The strategic relationship between Interactive Data Corp.’s FT Interactive Data unit and credit data specialist Markit has borne its first fruits. As expected (Reference Data Review, January 2006), FT Interactive Data has released a valuations service for credit default swaps that draws on Markit’s access to around 50 CDS dealers in the marketplace.
The launch of the new offering coincides with the addition of IDC sister company CMS BondEdge’s fixed-income evaluations to the FT Interactive Data product lineup. The company has incorporated BondEdge’s fixed-income pricing and analytics capabilities into its FTS bond evaluations service as part of a move toward closer integration with a view to optimizing complementary capabilities.
The new credit default swaps valuation service is aimed at providing firms that hold or trade in these instruments a means of assessing consistent valuations for the securities. Customers will be able to review their swaps portfolios and identify holdings to be valued with the option of using Markit’s Reference Entity Database (RED) codes for doing so. Once they have identified the security to be valued, users can issue a valuation request through the system. Markit and FT Interactive Data then provide a cleaned average price derived from the 50 dealers operating in the credit default swaps marketplace.
The new service is to be made available to clients as an add-on to FT Interactive Data’s evaluation services and can be integrated into a module of FT Interactive Data’s portfolio administration service. In addition to CDS valuations, FT Interactive Data clients will also have access to supporting information from Markit, such as spread curves, recovery rates, par spreads, accrued interest and present value deltas.
Meanwhile, FT Interactive Data’s new tie-in with sibling CMS BondEdge will integrate the latter’s fixed-income portfolio analytics with the FTS platform. The CMS BondEdge analytics will be available through two new FTS modules covering assumptive and risk data. The new assumptive data module provides access to the assumptions – such as the spread and yield – used to arrive at an evaluation. The risk data module shows the risk measures, such as option-adjusted duration and convexity.
The addition of CMS BondEdge’s tools will allow FTS users to download measures such as option-adjusted spread and option-adjusted duration. The idea is to allow users to monitor market rate risk associated with a broad range of fixed-income securities, for which evaluations are available from FT Interactive Data. These will include specialist securities such as U.S. collateralized mortgage obligations (CMOs).