S&P Capital IQ Launches Multiple Approach Bond Pricing and Valuation offering

London and New York - 3 October 2011

The new offering provides an independent and transparent view of multiple pricing and valuation approaches across a single issue, including executed trade prices, evaluated prices, and risk adjusted modeled valuations.

S&P Capital IQ Valuation Services today announced the launch of a new valuation and pricing offering providing an independent and transparent view of multiple pricing and valuation approaches across a single issue, including executed trade prices, evaluated prices, and newly developed risk adjusted modeled valuations.

An approximate universe of 22,500 fixed-rate corporate and government bonds in 33 currencies is included at launch. This will be expanded over the short term with additional Asian domestic bonds, illiquid securities and variable/floating rate bonds.

Developed to aid identification requirements of IFRS accounting standards and to manage the regulatory capital requirements expected from Basel III, S&P Capital IQ’s Valuation Services offering addresses the market need for greater valuation transparency in accounting, regulatory, risk and performance measurement from the front to the back office.

The multiple valuation and pricing offering combines trade prices, evaluated prices and risk-adjusted model valuation. It also exposes the underlying valuation methodology as well as the associated input credit default swap prices, swap and government benchmark curves. A transparency and data timeliness indicator based on the underlying drivers behind the valuation and pricing calculations is also provided.

“A key business objective for S&P Capital IQ is to help investors and risk managers examine valuation risk and uncertainty and identify dislocated relationships between risks relating to price and value in their fixed income portfolios,” said Peter Jones, Senior Director, Valuation Services, S&P Capital IQ. “Combining valuation and pricing approaches in a single valuation capability is an important step in realizing this goal.”

By adding transparency and context to the valuation process, the new offering helps risk managers and pricing professionals across the front, middle and back office to better distinguish between price and value, market and credit risk, and pricing outliers. This helps with alpha generation, risk mitigation processes and cost control.

The new model valuation content will be available alongside evaluated and trade price content on the web and through a customizable Excel-based API plug-in, allowing clients to meet specific workflow requirements and embed pricing and valuation data alongside S&P Capital IQ’s broad enterprise data content.

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