Valuation services

Independent Post Transaction Valuation

EDG provides price calculations and plausibility checks for complex, structured and illiquid securities. The product types covered include:

• Structured products / certificates
• Straight fixed bonds and floaters
• Callable lower Tier II bonds
• ABS structures (incl. subgroups)
• Repackaged securities in SPVs (e.g.: participation certificates)
• OTC derivatives

Examination of Market Compliance /
Transaction Validation

Examination of executed sales and purchase orders under regulatory standards and best practices based on current market prices, (calculated) benchmarks and fully post-valued prices for all liquid as well as illiquid (OTC) product types.

Input factors and KPIs

Based on the detailed post transaction valuation of certificates and leveraged products, EDG offers a wide range of indicators for derivatives. They include price sensitivities (“Greeks”), valuation input parameters (e.g. implicit volatilities) as well as comparative indicators (sideways yield, distance from the barrier for bonus certificates, etc.) and event risk (knock-out probability, expected yield, etc.).