SuperDerivatives, a leading real time financial information, derivatives technology and tradeexecution provider, has enriched its multi-asset valuation service eValueX, its corporate risk and compliance system CorporeX and its multi asset front office system SDX, with the ability to perform credit value adjustment (CVA) for OTC derivatives portfolios.
The enhancement has been launched in response to significant demand from corporate treasurers and auditors for a solution to the complex challenge of evaluating counterpartycredit risk in response to the latest regulatory requirements.
Drawing on its award-winning market data, leading analytical capabilities in all OTC derivatives markets, innovative technology and over 15 years of historical data in all asset classes, SuperDerivatives has created a comprehensive CVA solution that enables institutions to accurately quantify and manage counterparty credit risk.
Delivered in all the company's products and as part of SuperDerivatives' multi-asset portfolio valuation offering, the solution allows users to define a CVA method that suits their bespoke valuation requirements. It enables the adjustment of mark-to-market valuations and pricing of new contracts to reflect the inherent counterparty credit risk associated with trades that are not fully collateralised. The solution has already been deployed by a number of largeauditing firms and corporations to help them comply with upcoming changes in accounting regulations.
SuperDerivatives calculates CVA based on complex methodology using observable implied parameters that can be tailored to a company's specifications, in-line with the industry's best practice principles. The system is designed to be intuitive and offerssuperior analytics capabilities. It also includes netting and aggregation, helping to calculate potential future exposure while enabling simple integration into a company's workflow.
Dr. Yuval Levy, CTO at SuperDerivatives comments: "With the regulatory changes in accounting coming into effect at the start of next year, we noticed a distinct need among corporates for a CVA solution that would enable them to evaluate and reporttheir exposure to counterparty credit risk. Our CVA solution was developed together with some clients in order to ensure best usage and full compliance.
"As CVA can be calculated using a wide variety of methodologies, all requiring adjustment to changes in the market, the solution had to be both flexible and easy to use. SuperDerivatives' CVA solution is a combination of our high quality market data and proven calculation engine, delivered through a simple, intuitive interface over the cloud. The fact that so many clients use it now on a daily basis is a greatassurance of our solution."