Sd market data_dec2012ppt
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SuperDerivatives Market Data Solution
04/12/23 2 2
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
04/12/23 3
DGX In addition to bulk data feeds, SD market data is also available for viewing within real-time monitoring screens.
04/12/23 4
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.
CollectCollect
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FormForm
SmoothSmooth
CalibrateCalibrate
PublishPublish
FeedbackFeedback
AdjustAdjust
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Sources
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.
04/12/23 8
Market Data and Vol Surfaces
CollectCollect
1122
99nn
3344
5566
7788
NormaliseNormalise
FormForm
SmoothSmooth
CalibrateCalibrate
PublishPublish
FeedbackFeedback
AdjustAdjust
Auto
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QA
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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
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.
04/12/23 9
Market Data and Vol Surfaces
CollectCollect
1122
99nn
3344
5566
7788
NormaliseNormalise
FormForm
SmoothSmooth
CalibrateCalibrate
PublishPublish
FeedbackFeedback
AdjustAdjust
Auto
mati
c Q
A m
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rsAu
tom
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QA
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Data is published customers immediately, allowing a feedback loop from the trading community.
Sources
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.
04/12/23 10
Market Data and Vol Surfaces
CollectCollect
1122
99nn
3344
5566
7788
NormaliseNormalise
FormForm
SmoothSmooth
CalibrateCalibrate
PublishPublish
FeedbackFeedback
AdjustAdjust
Auto
mati
c Q
A m
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rsAu
tom
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QA
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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.
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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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
SD Coverage for Market Data
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
SD Coverage for Market Data
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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.
SD Coverage for Market Data
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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 …
SD Coverage for Market Data
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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.
SD Coverage for Market Data
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
SD Coverage for Market Data
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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.
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