Employing a variety of advanced analytics from Andrew Kalotay Associates, Inc. (Kalotay), Interactive Data now generates intraday values for a broad spectrum of fixed income instruments in all the major currencies. The service complements Interactive Dataâs Basket Calculation Service, an intraday indicative pricing service, which also utilizes Kalotay analytics.
Interactive Dataâs extended valuation capabilities include: hourly valuations for fixed rate securities from 07:00 GMT â 15:00 GMT in British pounds, euros, Swiss francs, Danish krone, and Swedish krona. In addition, hourly valuations are available in euros for floating rate securities. Hourly valuations from 07:00 GMT â 18:00 GMT are also available in U.S. dollars for fixed rate corporate, sovereign, treasury, municipal and agency bonds, fixed-rate mortgage-backed securities, and floating rate notes.
For European and Asian domiciled funds that invest in global fixed income securities, current market quotations may not be readily available for certain securities at the time of a fundâs valuation point. For example, a popular valuation point for U.K. domiciled funds is 12:00 GMT (07:00 ET), at which point the U.S. fixed income markets are not open. U.K.-domiciled funds that invest in U.S. fixed income securities may want to consider these intraday fixed income valuations as part of their fair value procedures. Similarly, the service may be of interest to funds in Asia that value their portfolios at local market close (09:00 GMT).
âWe are excited to build on our capabilities in valuations, including in intraday indicative pricing, by offering an expanded intraday fixed income valuation service,â said Roger Sargeant, managing director, International, Interactive Data. âUsing Kalotayâs fast, easy-to-implement calculation engines, we were able to respond in a timely fashion to client demand in this important area. Our new offerings enable clients to more closely monitor changes in portfolio values throughout the day, at points that fit in with their workflow, including during times when the local markets for certain securities are not open.â
Interactive Data delivers intraday fixed income valuations to clients through FTSSM, its flexible portfolio administration tool for the desktop. Intraday fixed income valuations are now also available to clients through PlusFeedSM, Interactive Dataâs consolidated, low-latency datafeed.
âWe are very pleased that Interactive Data selected our high-speed libraries to address their valuation needs,â said Andy Porter, managing director, Andrew Kalotay Associates.
Interactive Data currently provides intraday indicative valuations via the Basket Calculation Service to 11 clients â including three of the five largest ETF sponsors.1 The Company offers indicative intraday valuations for equity and fixed income ETFs, exchange traded notes (ETNs) and index values that include equities, fixed income securities, currencies and commodities.