Addition of Index to Fixed Income Analytics Platform Enables Clients to Measure Risk Exposure and Performance Attribution Versus
Interactive Data Corporation (NYSE: IDC), a leading provider of financial market data, analytics and related solutions, today announced the availability of the S&P National AMT-Free Municipal Bond Index within Interactive Data’s market-leading BondEdge® system.
The S&P National AMT-Free Municipal Index is a broad, market value-weighted index designed to measure the performance of the tax-exempt, investment-grade U.S. municipal bond market. As of January 22, 2010, the Index consisted of approximately 8,373 bonds, with a total market value of approximately US$534 billion.
Interactive Data provides fixed income portfolio analytics to more than 400 leading banks, investment managers, brokerage firms, insurance companies and pension funds throughout North America and Europe. Its BondEdge product allows clients to identify opportunities and analyze portfolio risk using robust modeling techniques.
With the integration of the S&P National AMT-Free Municipal Bond Index, BondEdge clients can now create portfolio-versus-benchmark risk exposure and performance attribution reports against this index. In addition, clients can generate detailed scenario analysis reports that incorporate shifts to the benchmark municipal curve and credit spreads.
“As part of our continued commitment to expand the capabilities within BondEdge and respond to client demands, we are pleased to integrate the S&P National AMT-Free Municipal Bond Index into BondEdge,” said Keith Webster, managing director, Interactive Data Fixed Income Analytics. “This complements the existing families of indices related to the municipal markets that we’ve offered on the BondEdge platform. With this particular index from S&P available on BondEdge, our clients can implement a variety of risk measurement and performance attribution measures versus a leading municipal index.”
“As an industry leading benchmark for the U.S. municipal bond market, the S&P National AMT-Free Municipal Bond Index provides investors with broad view into the performance of this particular asset class,” said J.R. Rieger, vice president of Fixed Income Indices at S&P Indices. “Incorporating this Index into Interactive Data’s BondEdge offering can help financial institutions to apply analytics measures to an expanded set of securities.”
For many years, asset management professionals have leveraged the robust analytical asset, portfolio and benchmark modeling tools and comprehensive security database coverage of BondEdge for fixed income portfolio versus benchmark risk analysis, performance attribution, and compliance testing based upon client input guidelines.