Independent valuation service

A fair value for your structured products with our independent valuation service

Independent valuations by Derivative Partners for structured products trust and transparency in the complex world of option-linked instruments. The heart of the solution is a market-leading pricing engine, which can not only provide the net present value (NPV) of the composite, option and bond components, but can also calculate a wide range of sensitivities, including the “Greeks” (delta, gamma, vega, theta and rho), Value at Risk (VaR), expected time to maturity, barrier hit, autocall probability, breakeven, premium, moneyness, intrinsic value and time value. Our clients trust us to provide calculations that enable them to comply with regulations effortlessly and to gain an independent view of their portfolios and trading books. Since Derivative Partners works with SIX CONNEXOR (Swiss Exchange), a wide universe of structured products master data is available in an instant. The user-friendly, client interface fully automates the process of setting up more products for independent valuation.

Discover the potential

Independent valuation service

Daily end-of-day valuations of structured products, including:

  • Composite net present value (NPV)

  • NPV of the option component

  • NPV of the bond component

Possible add-ons:
  • Greeks (e.g. instrument deltas per underlying)

  • Value at Risk (VaR)

  • More customized key figures available on request

Historic structured products valuation time series

An independent valuation history (historic time series) of your structured products:

  • Historic list of composite net present values (NPV)

  • More customized key figures available on request (e.g. historic structured product VaR time series)

  • Retrospective pricing available one year into the past

Derived data Service

End-of-day implied objects:

  • Implied volatility surfaces

  • Implied dividend objects

  • Implied forwards

Historic implied data available one year into the past.

Our valuation service for structured products supports your risk and portfolio management and provides a clear overview

Key features

  • Easy compliance with regulations

  • Independent fair values and sensitivities for structured products in your portfolios

  • A foundation for challenging an illiquid market (get fair values for illiquid instruments)

  • Support for your market risk controlling in the handling of exotic instruments

  • Access to SIX CONNEXOR structured products master data, for faster service setup and lower ongoing costs

Derivative Partners

Swiss Derivative Map©

The Swiss Derivative Map defines all structured products categories and product types for a straightforward overview of the world of structured products. The map is produced and updated by the SSPA in conjunction with SIX Swiss Exchange and Derivative Partners.