ASC 815 – Derivatives & Hedging

Embedded Derivatives
- Optionally Convertible Debentures
- Compulsory Convertible Preference Shares with Put Options
- Shareholders Agreements with Options to incoming investors
- Foreign Currency Lease Contracts in Third Currency
Hedging Derivatives
- Interest Rate Swaps
- Principal & Interest Swaps
- Cross Currency Swaps
- Forward Currency Options
- Forwards
- Contracts under ISDA Guidelines
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Data related to Alternative Reference Rate
IBOR Cessation by December 2021
Hedging of Part Contract (On Foreign Currency Loan, Interest Rate risk is hedged but foreign currency risk is not hedged)
Valuation Complexities
Basis Risk, Tail Risk, and Model Risk
Verification of Contracts within ISDA Protocols
Uncertainty of pricing inputs
Valuation Complexities
High growth potential
No revenues and operating losses
Uncertain call future potential
Primary asset = IP
Expected ESOP
Negative bottom line
Private entity (non-comparable listed entities)
How can we help you?

Use of relevant zero curves

Expertise in ASC 825, IFRS 9, IFRS 13, & IAS 32

Application of Monte Carlo Simulations for exotic instruments

Black & Scholes Method for European Options

Statistically driven valuations for American Options

Experience of valuing derivatives more than worth $2600 Million

Rich experience in Hedge Documentation
How can we help you?

Use of relevant zero curves

Application of Monte Carlo Simulations for exotic instruments

Statistically driven valuations for American Options

Rich experience in Hedge Documentation

Expertise in ASC 825, IFRS 9, IFRS 13 & IAS 32

Black & Scholes Method for European Options
