OTC Valuations (OTC Val), a provider of over-the-counter (OTC) independent derivatives valuation and risk reports, has introduced a service aimed at providing primary, secondary, and tertiary valuations of both vanilla and exotic derivative instruments. OTC Val's solution is based on five elements: accuracy, speed, independence, cost effectiveness, and convenience.
Valuation services offered include pre-deal pricing as a 'sanity check' for an instrument to buy or sell, scheduled valuation and risk reports, benchmarking pricing, interim solutions until analytical or market data gaps are filled, and white-labeling, among others.
OTC Valuations says its system employs 'mark-to-model' and 'mark-to-market' valuation methodologies by combining analytics with market data sources to generate scheduled reports. For derivatives that can be replicated with vanilla, liquidly-traded instruments and valued in a model-independent way, the focus is on 'mark-to-market' valuation using market data from leading brokers and data vendors. For exotic and structured products with limited price discovery and imperfect replication, OTC Valuations offers 'mark-to-model' valuation based on calibration of industry standard models.