pasVal is a simple subscription service for derivative portfolio valuations, risk, and accounting that enables you to:

Portfolio Valuation Cash Flow and Risk Reporting Hedge Accounting
  • Independently value your swap and complex derivative portfolios
  • Measure fair value for GASB 72 and ASC 820 (FAS 157)
  • Track key deal, portfolio, and risk statistics such as:
    • MTM, CVA, DV01, Theta, and Vega
  • Capture market valuation subtleties such as:
    • OIS discounting
    • SOFR swaps and basis swaps
    • Tenor and basis swap adjustments
    • Volatility skew
  • Perform standardized reporting that easily integrates with other systems
  • Segregate and manage client reporting
  • Calculate expected counterparty credit exposures
  • Calculate credit valuation adjustments (CVA and DVA)
  • Analyze historical, actual, and upcoming payments and resets
  • Assess full impact of OIS Discounting
  • Assess impact of LIBOR replacement: SOFR
  • Support GASB 53 and ASC 815 (FAS 133) reporting
  • Access historical valuations, positions, and reporting
  • Evaluation of hedge effectiveness:
    • Consistent critical terms
    • Synthetic instrument method
    • Dollar-offset
    • Regression analysis
  • Prospective & retrospective hedge effectiveness methods

pasVal gives you simple online access to the kind of sophisticated analytics and valuations that are usually only available from big system implementations.

pasVal provides a broad range of portfolio, cash flow and risk reports. Additionally, an account hierarchy can be imposed for seamless and segregated client reporting.

pasVal is powered by Principia, which has provided comprehensive derivative and hedge accounting solutions to some of the world's largest corporations and financial institutions for over 20 years.