About a-team Marketing Services
The knowledge platform for the financial technology industry
The knowledge platform for the financial technology industry

A-Team Insight Blogs

Interactive Data Expands Capabilities of Interest Rate Swap Valuation Service

Subscribe to our newsletter

Interactive Data Corporation today announced that its Pricing and Reference Data business has broadened the capabilities for its interest rate swap valuation service. This service assists clients by providing information they can use to help efficiently value their portfolios containing these over-the-counter (OTC) derivatives.

The service has added coverage of swaps in the following seven currencies (since December 2009): Hong Kong dollar (HKD), Korean won (KRW), Malaysian ringgit (MYR), Singapore dollar (SGD), Taiwan dollar (TWD), Thai baht (THB), and Turkish lira (TRY). It now provides coverage for single currency interest rate swaps for a total of 22 major currencies worldwide.

Interactive Data estimates that it currently covers over 96 percent of the total notional amount of interest rate swaps outstanding. The Bank for International Settlements (BIS), in its semi-annual OTC derivatives statistics release at the end of March 2010, found that the notional amount of interest rate and currency swaps outstanding was $365.7 trillion at year-end 2009.

The interest rate swap valuation service now provides valuations of fixed-for-fixed cross currency swaps in any combination of currency pairs offered. Also available are valuations for irregular schedule amortizing and accreting single currency swaps, along with irregular schedule step-up and step-down single currency swaps. In addition, the service has been expanded to offer valuations of cross currency basis swaps for an additional three currencies against the U.S. dollar (USD) along with valuations for 13 cross currency basis swap pairs against the European euro (EUR).

“We continue to build out the capabilities and currency coverage of our interest rate swap valuation service to help our clients better manage their valuation process for global OTC derivatives,” said Liz Duggan, managing director, Evaluations. “Clients need valuation services with strong operational infrastructure and transparency. Our expanded service provides transparency to the valuations through the inclusion of the underlying curve data that supports these valuations.”

Interactive Data provides current and historical valuations for a wide variety of alternative investments; depending upon the currency, historical valuations are available back to June 2007. The service offers user-friendly asset setup screens and the ability to upload trade data and download output files, which can help limit the occurrence of manual input errors.

Subscribe to our newsletter

Related content

WEBINAR

Recorded Webinar: An Agile Approach to Investment Management Platforms for Private Markets and the Total Portfolio View

Data and operations professionals at private market institutions face significant data and analytical challenges managing private assets data. With investors clamouring for advice and analysis of private markets in their search for returns, investment managers are looking at ways to gain a more meaningful view of risk and performance across all asset types held by...

BLOG

Regulatory Volatility Offers Opportunity to Mine Value from Compliance Data

A new era of regulatory change is presenting institutions with a golden opportunity to prosper from the troves of data they need to comply with reporting obligations. Information required by market overseers has value that goes beyond its obligatory use in disclosures and companies that put it to wider use stand to gain a competitive...

EVENT

TradingTech Briefing New York

Our TradingTech Briefing in New York is aimed at senior-level decision makers in trading technology, electronic execution, trading architecture and offers a day packed with insight from practitioners and from innovative suppliers happy to share their experiences in dealing with the enterprise challenges facing our marketplace.

GUIDE

AI in Capital Markets: Practical Insight for a Transforming Industry – Free Handbook

AI is no longer on the horizon – it’s embedded in the infrastructure of modern capital markets. But separating real impact from inflated promises requires a grounded, practical understanding. The AI in Capital Markets Handbook 2025 provides exactly that. Designed for data-driven professionals across the trade life-cycle, compliance, infrastructure, and strategy, this handbook goes beyond...