SuperDerivatives (SD), the derivatives benchmark, has significantly upgraded its VolSurface service as Mark-to-Market Data, enabling cost-effective and self-service derivatives revaluation and risk management.
The improvements to the service are based on feedback from over 400 customers around the world, which revealed serious concerns about relying on in-house market data or data from counterparties and other non-independent sources and a need for data that truly reflects the current OTC market.
SD’s Mark-to-Market Data provides quality and independent market-accurate risk reference data for vanilla and advanced derivatives across commodities, energy, equities, FX and interest rates.
The service combines SD’s benchmark pricing methodology with market rates collected from a selection of active market participants, delivering an accurate, automated, and validated volatility feed for a range of both liquid and illiquid markets.
In addition to volatility surfaces, the upgraded service now also offers intraday or end-of-day automated feeds for yield curves, forwards curves, overnight index swaps (OIS) curves, inflation curves, correlations and equity dividend flows, making it a truly robust risk market data solution.
SD’s Mark-to-Market Data is designed to help banks, funds and corporates who wish to manage risk in their portfolio but also control the costs for accessing the best available derivatives market data to inform their decisions and reporting.
The service can be used as a customisable data feed for risk management systems, replacing makeshift and often inaccurate methods such as capturing data in a spreadsheet.
By offering an independent, third party view of users’ entire multi-asset derivatives portfolio, SD enables organisations to establish best practice for reporting and compliance.
The quotes used to power SD’s market data are sourced from multiple contributors among the most liquid and credible sources, including interbank, local brokers, leading global exchanges, interdealer brokers and top data aggregators, producing the most credible, independent view.
The service is invaluable for middle and back office professionals, risk managers, controllers and auditors, as it enables them to work independently, reduce costs and comply with new regulations that require third-party, independent derivatives pricing.
Dani Weigert, Mark-to-Market Product manager, SD said: “The key to derivatives valuation is the quality, accuracy and reliability of data across asset classes and markets which has to be delivered electronically as close to real time as possible in order to allow distribution tools to be automated, and to enable generation of end-of-day reports.
“Our Mark-to-Market Data service now boasts the widest asset coverage and the most extensive selection of market-accurate risk data, making it a fully-fledged industrial-strength solution for cost-effective risk management.
“The ability to customise the service to meet exact requirements allows users to create a bespoke feed for their in-house risk management systems, cutting the overall cost but still delivering a top quality solution.”
In a recent review in Automated Trader magazine, Martin Gymer and Andy Webb commented: “The whole approach to risk management of option desks has changed in recent years. Banks are adopting a joint responsibility approach involving both traders and risk managers that includes regular and detailed communication, which is then circulated in a condensed form to senior management.
“SD’s Mark-to-Market Data fits well with this, or pretty much any other approach to managing the risks of volatility surface errors. In addition, many traders will also quickly appreciate that the service is not just a middle or back office tool, but something that will benefit their own trading profitability.
“In automated options trading, where trade and data volumes flow ever faster and larger, SD’s widely sourced data, broad coverage and statistical rigour make it a strong contender.”
In addition to its Mark-to-Market Data product, SD also offers SD-Reval, a comprehensive solution for the independent revaluation of organisations’ entire derivatives portfolios. Both services are supported by a dedicated team of experts, who are available for strategic and technological advice 24 hours a day.