December 15, 2003

GFI Offers 'Revaluation Fixings' Data

NEW YORK (HedgeWorld.com)--GFI Group Inc. announced that four major banks have signed up for its latest derivatives-related subscription service, FX Options Revaluation Fixings.

In a statement Dec. 8, the company said that JP Morgan Chase, Bank of America, Deutsche Bank and the Bank of Montreal all would receive data through the service, designed to help risk managers control exposure in the currency options markets.

GFI also is the owner of FENICS FX, the benchmark currency exchange option pricing and risk management program .

The new product will provide subscribers with a daily file, available at 11 a.m. (EST) each day, providing implied volatility surfaces for over-the-counter FX options for 31 of the most frequent traded currency pairs, as of 10 a.m. (EST). The company said that it uses that time because that is the customary expiry for FX options.

The "volatility surface" of an option is its volatility at a given date treated as a function of the strike price and exercise date.

GFI said that the four banks' support for its new service comes at a critical time for derivatives users, since new accounting regulations both in the United States and in Europe require all derivatives to be measured at fair value, and this will require calculations that will in turn depend upon access to independent, market observable data.

The data provided through this service "will reflect actual, traded, inter-bank prices 'live' with GFI, supplement with quotes from the company's brokers," the statement said.

CFaille@HedgeWorld.com

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