Feedback On Pricing Irregularities Wanted

Tyler Durden's picture

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Dark Space's picture

They're all horrible and they have no interest in getting to the right answer. I literally had a position that was marked anywhere from 30% to 50% of where it should be trading by the three services - I reached out and offered to submit our trades to help their accuracy, they declined. FTI had the audacity to challenge my value. I immediately put it on a bid list, sold it within 24 hours at 2 times the mark they had and submitted the trade - they still didn't change their price.

To make matters worse, these are the prices that the auditor is going to look at and assign either level 1 or level 2, depending on their understanding of where the prices come from. So, we went to our auditor and showed the evidence that the pricing services all sucked. We initially got pricing runs from a broker, but the auditor felt like these did not represent actual clearing levels and preferred we use some other source or combination of sources (i.e. ABX, CMBX, similar bond trades, FTI, etc.) - what do you use when they all suck at representing your relatively simple cash bond holding?