The leading knowledge platform for the financial technology industry
The leading knowledge platform for the financial technology industry

A-Team Insight Blogs

DerivActiv Expands Services to Cover FAS 157 Reporting Requirements

DerivActiv, a provider of independent derivatives valuations, has expanded its services to include non-performance risk adjusted valuations for FAS 157 reporting of derivative products. The vendor explains that it has developed a proprietary procedure to evaluate non-performance risk and adjust mid-market values to comply with the fair value reporting requirements.

According to the vendor, its adjustment methodology has been used in financial reports and its process has been reviewed by national and regional accounting firms. Johan Rosenberg, president of DerivActiv, explains: “With the emphasis on exit price determination, the changing credit characteristics of each counterparty must be taken into account in determining fair value. Changes in the marketplace affect the exit price and require an adjustment to the standard mid-market valuation.”

Under FAS 157, fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. This new definition focuses on the exit price of the instrument rather than an entry price.

The vendor says its solution is a response to the growing need for independent valuations and transparency in all derivative transactions. Accordingly, DerivActiv will provide FAS 157 valuations for derivatives including plain vanilla swaps, swaptions, knock-outs, CMS swaps, equity swaps, foreign currency swaps, range accrual swaps and other exotic derivative structures.

Related content

WEBINAR

Recorded Webinar: A new way of collaborating with data

Digital transformation in the financial services sector has raised many questions around data, including the cost and volume of reference data required by each financial institution. Firms want to pick and choose the reference data they need to fulfil their requirements. Emerging solutions with the potential to decrease the cost of data and increase flexibility...

BLOG

NeoXam Partners Market Data Consultancy MDP to Extend Reach of DataHub

Paris-based data management platform provider NeoXam has forged an alliance with market data consultancy MDP to extend the reach of its DataHub platform in the DACH region comprising Germany, Austria and Switzerland. The initiative will focus on helping clients deal with market and reference data challenges such as costs, multi-vendor strategies, reconciling data sources and...

EVENT

TradingTech Summit Virtual

TradingTech Summit (TTS) Virtual will look at how trading technology operations can capitalise on recent disruption and leverage technology to find efficiencies in the new normal environment. The crisis has highlighted that the future is digital and cloud based, and the ability to innovate faster and at scale has become critical. As we move into recovery and ‘business as usual’, what changes and technology innovations should the industry adopt to simplify operations and to support speed, agility and flexibility in trading operations.

GUIDE

Entity Data Management Handbook – Second Edition

Entity data management is this year’s hot topic as financial firms focus on entity data to gain a better understanding of customers, improve risk management and meet regulatory compliance requirements. Data management programmes that enrich the Legal Entity Identifier with hierarchy data and links to other datasets can also add real value, including new business...