SDX EQ Presentation

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SuperDerivatives\' unique front-office system for Equity Structured Products. The only system that combines calibrated, implied market data, with market standard models and expansive instrument coverage. SaaS-based system that will make it easier for asset management and investment companies to structure, calibrate and sell structured products.

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SDX EQ Presentation

  1. 1. SD X : Equity Derivatives & Structured Products platform Copyright © 2000-2009 by Super Derivatives, Inc. SuperDerivatives Proprietary and Confidential. Please do not distribute in any manner without SuperDerivatives' prior written consent. pricing | analysis | structuring | trading | risk management | revaluation Equity Derivatives Manager : Mikael Benguigui +44 207 648 1054 m.benguigui@sdgm.com SuperDerivatives named Best Data Provider for Derivatives in Inside Market Data Awards
  2. 2. About SD <ul><li>Founded in 2000 </li></ul><ul><ul><li>A decade of derivatives market observations </li></ul></ul><ul><ul><li>Deep historical database </li></ul></ul><ul><ul><li>Rich product portfolio </li></ul></ul><ul><li>Unparalleled product coverage </li></ul><ul><ul><li>Expertise in all asset classes </li></ul></ul><ul><ul><li>Comprehensive instrument coverage </li></ul></ul><ul><li>Market innovation </li></ul><ul><ul><li>Five-year R&D investment in multi- and cross-asset solutions </li></ul></ul><ul><ul><li>Comprehensive solutions for the entire workflow </li></ul></ul><ul><ul><li>Patented technology and proven, independent methodology </li></ul></ul><ul><ul><li>Web-based technology that enables frequent, seamless upgrades </li></ul></ul><ul><li>A global business </li></ul><ul><ul><li>Thousands of customers in over 60 countries </li></ul></ul><ul><ul><li>350 employees across the world with NY and London headquarters </li></ul></ul><ul><ul><li>24-hour expert support </li></ul></ul><ul><ul><li>Derivative market convention expertise globally </li></ul></ul><ul><li>Experienced management team with extensive market expertise </li></ul>
  3. 3. Facilitating independent derivatives pricing and management <ul><li>Derivatives front offices around the world </li></ul><ul><li>Many structured products desks across Europe, Asia and the US </li></ul><ul><li>Private Banks </li></ul><ul><li>Insurance Cies </li></ul><ul><li>The ‘Big 5’ auditors </li></ul><ul><li>Custodians </li></ul><ul><li>Fund administrators </li></ul>
  4. 4. The SD approach: WE MATCH MARKET PRICES <ul><li>Accurate, industry-standard models and methodology </li></ul><ul><li>Market data is sourced from major interdealer brokers, local market brokers, leading global exchanges and top data aggregators </li></ul><ul><li>Data is cleansed, processed and fed into the pricing model to provide derivatives pricing that is highly reflective of the market </li></ul><ul><li>This helps buy-side institutions to generate more revenue : </li></ul><ul><ul><ul><li>Calibrate independently product prices by playing with parameters </li></ul></ul></ul><ul><ul><ul><li>Build internal knowledge and product expertise </li></ul></ul></ul><ul><ul><ul><li>Reduce the heavy pre-trade “indicative prices process” with counterparties </li></ul></ul></ul><ul><ul><ul><li>Offer a more professional service to their end-clients: shorter time to answers, price simulations, structuring capabilities </li></ul></ul></ul><ul><ul><ul><li>During the post-trade period, follow diligently the accuracy of the MTM provided by counterparties and spot any unreasonable price discrepancies (“secondary market business”) </li></ul></ul></ul>
  5. 5. Product Offering <ul><li>SD X : Unique front office system , dedicated mainly to Buy Side, that combines solid implied market data, sophisticated pricing models and extensive option/product coverage: </li></ul><ul><ul><li>Pricing Tools in FX, FI, Equity, Credit and Commodity derivatives and Structured products </li></ul></ul><ul><ul><li>Pre-trade tools : Back Testing, risk matrix, pricing table, Term sheet </li></ul></ul><ul><ul><li>Post-trade tools: MTM report, position keeping tool </li></ul></ul><ul><li>eValue X : Outsourced Independent Portfolio valuation service for Risk, Product Controlling to support sanity check of fair values instruments. </li></ul><ul><li>Data X : Independent real time Mark-to-Market data , such as Implied Volatility surfaces, Implied dividend curves, implied correlation matrix… It can be integrated into clients data network or internal pricing engine. </li></ul>
  6. 6. Workflow Map – Client Advisory Look For Strategy Customize catalogue Request Quote Backtesting Deal capture to core system Bespoke structuring Term Sheets Client Advisor
  7. 7. SD-EQ Pricing Platform (I) <ul><li>Interactive menu </li></ul><ul><li>Over 1,800 supported assets </li></ul><ul><li>Stocks, ADRs, GDRs, ETF, bespoke indices (MSCI, UBS, …) </li></ul><ul><li>Most active markets: US, Japan, Europe, HK, Switzerland, UK,… </li></ul><ul><li>Emerging markets: Korea, Russia, Brazil, Turkey… </li></ul>SD-EQ offer a very large universe of underlyings <ul><li>Commodity assets: Gold, Silver, Corn, WTI, Brent, Cotton… </li></ul><ul><li>Fit volatility surfaces based on your own inputs </li></ul><ul><li>Build and save data in your private database </li></ul><ul><li>Toggle between SD source and your own data source </li></ul><ul><li>Import/Export from Excel </li></ul>
  8. 8. SD-EQ Pricing Platform (II) <ul><li>Fixed income instruments : </li></ul><ul><ul><li>Cash Flow, IR Swap </li></ul></ul><ul><li>Delta 1 instruments: </li></ul><ul><ul><li>Spot, Future, Forward and TRS </li></ul></ul><ul><li>Vanillas and barrier options : </li></ul><ul><ul><li>2 legs vanilla strategies, Var & Vol Swap, Digital, barrier </li></ul></ul><ul><li>1st generation Exotics: </li></ul><ul><ul><li>Asian, Baskets, Worst/Best off with barriers </li></ul></ul><ul><li>2nd generation Exotics: </li></ul><ul><ul><li>Rainbow, Himalaya, Cliquet, Accumulator, Spread option </li></ul></ul><ul><li>3rd generation Exotics: </li></ul><ul><ul><li>Local Cap basket, multi asset Autocallable </li></ul></ul>SD-EQ covers a wide range of exotic Options that can be used to create any Structured product
  9. 9. SD-EQ Pricing Platform (III) <ul><li>Easy to use generic Structured Product builder tool </li></ul><ul><li>Creation of Structured product catalogues with different access rights </li></ul><ul><li>Fully customizable screen (GUI) in order to match term sheet’s main parameters </li></ul><ul><li>Display of each component prices embedded in the product </li></ul><ul><li>Template based pricing screens </li></ul><ul><li>Solver functionality </li></ul>SD-EQ is a unique solution for Structured Products
  10. 10. Intuitive and flexible UI (ex: Autocallable) A single screen can be used to price the vast majority of Autocallable structures seen in the market Expected duration according to model Fixe the Offer Price and Solve for Coupon or Autocall Barrier level
  11. 11. Multi-Asset bespoke structuring <ul><li>Multi-asset portfolio page built with Excel-like functionality: link cells, create formulas and design templates </li></ul>
  12. 12. Back testing Dedicated Back Testing analysis for Autocallable products: Historically, this Autocallable product has been Autocalled (KO) at pair in 61.44% of the cases (daily simulations). Back testing tool can be used for any Structured product or any options strategy Below, back testing of a Capped Bonus Certificate 18months on Nikkei 225 Index
  13. 13. Find a strategy Look for strategies based on most common products in the market Can also be easily customized to match in-house catalogue of structured products
  14. 14. One click Deal Capture <ul><li>Post trade deal capture from either: </li></ul><ul><ul><li>Single option and/or portfolio page pricing screens </li></ul></ul><ul><ul><li>Structure GUI </li></ul></ul><ul><ul><li>Position keeping bloater </li></ul></ul>
  15. 15. 3 Dimensions Pricing Table Pricing table tool can be used for any Structured product or any options strategy : it allows the user to run prices for up to 1000 combinations of the same product, based on parameters variations, such as assets, maturity, Coupon, Barriers, Strike …. Below, Pricing table of an Autocallable Product
  16. 16. <ul><li>The best gets better… </li></ul><ul><li>SD-EQ is constantly improving with FREE monthly system release where all users will get more option instruments, more sales tools, wider asset coverage and: </li></ul><ul><ul><li>Ultra flexible 3 dimensions Pricing table tool (Q2 2011) </li></ul></ul><ul><ul><li>Main Commodity assets included in SDEQ (Q2 2011) </li></ul></ul><ul><ul><li>Credit spread for Note Issuers (Q3 2011) </li></ul></ul><ul><ul><li>Basket optimizer (Q3 2011) </li></ul></ul><ul><ul><li>Request For Quotes (Q3 2011) </li></ul></ul><ul><ul><li>Addition of latest Structured Products in the market </li></ul></ul><ul><li>SD Structuring Team is here for you… </li></ul><ul><ul><li>Desk of 3 ex-Structurers from Tiers 1 Investment Bank </li></ul></ul><ul><ul><li>Based a product term sheet that you send us, we can either double check your template or build it for you and save it into your own user profile </li></ul></ul><ul><ul><li>This service is FREE of charge when you buy SDEQ licenses </li></ul></ul>
  17. 17. For More Information: <ul><ul><li>Contact Omer Nimrodi – Regional Sales Manager, Finland & Denmark </li></ul></ul><ul><ul><li>[email_address] </li></ul></ul><ul><ul><li>+44 20 7724 4167 </li></ul></ul><ul><ul><li>www.sdgm.com </li></ul></ul>

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