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Derivative valuations, risk management and hedge accounting

Easy, economical, reliable

pasVal is a service created by specialists in derivative valuations since 1995. A broad range of financial institutions and independent investment managers have relied on their enterprise-level platform, the Principia Analytic System, for official valuations, risk analysis, and accounting of their derivative portfolios for nearly 30 years.

pasVal leverages this wealth of expertise to provide a straightforward, low-cost service granting easy access to sophisticated end-of-day valuations, risk assessment, and hedge accounting.

WHAT CAN YOU DO WITH PASVAL?

1. Derivative Valuations

pasVal provides simple-to-use, yet sophisticated analytics and independent valuations.

Independent Valuations

pasVal’s mark-to-market (MTM) calculations capture market subtleties, including: OIS discounting, SOFR curve, and volatility. pasVal’s valuations are supported by the Principia Analytic System — a trusted system for official valuations since 1995 and relied upon by advisors and major financial institutions.

Fair Value Adjustments

pasVal provides non-performance valuation adjustments to meet: GASB 72, ASC 820 (FAS 157), and IFRS 13 fair value requirements. Methodology, fair value level hierarchy, and term-structure CVA and DVA support your disclosure requirements.

Cash Flow Reporting

With pasVal’s standardized cash flow reporting, you can not only perform cash flow accrual accounting, but gain visibility into historic and projected future cash positions, allowing you to be confident and proactive in managing liquidity and reset risks.

2. Risk Assessment

pasVal identifies critical market exposures and provides mitigation strategies via counterparty credit analysis, benchmarking, stress testing, model validation, and impact assessments.

Market and Credit Risk Management

Exposure management is easy with pasVal. Stress testing, counterparty credit exposure, CVA/DVA calculations and scenario analysis are standard.

Independent Model Validation & Benchmarking

In addition to serving as an official valuation engine, pasVal’s sophisticated and market-proven analytics can support internal model validation and independent benchmark valuations.

Impact Risk Assessments

In a constantly evolving market, evaluate your readiness for pending change. Let pasVal help you assess potential impacts and automate LIBOR fallbacks.

3. Hedge Accounting

pasVal takes the complexity out of hedge accounting under ASC 815 (FAS 133), GASB 53, and IFRS 9 (IAS 39) — delivering precision and transparency.

Hedge Effectiveness Testing

pasVal streamlines delivery of regulatory requirements for evaluating hedge effectiveness for all methods: critical terms, synthetic instrument method, dollar offset, and regression analysis — both retrospective and prospective testing.

Documentation and Financial Statement Disclosures

pasVal’s standard reports simplify compliance with initial cash flow and fair value hedge documentation and ongoing swap/derivative disclosure requirements.

Audit Preparedness and Client Reporting

Audit preparation is a snap with pasVal’s easy-to-manage historical valuations, audit trails, workflow controls, and reporting. Auditors and clients are quickly satisfied.

PASVAL in summary

Portfolio Valuation

  • Independently value your swap and complex derivative portfolios
  • Measure fair value for GASB 72 and ASC 820 (FAS 157)
  • Track key deal, portfolio, and risk statistics such as:
    - MTM, CVA, DV01, Theta, and Vega
  • Accommodate SOFR across all our structuring capabilities:
    - SOFR Swaps and Basis Swaps
    - SOFR Options, Caps/Floors  
    - SOFR FRNs
  • Capture market valuation subtleties such as:
    - OIS discounting
    - Tenor and basis swap adjustments
    - Volatility skew

Cash Flow and Risk Reporting

  • Perform standardized reporting that easily integrates with other systems
  • Segregate and manage client reporting
  • Calculate expected counterparty credit exposures
  • Calculate credit valuation adjustments (CVA and DVA)
  • Analyze historical, actual, and upcoming payments and resets
  • Assess full impact of OIS Discounting
  • Assess impact and automate LIBOR fallbacks
  • Support for SOFR compounded average, Index and Averages

Hedge Accounting

  • Support GASB 53 and ASC 815 (FAS 133) reporting
  • Access historical valuations, positions, and reporting
  • Evaluation of hedge effectiveness:  
    - Consistent critical terms
    - Synthetic instrument method
    - Dollar-offset
    - Regression analysis
  • Prospective & retrospective hedge effectiveness methods
  • Precision with all the conventions for SOFR FRNs:  
    - Observational Shifts  
    - Payment Delays
    - Reset Cutoffs
    - Lookbacks

Streamline your valuation and risk analytics with pasVal

Get in Touch Today