Interactive Dataâs interest rate swap valuation service assists clients by providing information they can use to efficiently value their portfolios containing these over-the-counter (OTC) derivatives. The Company currently offers interest rate swap valuations in six major currencies and estimates that its coverage includes approximately 95% of the total notional amount of interest rate swaps outstanding. The International Swaps and Derivatives Association (ISDA) found that the notional amount of interest rate derivatives outstanding (which include interest rate swaps) rose 34 percent year-over-year to $382.3 trillion at the end of 2007.
âAs more investment portfolios contain interest rate swaps, weâve expanded the capabilities of our valuation service to respond to client demand for a broad range of independent valuations,â said Shant Harootunian, managing director of evaluated services, Interactive Data Pricing and Reference Data. âOur new 3 p.m. interest rate swap valuations are synchronized with the corporate bond evaluations we currently produce, and they complement our end-of-day valuations for this asset class. Accounting firms and hedge fund processors have also identified historical valuations for interest rate and credit default swaps as critical for monitoring client positions, as they need to retrieve valuation levels reflecting the previous end of month. We also added compounding swaps to enable clients to obtain valuations on interest rate swaps with nontraditional structures.â
âAs investment portfolios become more diverse and complex, there is a heightened need for independent valuations of growing numbers and categories of hard-to-value financial instruments,â said Stephen Bruel, analyst, Securities & Capital Markets for TowerGroup. âIn addition, we believe that market data providers who can automate the process for delivering valuations for a broad range of OTC derivatives and evaluations on millions of fixed income securities will continue to experience high demand for their products and services.â
The 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.
Interactive Data provides current and historical valuations for a wide variety of alternative investments including: fixed-for-floating interest rate swaps (including forward starting swaps); as well as third party valuations for syndicated bank loans; single name credit default swaps (CDS); and CDS trades linked to the Markit CDX and iTraxxÂ® families of indices. Historical valuations for interest rate swaps are available going back to June/December 2007 based on the currency of the swap, and are also available for credit default swaps for recent trading days and month-ends.