ASC 815 – Derivatives & Hedging

Embedded Derivatives

Hedging Derivatives

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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

Experience of valuing derivatives more than worth $2600 Million

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