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Derivatives Valuation 2014

Derivatives Valuation 2014

In 2011 the IVSC Standards Board approved IVS 250 Financial Instruments, the first ever IVSC pronouncement on this asset class. It then accepted the recommendation from the Financial Instruments Expert Advisory Group that a project be undertaken to develop supplementary guidance on the generally accepted principles of valuing different classes of derivative.

An expert Working Group (WG) was formed in November 2011. The Board accepted a recommendation from the WG that the project be subdivided so that separate Technical Information Papers would be developed for each of the principal underlying asset classes, equity, foreign exchange, fixed income, credit and commodities. It was further agreed that the first paper would be on equity derivatives.

The first exposure draft, the Valuation of Equity Dervatives, was released for public comment on 1 July 2013, with a comment period ending on 30 September. The comment letters received can be viewed here.

At its meeting in November 2013 the Board reviewed the commments and agreed that some significant revisions should be made to the paper. A revised paper was agreed by the Board in August 2014 and a second exposre draft released on 1 September, with a comment period of three months.

Working group members

An expert working group was formed in July 2014 to advise the Board.

Board members
Ana Castaneda Intermoney Valora Consulting Madrid
Paul Hawkes Weisshorn Re Zurich
Cindy Ma Houlian Lokey  New York
External experts
Laurence Levine McGladrey Chicago
Mark Wilson Deutsche Bank London
Lucas Duplá García-Pardo CECA Madrid
Laurent-Olivier Valigny HBSC Paris
Bryan Thomas KPMG New York
Francis Cornut DeriveXperts Paris
Eric Benhamou Thomson Reuters Pricing Partners Paris
Miltos Drandakis Royal Bank of Scotland London
Christophe Lepitre OFI Asset Management Paris

Background

Documentation

Project brief

Download

Equity derivatives 2014 ED

Follow consideration of the comments received the Board agreed that a second exposure draft should be issued. This was issued on 1 September 2014, with a comment period to 30 November.

Download

Equity derivative 2013 ED

An Exposure Draft the Valuation of Equity Derivatives was published on 1 July 2013 with a comment period expiring on 30 September.

Download

Comment letters

29-10-2013 012 Association Professionelle des Valorisateurs des Instruments Financiers
29-10-2013 011 PricewaterhouseCoopers
01-10-2013 010 Markit
01-10-2013 009 Associação Nacional Dos Executivos De Finanças, Administração E Contabilidade (ANEFAC)
01-10-2013 008 RICS
01-10-2013 007 International Association of Consultatnts Valuators and Analysts
01-10-2013 006 Institute of Chartered Accountants in England & Wales
01-10-2013 005 CBRE (Greater China)
01-10-2013 004 Royal Bank of Scotland
01-10-2013 003 Canadian Institute of Chartered Business Valuators
01-10-2013 002 Smart Consult
01-10-2013 001 American Appraisal Associates

Follow consideration of the comments received the Board agreed that a second exposure draft should be issued. This was issued on 1 September 2014, with a comment period to 30 November.

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