Interactive Data, a provider of financial market data, analytics and related solutions, has said 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 better value their portfolios containing these over-the-counter derivatives.
According to the company, the service has added coverage of swaps in the following seven currencies (since December 2009): Hong Kong dollar (HKD), Korean won (KRW), Malaysian ringgit (MYR), Singapore dollar (SGD), Taiwan dollar (TWD), Thai baht (THB), and Turkish lira (TRY). It now provides coverage for single currency interest rate swaps for a total of 22 major currencies worldwide.
The interest rate swap valuation service now provides valuations of fixed-for-fixed cross currency swaps in any combination of currency pairs offered. Also available are valuations for irregular schedule amortizing and accreting single currency swaps, along with irregular schedule step-up and step-down single currency swaps, according to Interactive Data.
In addition, the service has been expanded to offer valuations of cross currency basis swaps for an additional three currencies against the US dollar (USD) along with valuations for 13 cross currency basis swap pairs against the European Euro (EUR).
Liz Duggan, managing director of Interactive Data’s Evaluations organization, said: “We continue to build out the capabilities and currency coverage of our interest rate swap valuation service to help our clients better manage their valuation process for global OTC derivatives. Clients need valuation services with strong operational infrastructure and transparency. Our expanded service provides transparency to the valuations through the inclusion of the underlying curve data that supports these valuations.”