Markit launches inflation derivatives valuations

The St. Albans-based pricing firm has worked with 12 inflation derivatives dealers to create an independent valuation service for mark-to-market pricing of euro harmonised consumer inflation ex-tobacco, French consumer price inflation ex-tobacco, UK retail price index and US CPI zero coupon swaps.

Swaps of up to five years’ duration will have monthly granularity, with the firm saying it expected to add year-on-year swaps and floors by 2006.

The new inflation service forms part of Markit’s Totem service, aimed at risk managers and product controllers in sell-side institutions, which provides monthly independent valuations on over-the-counter derivatives, including interest rates, credit, equity, currency and energy.

Tim Barker, head of valuations at Markit in London, remarked that the new inflation service was developed in response to "a surge of client interest in highly structured interest rate derivatives and inflation-linked trades".

Meanwhile, Bradford Levy, a managing director of Goldman Sachs’ e-business group in New York and a participant in the project, said that Markit’s new inflation service now allowed dealers to mark their month-end revaluations with more certainty. "Given the wide spreads in the broker market, it will also provide us with very useful information on monthly seasonality out to five years, something that has been unavailable until now."

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here