DerivActiv has developed a proprietary procedure to evaluate non-performance risk and adjust mid-market values to comply with the requirements of FAS 157 fair value reporting. Our adjustment methodology has been used in financial reports and our process has been reviewed by national and regional accounting firms.
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. Johan Rosenberg, President of DerivActiv said âWith 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.â
Given the growing need for independent valuations and transparency in all derivative transactions, DerivActiv will provide FAS 157 valuations for all types of derivatives, including plain vanilla swaps, swaptions, knock-outs, CMS swaps, equity swaps, foreign currency swaps, range accrual swaps and other exotic derivative structures.
DerivActiv is committed to working with all users of derivative instruments including non-profit hospitals and educational institutions, governments, corporations, hedge funds, accounting firms, trustees and dealer counterparties to address the desire for independence and transparency in the derivatives marketplace.