Sd market data_dec2012ppt

SuperDerivatives Market Data Solution

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SuperDerivatives Market Data Business Overview

SD Data Management

Process

Multiple Data

Sources

SD Apps and Models

SD Web-based apps

SD Revaluation

SD Market Data

Bulk data

XLS, CSV

Sources: banks/brokers, exchanges, market data aggregators, SD clients.

Reports

XLS, CSV

Transparency, independence, full coverage, accuracy, consistency.Various delivery options for flexible and quick implementation.

Bank’s Systems

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DGX In addition to bulk data feeds, SD market data is also available for viewing within real-time monitoring screens.

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How Our Clients Use SD Market Data

SD market data is used in multiple ways within a bank – either for monitoring/calculation within SD apps or imported into the bank’s internal systems.

Some examples of types of usage:1. Pre-trade price discovery2. Post-trade for Risk and Position management3. Trade Surveillance and Compliance4. Product control by mid-office IPV groups5. CVA (Credit Value Adjustment) calculations6. HVaR for collateral management7. Back-testing of the bank’s models using SD history

SD’s market data is used by all our clients (1,300+ institutions).

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Awards & RecognitionsAwards & Recognitions

2012 Best New Data Products

2012 Best Data Provider for Derivatives

2011 Best Data Provider for Derivatives

2012 Best risk management and option pricing provider

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Awards & RecognitionsAwards & Recognitions

“…beating off competition from Bloomberg, Thompson Reuters, and Marketit…”

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Market Data and Vol Surfaces

Sources: 3,000,000+ data points collected daily, from global and local banks/brokers, exchanges, market data aggregators, SD clients.

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SD’s clients use market data as input to a range of applications that support trading, sales, portfolio/risk management, CVA management, and compliance/surveillance areas.

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Data quality monitors are created for each asset.

• All data points are normalized to ensure compliance with the algorithmic process

• Data is checked for quality and latency• Data points are fed into the existing surface

which is then re-formed to include the new data

• Smoothing algorithms ensure a consistent arbitrage free surface

• Individual points and whole curves/surfaces are checked for realistic moves

• Trade data is used to calibrate the surfaces• Dedicated team of analysts working 24x6

Sources


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Data is published customers immediately, allowing a feedback loop from the trading community.

Sources


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SourcesDelivered through: a) SD web based application b) SD API access allowing direct data transfer to in-house systems

c) Bulk data feeds.


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SD Market Data

1. Daily:• Distribution and formats:

Direct data transfer to in-house systems (MQ Series and Web Services API).

Bulk data feeds using XLS, CSV, or XML. Delivered to a FTP site.• Real-time and specific “cut-times” : SD provides a “cut” time at

market close as well as additional cut-times throughout the day. For several asset types we do 24 cuts per day.

• Timing of Delivery: For IR, FX, and CD, the data is distributed within a few minutes of the “cut” time.

2. Historical: • For many instruments we have 6+ years of history for curves and vol

surfaces. Historical data are large data sets.

Delivery options for market data:Various delivery options for flexible and quick implementation

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Market Data for OTC and Exchange traded instrumentsSD market data sets across FX, Rates, Credit, Equity, Commodity/Energy. Coverage includes:

• Yield Curves• OIS Curves• Vol Surfaces• Inflation Curves• Index and single security data• Credit Curves• Exchange data

SD Coverage for Market Data

Highlights for each asset type shown in the following slides.

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FX:• FX option Implied Volatility data (200+ currency pairs and crosses), tenors 1 day to 10 yrs• Implied/Historical Correlation data.• Historical Data for 6+ years


Equity: 2,752 live stocks, 200 Indices globally, Implied volatility surfaces, tenors arranged by standard time pillars and/or listed expiry dates, and forward curves. 3-5 years of history.

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Interest Rate Data• Yield Curves: USD, JPY, AUD, EUR, CAD, GBP, CHF …(42 currencies)• OIS Curves: USD, JPY, EUR, GBP, CHF, CZK, DKK, HKD, INR, NZD, PLN, SEK, SGD• Inflation Curves: USCPI, HICPxT, FRCPIxT, HICP, SPCPI, FRCPI, UKRPI, JPYCPI…• Inflation Surfaces for Options: USCPI, UKRPI, HICPxT and FRCPI


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Interest Rate Data: (continued from prior page)

• Swaption Vol Data: USD, JPY, AUD, EUR, CAD, GBP, CHF, NOK…(25 currencies, 30 yrs tenors)

• Cap/Floor Vol Data: USD, JPY, AUD, EUR, CAD, GBP, CHF, NOK…(26 currencies 30 yrs of tenors)

• Historical Data: for 6+ years for major currencies, 4+ years for minor currencies.


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Credit Spread Data:Coverage of the full Credit universe:

• CDX Index: (518 Indices)• CDS Index Standard Tranche• CDS (1,945 names)• Bespoke CDO Tranche• First To Default …


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• Exchange data 1

Delivery T+1 basisOpen price, Closing price,

settlement price, high/low price, daily volume, open interest.

• OTC Vol Data and Forward CurvesPrecious and base metals: “Vol”

surfaces with 6+ years of history. Agriculture, Dry & Wet bulk

freight: Implied volatility and forward curves, 3-5 years history.

Energy: Crude oil (various grades): residual fuel oil, Jet Fuel, Gasoline Diesel, Gasoil, Naphtha, Nat Gas (all points of delivery), Electricity (Europe, NA, Australia), Emissions, Coal, Palm Oil; providing Implied volatility, daily with 3 years history.


Commodities / Energy Data :

1 Exchange data (T+1) for other asset types is also available.

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Exchange traded commodities:• Delivery on T+1 basis• Content includes:

Open Price Closing Price Settlement Price High Price Low Price Total Daily Volume Open Interest


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Appendix: Data Coverage

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IRPlease note that SD’s coverage is constantly expanding as new instruments are introduced into the market. Hence, the table below may not reflect the most current list.

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Commodities/EnergyPlease note that SD’s coverage is constantly expanding as new instruments are introduced into the market. Hence, the table below may not reflect the most current list.

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Commodities/EnergyPlease note that SD’s coverage is constantly expanding as new instruments are introduced into the market. Hence, the table below may not reflect the most current list.

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FXPlease note that SD’s coverage is constantly expanding as new instruments are introduced into the market. Hence, the table below may not reflect the most current list.

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FXPlease note that SD’s coverage is constantly expanding as new instruments are introduced into the market. Hence, the table below may not reflect the most current list.

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SuperDerivatives Revaluation ServicesEQPlease note that SD’s coverage is constantly expanding as new instruments are introduced into the market. Hence, the table below may not reflect the most current list.

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CreditPlease note that SD’s coverage is constantly expanding as new instruments are introduced into the market. Hence, the table below may not reflect the most current list.

Sd market data_dec2012ppt

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