Interactive Data Extends Its Interest Rate Swap Valuation Service
October 28 2009 - 9:00AM
Business Wire
Interactive Data Corporation (NYSE: IDC), a leading provider of
financial market data, analytics and related solutions, 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 now covers Canadian dollars and New Zealand dollars.
It has also been expanded to offer cross currency fixed for
floating swaps for these two currencies, along with any combination
of the 13 additional currencies it covers, including: Australian
dollars, British pounds, Czech koruna, Danish krone, Euros,
Hungarian forint, Japanese yen, Norwegian krone, Polish zloty,
Swedish krona, Swiss Francs, South African rand, and U.S. dollars.
Interactive Data also offers float-for-float basis swaps in 11
major currencies against U.S. dollars.
Interactive Data estimates that it currently covers
approximately 97 percent of the total notional amount of interest
rate swaps outstanding. The Bank for International Settlements
(BIS), in its semiannual OTC derivatives statistics release at the
end of March 2009, found that the notional amount of interest rate
and currency swaps outstanding was $342.8 trillion at year-end
2008.
“We expanded our interest rate swaps valuation service to meet
the needs of our clients that are increasingly looking for work
flow solutions to assist in the management of their interest rate
swap valuations,” said Liz Duggan, managing director, Evaluations.
“As investment portfolios contain a wider range of diverse and
global OTC derivatives, clients can enjoy the benefit of an
automated service that delivers independent valuations for these
instruments.”
Interactive Data offers the ability to select either “Same Day”
or “Buyout” Settlement. Same Day convention applies the current
day’s curve for same day valuation and is targeted toward
back-office operations. Buyout convention varies depending upon the
valuation currency and may be of interest for front-office
operations such as trading desks.
Valuations are also available for single currency Libor/Libor
basis swaps. Furthermore, clients can add up to three additional
holiday calendars to every swap, which enables valuations for swaps
that have been customized for individual counterparties.
Interactive Data has also enhanced its zero coupon curves for most
of the 15 currencies as part of the service. The new curves are
constructed with either a combination of the domicile country’s
cash rate data and Forward Rate Agreements or cash rates and
futures data, which is part of a continual effort to reflect
current market conventions in valuation methodologies.
Interactive Data provides current and historical valuations for
a wide variety of alternative investments. Its interest rate swap
valuation 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. Historical
valuations for interest rate swaps are available going back to June
2007 based on the currency of the swap.
About Interactive Data Corporation
Interactive Data Corporation (NYSE: IDC) is a leading global
provider of financial market data, analytics and related solutions
to financial institutions, active traders and individual investors.
The Company's businesses supply real-time market data,
time-sensitive pricing, evaluations and reference data for millions
of securities traded around the world, including hard-to-value
instruments. Many of the world's best-known financial service and
software companies subscribe to the Company's services in support
of their trading, analysis, portfolio management and valuation
activities. Interactive Data, headquartered in Bedford, Mass., has
approximately 2,400 employees in offices located throughout North
America, Europe, Asia and Australia. Pearson plc (NYSE: PSO; LSE:
PSON), an international media company, whose businesses include the
Financial Times Group, Pearson Education, and the Penguin Group, is
Interactive Data Corporation's majority stockholder.
Interactive Data’s Pricing and Reference Data business provides
global securities pricing, evaluations and reference data designed
to support financial institutions’ and investment funds' pricing
activities, securities operations, research and portfolio
management. Interactive Data collects, edits, maintains and
delivers data on more than 6 million securities, including daily
evaluations for approximately 2.8 million fixed income and
international equity issues. Interactive Data specializes in
‘hard-to-get’ information and evaluates many ‘hard-to value’
instruments.
Pricing, evaluations and reference data are provided in the U.S.
through Interactive Data Pricing and Reference Data, Inc. and
internationally through Interactive Data (Europe) Ltd. and
Interactive Data (Australia) Pty Ltd.
For more information about Interactive Data Corporation and its
businesses, please visit www.interactivedata.com
Interactive DataSM and the Interactive Data logo are service
marks of Interactive Data Corporation.
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