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Derivatives Services

Delivering valuations for a range of derivatives and alternative investments

Interactive Data’s OTC Derivatives Valuation Service delivers valuations of interest rate swaps (IRS), single-name credit default swaps (CDS), CDS index trades, and syndicated bank loan positions. Through an agreement between Interactive Data and Prism Valuation, Interactive Data can also provide valuations of complex OTC derivatives and structured products.

Interactive Data has leveraged its experience in producing fixed income evaluations to offer services that utilize a number of market inputs, including benchmark curves from leading interdealer brokers, reference rates, trade details from clients, along with third party valuations to provide our clients with valuation coverage for a broad range of derivatives and alternative instruments.

Interest Rate Swaps

Interactive Data provides a service that can enable clients to upload interest rate swap trades and download independent valuations via FTP (bulk file) or from a Web-based application.

Coverage

Interest rates

Fixed-for-fixed cross currency swaps on any combination of offered currency pairs, fixed-for-floating single currency and cross currency swaps on any combination of offered currency pairs, select floating-for-floating cross currency basis swaps vs. U.S. dollars and European euro, floating-for-floating single currency U.S. dollar LIBOR basis swaps, irregular schedule amortizing / accreting and step-up / step-down single currency swaps, including rollercoaster single currency swaps, forward swaps, compounding swaps (where the payment frequency and reference rate tenor differ), and forward rate agreements (FRAs).

Interest rate swap valuations are provided in:

  • U.S. dollars (USD)
  • British pounds (GBP)
  • Euros (EUR)
  • Swiss francs (CHF)
    (Historical valuations for the above currencies are available from June 2007.)
  • Japanese yen (JPY)
  • Australian dollars (AUD)
    (Historical valuations for the above currencies are available from December 2007.)
  • Czech koruna (CZK)
  • Danish krone (DKK)
  • Hungarian forint (HUF)
  • Norwegian krone (NOK)
  • Polish zloty (PLN)
  • Swedish krona (SEK)
  • South African rand (ZAR)
    (Historical valuations for the above currencies are available from April 2009.)
  • Canadian dollar (CAD)
  • New Zealand dollar (NZD)
    (Historical valuations for the above currencies are available from June 2009.)
  • Hong Kong dollars (HKD)
  • Korean won (KRW)
  • Malaysian ringgit (MYR)
  • Singapore dollars (SGD)
  • Taiwan dollars (TWD)
  • Thai baht (THB)
    (Historical valuations for the above currencies are available from December 2009.)
  • Turkish lira (TRY)
    (Historical valuations for the above currency are available from March 2010.)

Interactive Data’s service offers:

  • Ease of validation – input validation tools are built into the service, which can help clients match trades more effectively and facilitate independent valuations
  • Timely valuations – valuations are based on curve data available at 16:30 (GMT) and 15:00 and/or 16:00 (ET), and are available for download at approximately 17:00 (GMT) and 15:30 and/or 16:30 (ET) respectively, every business day. Request files can be uploaded to Interactive Data at any time before 15:00 (GMT)/15:00 (ET)
  • Valuation convention—clients can choose either Same Day (T0) or Buy Out (traditional settlement practice of the underlying currency) settlement valuation convention for each swap
  • Internal identifiers – clients can use their unique internal identifiers to map trades, so data will be delivered with identifiers their system can recognize
  • Access to underlying data and evaluators – clients can have access to the underlying benchmark curves used, and if necessary, to the evaluators responsible for creating the curves
  • Bulk or online upload and download – clients can upload trades and download interest rate swap valuations via FTP (bulk file) or online via a Web-based facility

Valuations of Complex OTC Derivatives and Structured Products

Interactive Data provides valuations of complex OTC derivatives and structured products through an agreement with Prism Valuation. Prism Valuation – whose philosophy to valuation is built on three pillars – "people-data-models" – provides services that replicate the pricing and risk analysis capabilities of a structured products dealer, with an emphasis on hard-to-value assets.

The structured products valuation service can provide valuations on a daily, weekly, monthly or quarterly basis. In each case, a full service is provided that enables clients to submit deal confirms or other source documents directly, rather than having to input the structure and select and calibrate models.

Valuation Transparency Report

A key feature of the service is an innovative Valuation Transparency Report, in which the valuation process for even the most complex structures is illuminated in plain language. This includes the choice of underlying market data, appropriate model selection and calibration strategies culminating in a valuation. The transparency report provides clients with a deeper understanding of the specific methodology employed to value each deal, which facilitates the auditing process.

Valuation Discrepancy Report

With increased market volatility, clients need to better understand the factors that can cause a difference in valuation. A further value-added analysis that can be provided, on an ad-hoc request basis, is a detailed Valuation Discrepancy Report. This analysis compares differences between a customer’s valuation (counterparty and/or internal valuations) and the Prism Valuation service. The analysis provides customers with a detailed report that breaks down what, in Prism Valuation’s opinion, the maximum variances are that can be caused by different market data inputs, model selection, calibration choices, parameter sensitivities, and numerical methods. The Valuation Discrepancy Report concludes with what is believed to be the maximum valuation deviation for that product.

Coverage

Current coverage includes:

  • Baskets
  • Accruals
  • Callables
  • Hybrids
  • Cliquets
  • TALF Loans
  • Caps/Floors
  • Structured Notes
  • Swaptions
  • Forwards
  • Linked-Notes
  • Variance/Volatility

on underlyings such as Interest Rates, Inflation, Funds, FX, Credit, Equity, and Commodities.

Credit Default Swaps

Interactive Data offers a service that is designed to allow clients to upload single-name credit default swap (CDS) or CDS index trades through bulk file transmission (FTP) or a Web-based application. The service returns valuations from Markit Group Limited, which clients can download through bulk file transmission (FTP) or a Web-based facility.

For single name CDS valuations, Markit leverages the contributions of approximately 23 major CDS dealers. Data includes composite and contributor level CDS data for more than 3,000 individual entities. Reference Entity Database (RED) data is available for more than 3,800 scrubbed reference entity/obligation pairs. Interactive Data’s CDS valuation service also covers Markit CDX index trades and Markit iTraxx index trades.

Interactive Data’s service offers:

  • Validation – for ease of use, input validation tools are built into the service to help match trades more effectively and facilitate CDS valuations.
  • Timely valuations – single name CDS valuations are based on data available at 16:00 (ET), and are available for download at approximately 16:30 (ET) every business day. Request files can be uploaded to Interactive Data at any time before 15:30 (ET). CDX index trade valuations are available after 19:00 (ET) for five year on-the-run CDX index trades, after 2:00 (ET) for off-the-run CDX index trades, and after market close (depending on the index) for iTraxx index trades. In addition, intra-day levels are available after 16:00 (ET).
  • Detailed methodology and quality controls – Single name CDS valuations are based, by default, on composite curves assembled from contributed data that has passed several quality control tests. The associated default probabilities are then used in conjunction with user-supplied trade information to obtain a valuation.
  • Markit RED codes or internal identifiers – clients can utilize either Markit’s RED codes or their own internal identifiers.

Bank Loans

Interactive Data’s service allows clients to upload syndicated bank loans through a Web-based application or bulk file transmission (FTP). The service returns composite and modeled bank loan valuations from Markit Group Limited, which clients can download through a Web-based facility or bulk file transmission (FTP). The service greatly reduces the need for manual monitoring of certain corporate actions and manual reassignment of identifiers. It includes a user-friendly Web tool that automates the delivery of updates on refinancing, termination, and substantial amendments to loans, including effective dates for changes. Markit collects marks (bid and ask prices) from approximately 70 trading desks.

Interactive Data’s service offers:

  • Ease of use – tools built into the service help clients search the bank loan universe and then select and view price data on specific loans.
  • Timely valuations – prices are available for download at approximately 16:30 (ET) every business day. Request files can be uploaded to Interactive Data at any time before 15:30 (ET).