The leading knowledge platform for the financial technology industry
The leading knowledge platform for the financial technology industry

A-Team Insight Blogs

Interactive Data Expands Interest Rate Swap Valuation Service

Share article

Interactive Data Corporation’s Pricing and Reference Data business has expanded its interest rate swap valuation service by adding 3pm ET valuations, independent valuations for compounding swaps, and certain historical valuations for interest rate and credit default swaps.

According to the vendor, it currently offers interest rate swap valuations in six major currencies and estimates that its coverage includes approximately 95% of the total notional amount of interest rate swaps outstanding.

The International Swaps and Derivatives Association (ISDA) has released figures that indicate the notional amount of interest rate derivatives outstanding (which includes interest rate swaps) rose 34% year over year to US$382.3 trillion at the end of 2007.

Shant Harootunian, managing director of evaluated services, Interactive Data Pricing and Reference Data, explains that the expansion was a response to client demand. “Our new 3pm interest rate swap valuations are synchronised with the corporate bond evaluations we currently produce, and they complement our end of day valuations for this asset class,” he says.

“Accounting firms and hedge fund processors have also identified historical valuations for interest rate and credit default swaps as critical for monitoring client positions, as they need to retrieve valuation levels reflecting the previous end of month. We also added compounding swaps to enable clients to obtain valuations on interest rate swaps with non-traditional structures,” continues Harootunian.

Stephen Bruel, analyst, Securities & Capital Markets for TowerGroup, comments: “As investment portfolios become more diverse and complex, there is a heightened need for independent valuations of growing numbers and categories of hard to value financial instruments. In addition, we believe that market data providers who can automate the process for delivering valuations for a broad range of OTC derivatives and evaluations on millions of fixed income securities will continue to experience high demand for their products and services.”

Related content

WEBINAR

Upcoming Webinar: Managing the transaction reporting landscape post Brexit: MiFID II, SFTR, EMIR

Date: 16 March 2021 Time: 10:00am ET / 3:00pm London / 4:00pm CET Duration: 50 minutes The transaction reporting landscape has, for many financial institutions, expanded considerably in size since the end of the UK’s Brexit transition period on 31 December 2020 and the resulting need for double reporting of some transactions to both EU...

BLOG

GLEIF Calls Global Industries to Join Development of Cryptographically Verifiable LEI

The Global Legal Entity Identifier Foundation (GLEIF) has set out grand plans to create a digitised LEI service based on a digitally verifiable credential containing the LEI – the vLEI – and able to provide automated identity verification between counterparties. The ambition is for all industry sectors globally, including financial services, to embed new and...

EVENT

TradingTech Summit London

The TradingTech Summit in London brings together European senior-level decision makers in trading technology, electronic execution and trading architecture to discuss how firms can use high performance technologies to optimise trading in the new regulatory environment.

GUIDE

The Global LEI System – A Solution for Entity Data?

The Global LEI System – or GLEIS – has been in development since the middle of last year. Development has been patchy at times, but much has been done, leaving fewer outstanding issues, but also raising new questions. What’s emerging is a structure for the GLEIS going forward, complete with a mechanism for registering and...