ContactRob HaddadEmail: firstname.lastname@example.orgTel: +1 781 687 8408
Interactive Data’s OTC Derivatives Valuation service is delivered through IDS, Interactive Data’s portfolio administration tool. Many third-party valuation services use only a pure theoretical model to project credit default swap (CDS) curves for less liquid names. Interactive Data’s approach to valuation is market-based and also leverages our domestic and international corporate and sovereign bond evaluations.
The service covers single-name CDS and CDS index
trades, interest rate swaps (IRS) and forward rate agreements. It offers
coverage of other OTC derivatives via Prism, one of Interactive Data’s
For CDS Interactive Data’s sources include
consensus curve data based on CDS information from numerous individual dealers,
as well as CDS data from an interdealer brokers (IDBs) and quotes from
sell-side and buy-side market participants. Interactive Data’s approach also
leverages our domestic and international corporate and sovereign bond
It receives data from a major IDB and from futures
exchanges to create yield curves for the interest rate swap valuation service.
Curves are reviewed by Interactive Data’s
evaluators for large movements and other factors.
Interactive Data’s independent valuations can
assist our clients with their fair value accounting and other regulatory requirements
across Europe, Asia and the Americas.
Interactive Data adds new single name CDS and currencies coverage for IRS valuations based on client requirements.