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A-Team Insight Blogs

Interactive Data Expands Interest Rate Swap Valuation Service

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.”

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