Derivatives advisory
Our derivative advisory team has ample experience in assessing, pricing and hedging all kinds of derivatives which are traded as OTC products in the financial markets. Our time spent on the trading floors of major banks allows us to stand beside our clients with comprehensive insight into their banking relationships and the derivatives available to manage interest rate, credit and foreign exchange risk.
Our derivative advisory services include amongst others organising and conducting competitive tenders including the negotiation of term sheets, documentation and financial modeling. The advice we provide to companies is objective and independent of the providers of these derivatives.
Examples of situations in which we may be involved:
- Fair value or mark-to-market (MTM) measurements
- Pricing interest rate derivatives
Ad. 1: Fair value or mark-to-market (MTM) measurements:
Fair value accounting continues to be a topic of significant interest and debate among the preparers and users of financial information. The fair value standards, Accounting Standards Codification 820, Fair Value Measurement (ASC 820) and IFRS 13, Fair Value Measurement (IFRS 13), are principles-based standards that, with few exceptions, impact all fair value measurements in a reporting entity’s financial statements. We can provide our clients with the fair value or mark-to-market (MTM) measurements of vanilla and exotic derivatives (i.e. equity, FX, interest and credit), fixed income instruments, structured notes and private equity investments. We can perform these valuations on an individual and/or portfolio basis. In the case of a valuation we take into account other factors that also affect the value such as counterparty credit risk (e.g. Credit Valuation Adjustment (CVA) and Debit Valuation Adjustment (DVA)).
Ad. 2: Pricing interest rate derivatives:
- Pricing interest rate derivatives as they are offered by banks to clients and during their term
- Assessing the hidden margins charged by banks in selling interest rate derivatives
- Advising clients whether the interest rate exposure should be hedged with an interest rate derivative and which product would best suit the client
- Assisting clients in any dispute they might have with their bank in respect of sold interest rate derivatives
- Acting as financial and economic expert in court cases initiated by clients
- Assessing the loss of business value as a result of ill-advised interest rate derivatives