OTC derivative valuation experts SuperDerivatives have responded to the short-term liquidity crisis by releasing an upgraded version of their on-line credit derivatives platform, SD-CD.
SuperDerivatives claims that “the new version represents a substantial increase in the level of functionality, price-transparency and analytic power compared to that offered by currently available solutions addressing challenges posed by the recent dramatic developments in structured credit markets.”
The new version includes a pricing model for bespoke synthetic tranches, with the aim of facilitating efficient and transparent hedging of CDOs. It provides intraday pricing relying on tradable two-way data from multiple sources SuperDerivatives claims competitive products that use previous-day consensus data which does not reflect actual tradable prices- and portfolio utilities which support name-specific default and market risk metrics.
The new version is linked to pricing engines for other asset classes, so users can exploit connections between a company’s credit rating and stock price and the prices of energy products and commodities that are related to the company’s activity and could affect its credit rating.
“The sub-prime crisis has made it clear that many investors do not have the tools for pricing and risk management of the structured credit instruments,” says Sasha Rozenberg, product manager for credit derivatives, SuperDerivatives. “SuperDerivatives is stepping in to fill this gap, improving the transparency and liquidity of credit derivatives as it has done in other asset classes. We’re giving credit derivatives market practitioners a one-stop-shop experience where they can access all asset classes from the same familiar, intuitive user interface resulting in a single, powerful derivatives platform that allows a combined view of all traded asset classes, supporting hybrid structures and strategies.”