For clients with open positions in index-based climate risk contracts and not already using the Speedwell Environmental System, we are able to provide post-trade independent valuations as a service. This may be related to end of year portfolio valuation or auditing/certification for hedge funds.
The service can also provide the necessary information to value a climate risk transfer contract on a daily basis allowing P&L management and facilitating any margining process agreed between the counterparties. Speedwell integrates the latest observations and forecasts of the underlying index to generate end-of-day valuations, VaR and other risk metrics.
Our calculations are based on advanced modelling using the Speedwell Environmental System (SES), the only independent third-party weather derivative valuation system as provided since 2002.