[Skyler]

Does anyone know what the rounding convention is for the calculation of this monthly average?  My employer does subscribe to this data package within Bloomberg.  I dumped daily prices of this index (MOODAVG index, PX_LAST) and took average of daily values for historical calendar months.  I then sought to match up against historical rates (either those manually grabbed from the NAIC (https://content.naic.org/research_moody.htm), or those posted to this site).  There are a few months that are 1bp off.  I explored round nearest vs. round down and that solve the discrepancy.  I didn’t fill non-trading dates with the prior day’s price, but I doubt that’s the underlying reason.  Obviously we all use this data point for a variety of prescribed calculations, so it would be immensely helpful for the NAIC to publish the data underneath this calculation and leave a full history up on their site.

 

[Skyler]

New (old) user.  I echo the same comments as those in the thread above.  This may be my first and last post.

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