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Bedford, MA Office

32 Crosby Drive
Bedford
MA
US

London, UK Office

Fitzroy House, 13-17 Epworth Street
London
GB

Australia, Melbourne Office

1155 Malvern Road
Malvern
Melbourne
AU

France, Paris Office

9 rue de Téhéran
Paris
FR

Ireland, Dublin Office

6 Georges Dock, 4th floor IFSC
Dublin
IE

Luxembourg, Lux Office

5th floor 28 boulevard Royal
Luxembourg
LU

Switzerland, Geneva Office

25, rue Kléberg
Geneva
CH

New York, NY Office

100 William Street, 17th Floor
New York
NY
US

White Plains, NY Office

100 Hillside Avenue
White Plains
NY
US

Santa Monica, CA Office

2901 28th Street, Suite 300
Santa Monica
CA
US

Hayward, CA Office

3955 Point Eden Way
Hayward
CA
US

Singapore Office

1 Raffles Place #21-02 One Raffles Place
Singapore
SG

Hong Kong, Central Office

2001-2005, 20/F The Center 99 Queen's Road Central
Hong Kong
HK

Channel Islands, Jersey Office

8 Hill Street St Helier
Jersey
GB

Germany, Frankfurt Office

Sandweg 94
Frankfurt am Main
DE

Spain, Madrid Office

Francisco Silvela 42 1a planta
Madrid
ES

Switzerland, Zurich Office

Loewenstrasse 2
Zurich
CH

Australia, Sydney Office

Suite 405/368 Sussex Street
Sydney
AU

Japan, Tokyo Office

Kyobashi No. 8 Nagaoka Bldg. 1F 2-20-9 Hatchobori Chuo-ku
Tokyo
JP

Location Office

International House 1 St. Katharine's Way
London
GB

Italy, Rome Office

Via Cristoforo Colombo, 149
Rome
IT

Chicago, IL Office

600 West Fulton, 7th Floor
Chicago
IL
US

New York, NY Office

100 Church Street, 11th Floor
New York
NY
US

UAE, Dubai Office

805, City Tower 2 Sh. Zayed Road
Dubai
AE

Lombard, IL Office

955 Parkview Boulevard
Lombard
IL
US

Australia, Melbourne Office

Level 36/2 Freshwater Place Southbank Boulevard Southbank
Melbourne
AU

Telephone

02072653703

Contact

tony cossey a cossey
[email protected]
Back to all Intercontinental Exchange announcements

Interactive Data Extends Its Interest Rate Swap Valuation Service

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.