricing of its indices from 3 p.m. to 4 p.m. ET. This move affects all USD-denominated indices, including the US Aggregate, Long Government/Credit, US High Yield, and US TIPS.

There are several parties affected by the timing change. Asset owners, investment managers, custodians, and pricing vendors may experience discrepancies in reporting point-in-time pricing or performance as a result of the change. The discrepancy arises if an investment manager has moved to Bloomberg Barclays’ new 4 p.m. pricing convention, while its client’s custodian continues to strike closing prices at 3 p.m.

At face value an hour may appear negligible, but it can considerably impact Bloomberg Barclays-benchmarked strategies with a greater sensitivity to changes in interest rates. Also, investment managers that provide overlay strategies can experience a significant price differential over the course of that hour. For instance, on Feb. 26 between 3 and 4 p.m., yields on the 30-year Treasury declined just over 7 basis points, which resulted in meaningful price moves for Long Duration strategies. A 7 bps move in rates may equate to roughly a 1.05% move in price for a 15-year duration security, which could create headaches for plan sponsors tracking funded status.

Pricing vendors are the source of pricing to custodians; some of the main suppliers include ICE, Reuters, IDC, Refinitiv, and Bloomberg. Callan recommends that asset owners check in with their custodians to verify if their pricing vendors have moved to the new 4 p.m. convention. If custodian banks and pricing vendors are able to recalibrate to a 4 p.m. close, it would help manage against discrepancies in reporting. And while the reporting discrepancy should wash out over time, we reiterate it can result in a difference in performance relative to the benchmark for a given month or quarter, which may be a concern for investors with end-point sensitivity.

Callan expects custodians will work with pricing vendors to address this issue, but also expects challenges in addressing the operational synchronization required.

Posted by

Share
Share on facebook
Share on twitter
Share on linkedin
Related Posts
Defined Benefit

2021—Starting Off with Gusto!

Kristin Bradbury
How the economy did in 1Q21, and the outlook ahead.
Defined Benefit

What We Found in Our Latest COVID-19 Survey of Investment Managers

Amy Jones
The 3rd edition of our Coping with COVID-19 survey of investment managers focuses on plans for office reopenings and vaccination policies.
Defined Benefit

The Gray Areas in Green Bonds

Kristin Bradbury
A common challenge for those investing in green bonds is that there is no uniform set of requirements or standards. This makes analysis and monitoring...
Defined Benefit

The Story Behind Callan’s 2021 Capital Markets Assumptions

Capital Markets Research
An explanation of Callan's 2021-2030 Capital Markets Assumptions, how they were developed, and what changed from last year's projections.
Defined Benefit

GameStopped—Or Just Getting Started?

Jim McKee
A key issue highlighted by GameStop is the unintended consequences of zero-cost money and commission-free trading enabled by today’s highly stimulat...
Defined Benefit

Relief Bill Provides a Shot in the Arm to Corporate Pensions

William Emmett
The $1.9 trillion economic relief bill included another round of pension funding relief that reduces required, tax-deductible contributions for single...
Defined Benefit

Why the Yield Curve Is Really Curving

Dario Buechi
As prospects for growth have brightened, yields on longer maturity bonds have risen while short-term rates have been anchored by the Fed.
Defined Contribution

DOL Announces It Won't Enforce ESG, Proxy-Voting Rules

Thomas Shingler
Both of the rules were published in the final months of the Trump administration.
Defined Benefit

What Investors Need to Know About the Potential Eviction Crisis

Aaron Quach
Institutional investors should continue to closely monitor rent collections within their multifamily portfolios, as decreases in collections may indic...
Defined Benefit

Private Equity Goes on a Roller-Coaster Ride

Gary Robertson
A rough averaging across fundraising and private investment and exit volumes indicates a drop of only 20% for private equity activity in 2020 from 201...