We hold a proven track record of successfully executing a broad range of services, including the valuation of financial instruments, hedge accounting, the pricing for purchase and sale of derivatives, the implementation of valuation frameworks, and the calculation of margin calls. We also offer trainings on various valuation-related topics.
The complexity of financial products, the sheer lack of direct market quotes, and constantly evolving accounting regulations, together give rise to difficulties in accurate product pricing. Zanders’ Valuation Desk provides accuracy and certainty by providing reliable independent valuations, periodically or on an ad-hoc basis.
We ensure professionalism throughout our valuations, thoroughly carrying out strict, complete and automated checks on the market data we use daily. Furthermore, we have increased our independence by implementing the F3 solution from FINCAD in our current internal valuation models. This permits us to value a large range of financial instruments with a high level of quality, accuracy and wider complexity.
Our experienced consultants value numerous financial instruments, including:
- interest and FX derivatives (including options);
- mortgages and securitizations (including RMBS);
- inflation-linked products;
- equity and index options; and
- company loans and notes.
We perform valuations with the best market practice, fully adhering to standard accounting regulations, such as IFRS 13, RJ 290 and Solvency II. For example, our consultants are experienced in calculating the Credit Value Adjustment (CVA) and Debit Value Adjustment (DVA) of the most complex products.
Our valuation results are compiled and summarized in a clearly written report including an explanation of the results, assumptions and underlying market data. We offer flexible support and are available to answer any questions, additional requests and subsequent alignment with auditors.
Uncertain times posing challenges
In uncertain times, with high market volatility, it is imperative to have a well-defined hedge accounting process and flawless execution. The hedge effectiveness of the hedge accounting relationship may be compromised, or the hedged exposure may disappear resulting in an immediate P&L effect. By taking control of these issues, you can focus on what is really important for your operation!
Hedge accounting provides the alignment of the accounting treatment of your hedged item with the hedging instrument. Hedge accounting can be applied subject to compliance with the requirements set out in IFRS 9/IAS 39, RJ 290 or ASC 815. Adhering to these requirements can be complicated and challenging. Furthermore, the introduction of IFRS 9 has led to some changes in the hedge accounting requirements. Read more about these changes in this article.
Zanders Hedge accounting service
The Valuation Desk is experienced with hedge accounting for a variety of hedge relations, ranging from the most common interest rate hedges to complex commodity hedges. We can assist on all phases of the hedge accounting process, such as:
- drafting hedge accounting policies;
- creating of a hedge relation;
- drafting the hedge accounting documentation;
- set-up and valuation of hypothetical derivatives in compliance with IFRS 9/IAS 39, RJ 290 or ASC 815;
- valuation of hedging instruments in compliance with IFRS 13;
- hedge effectiveness testing (qualitative and quantitative); and
- determination of OCI and P&L bookings.
By incorporating our expertise in derivative valuations, we deliver accurate, reliable calculations to prove the effectiveness of the hedges implemented. Our hedge effectiveness calculations are approved by accounting firms.
other valuation service
Product advisory: To help our clients to maintain a portfolio that meets their needs, we offer support with respect to the pricing, purchase and sale of derivatives. Additionally, Zanders’ valuation desk offers a holistic service, as we assist in analyzing and restructuring client portfolios, as well as follow-up advice for negotiations with third parties and the verification of provided quotes.
Valuation framework: Zanders has extensive knowledge and experience of the implementation and validation of client-specific valuation frameworks. Our support includes sensitivity and scenario analysis as well as implementing automated regulatory valuation reports for mortgages and structured products.
Model validation: Zanders’ Valuation Desk is experienced in the validation of valuation frameworks. More information on our model validation procedures can be found here.
Calculation of margin calls: Due to our expertise in derivatives valuation, Zanders can verify if the threshold for financial instruments’ collateral has been exceeded. With knowledge of regulations surrounding ISDA/CSA, EMIR and CCP, we offer support in the correct collateral calculation and margin calls.
Training: We offer training sessions on the valuation of financial instruments, on regulations, the best market practice and financial reports. Please contact us for more information about our training opportunities.
We assisted an international marine expert with:
- Complex financial instrument valuation (fuel swaps and Consumer Price Index swaps) to hedge fuel and inflation risks
- Valuation and hedge effectiveness testing via outsourcing
- IFRS 13 and IFRS 9 reporting, including the assumptions and data used
An international bicycle manufacture asked us for help with:
- Derivative portfolio valuation that included interest rate swaps, FX forwards and FX options
- Hedge effectiveness testing via outsourcing
- IFRS 13 and IFRS 9 compliant reporting that proved the effectiveness of all hedge relationships
We support a European-based construction company by:
- Creating a Performance Share Plan for members of the board
- Providing a fair value report of the share plan used for financial statements
- Answering questions from auditors and following up on questions or remarks from the client