SuperDerivatives®, the benchmark for currency options and the leading provider of option pricing, trading and risk management systems, has unveiled a new service for large institutions to daily revalue their entire derivatives portfolios with independent and accurate market prices.
SD-MM™ Reval will help the derivatives community comply with the latest accounting standards, such as FAS 133 and IAS 39. These demand that derivative positions are regularly revalued using independent and fair market prices. SD-MM Reval is part of SD-MM, a broad set of services which make the revaluation process far simpler and, as importantly, more reliable
SD-MM has three components. The first delivers a fully accurate Vanilla options revaluation service by providing the volatility surface for strikes from 1- to 99-delta for all tenors out to 5-years on all of the currency pairs covered by SuperDerivatives; the second service provides an accurate volatility surface to revalue very illiquid currency pairs from cross currency volatilities to accurately calculate the prices using market implied correlations. The newly launched SD-MM Reval service completes the SD-MM line up by providing accurate revaluations for exotic option portfolios.
SD-MM Reval also allows for the complete automation of the portfolio revaluation process, including the time of day it is performed.
"The enhancement of SD-MM is extremely important for the whole FX market. Regulators require that derivatives portfolios are revalued at fair market prices. Until now, many institutions have struggled to comply with these requirements, as there was no reliable tool to deliver a consistent and accurate level of service," says David Gershon, chief executive of SuperDerivatives.
"SD-MM Reval finally enables standardization in option portfolio revaluations. It will open the door to the market for many institutions that have had to shy away from derivatives because of accounting reasons," adds Gershon
SD-MM Reval can be configured to run as its users want. "It can be tailored to provide revals for various time cuts or to coincide with end of day batch reporting. By automating risk management into a seamless process, SD-MM Reval significantly reduces the risk of sudden losses materializing as a result of erroneous revaluations, whether accidental or intentional," says Ahik Oron, director of products at SuperDerivatives. "This provides a real level of comfort, especially for those institutions which are just starting to use options."
The award-winning SuperDerivatives pricing model, which is recognized as the FX markets’ benchmark, is the power behind the SD-MM Reval. SuperDerivatives handles all the quantitative and computational needs to implement the service and the whole mark-to-market process is easily and efficiently integrated with customers’ own IT infrastructures.