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Interactive Data Corporation Expands Interest Rate Swaps Valuation Service

Demand for independent valuations of hard-to-value OTC derivatives drives expansion.

Interactive Data Corporation has expanded its interest-rate swap valuation service with the addition of a 3:00 p.m. ET valuation in response to heightened demand for independent valuations from customers whose portfolios contain hard-to-value instruments.

The market data, analytics and services company has also added valuations for compounding swaps and certain historical valuations for interest-rate and credit-default swaps.

"As more investment portfolios contain interest-rate swaps, we've expanded the capabilities of our valuation service to respond to client demand for a broad range of independent valuations," stated Shant Harootunian, managing director of evaluated services, Interactive Data Pricing and Reference Data.

"The new 3:00 p.m. interest-rate swap valuations are synchronized with the corporate bond evaluations we produce, and they complement our end-of-day valuations for this asset class," added Harootunian in the release.

In addition to the 3:00 p.m. ET valuations, Interactive Data also generates two additional interest-rate swap valuations each day based on curves at the end-of-day in London (4:30 p.m. GMT) and New York, (4:00 p.m. ET).

Historical valuations for interest-rate and credit-default swaps were viewed as critical by accounting firms and hedge fund processors for monitoring client positions since they need to retrieve valuation levels reflecting the previous end-of-month, according to Harootunian in the release. Compounded swaps were added to enable clients to obtain valuations on interest-rate swaps with non-traditional structures.

The notional value of interest rate derivatives (which includes interest rate swaps) rose 34 percent year-over-year to $382.4 trillion at the end of 2007, acording to the International Swaps and Derivatives Association (ISDA).

According to TowerGroup Securities & Capital Markets Analyst Stephen Bruehl, who is quoted in the release, "There is a heightened need for independent valuations of growing numbers and categories of hard-to-value financial instrument."

Interactive Data Corp. said the valuations are based on benchmark curves from prominent interdealer brokers and other direct sources while trade details are input by customer. The valuation service offers user-friendly set-up screens and the ability to upload trade data and download output files, which can help limit the risk of manual input errors.

Ivy is Editor-at-Large for Advanced Trading and Wall Street & Technology. Ivy is responsible for writing in-depth feature articles, daily blogs and news articles with a focus on automated trading in the capital markets. As an industry expert, Ivy has reported on a myriad ... View Full Bio

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