SuperDerivatives®, the benchmark for derivatives pricing and the leading provider of multi-asset front-office systems, risk management, revaluation and online options trading solutions, today announced that Nordea will be using its derivatives market data to calculate market values and risk. The Bank will use SuperDerivatives’ foreign currency volatility surfaces to make calculations on a daily basis.
With total assets of EUR 387 billion, around 10 million customers and more than 1,200 branch offices, Nordea is one of the leading Nordic banks.
"The recent market turmoil has demonstrated the importance of accurate daily valuation to manage risk and comply with accounting regulations. This begins with precise, quality independent market data. We were looking for a provider with broad coverage across currencies and asset classes which we found in SuperDerivatives," said Mikkel Fruelund, head of Product Control FX/MM. "By using its volatility surfaces data-feed we can calculate end-of-day market values and provide price transparency to our customers. This data helps us comply with current international accounting standards and financial regulation at a time when risk management is of key importance to the derivatives market."
SuperDerivatives covers all derivatives data needs with volatility surfaces, term structures yield and forward curves, correlation data and implied dividend forecasts. Complete accuracy is ensured using the SuperDerivatives benchmark option pricing model in conjunction with quality, validated rates from the company’s global contributor network of brokers, exchanges and market-makers. Coverage spans most asset classes across developed and emerging countries, OTC and exchange markets. This includes comprehensive data for currencies, interest rates, credit, equity, commodities and energy derivatives.
"The subprime crisis and recent report of massive trading irregularities have focused everyone’s attention on the need for precise, independent risk management. We have seen a huge demand from major and regional banks, hedge funds, custodians, asset managers and other market participants looking for dedicated third party data feeds for risk management and are delighted to have helped Nordea to meet this acute challenge," said Danny Weigert, Head of Revaluation Center, SuperDerivatives. "The accuracy of middle and back office systems is dependent on the quality and coverage of their derivatives data feed. SuperDerivatives award-winning market data enables all market participants to determine the fair market value of all major derivatives, significantly facilitating compliance with accounting and regulatory requirements such as FAS 133, FAS 157, IAS 39 and MiFID Best Execution."
Volatility surfaces are provided by the SuperDerivatives Revaluation Center Data Portal which generates highly accurate cross-asset (credit, equity, energy, commodities, fixed income and currencies) derivative market data for revaluation, compliance and risk management. Data files are accessible via the portal automatically over Web Services Application Programming Interface (API) or by using any market-standard format and protocol. SuperDerivatives market data is easily integrated to any external or internal risk management treasury system or used within custom spreadsheets.
The data comprises true live market rates which are "acid tested" in real time in the marketplace by active traders. This data is used in all SuperDerivatives Web-based derivatives’ pricing tools, risk management systems and portfolio revaluation services.