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SuperDerivatives Upgrades VolSurface Solution for Mark to Market Rules

Derivatives data specialist SuperDerivatives has upgraded and renamed its derivatives revaluation and risk management offering, VolSurface, to accommodate improvements to market data and risk reference data. The service, which is now called Mark-to-Market Data, has been altered to more adequately meet the requests of its customers following recent feedback, says the vendor.

Dani Weigert, Mark-to-Market product manager at SuperDerivatives, reckons the solution is ideal for risk management in the current market: “The ability to customise the service to meet exact requirements allows users to create a bespoke feed for their in-house risk management systems.”

The vendor claims Mark-to-Market Data provides independent risk reference data for vanilla and advanced derivatives across commodities, energy, equities, FX and interest rates. The service combines its benchmark pricing methodology with market rates collected from a selection of active market participants in order to provide a validated volatility feed for a range of liquid and illiquid markets. The data for these feeds comes from sources including interbank, local brokers, global exchanges, interdealer brokers and data aggregators.

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, says SuperDerivatives.

According to the vendor, the service can be used as a customisable data feed for risk management systems and can be used to comply with regulations that require third party, independent derivatives pricing.

The current furore over mark to market rules in the US is certain to have an impact on the future of this solution if the accounting rule’s detractors have their way. However, for the moment, it seems that mark to market is here to stay, albeit in a slightly altered form, meaning SuperDerivatives should potentially have some mileage in offering to help firm comply with the controversial rules.

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