Corporate treasurers and risk managers now have a "blue book" for pricing structured derivatives

SuperDerivatives, a derivatives solution provider for multi-asset option pricing, revaluation, derivatives data, trading and risk management systems, which is based in London and New York, has added downloadable correlation tables to its derivatives market data portal as a tool for corporate treasurers as well as traders and risk managers. The correlation tables address the need of corporate treasurers to insure and manage various correlated business risks involving more than one underlying exposure across currencies, energy, interest rate, equity and credit risks. Additionally the data within the tables are essential for trading and risk management in highly structured derivatives instruments such as baskets, constant maturity swaps and callable power reverse dual currency swaps. It arms corporate risk managers with the relevant pricing information, allowing them to be well informed on the costs of highly structured derivatives. Says Daniel Weigert the head of SuperDerivatives revaluation center: “The reason that corporations and pension funds don’t invest as much in derivatives as they ought to in order to manage risk and enhance yields is because of the lack of clarity. What we bring to the buy side is that clarity and transparency of pricing.”

The correlations tables, which are updated daily, augment SuperDerivatives market data offerings for third-party risk management systems. The correlations tables are produced using SuperDerivatives’ option pricing model along with validated rates from the company’s global contributor network of brokers, exchanges and market makers, which contribute the rates and market data. The correlations tables span all asset classes–currencies, interest rates, credit, equity, commodities and energy–and data files are accessible via SuperDerivatives portal as downloadable Excel spreadsheets or automatically via Web services application programming interface.