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

New! Support added for SOFR Term Rates and credit sensitive rates like Ameribor and Bloomberg BSBY

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
  • Accommodate SOFR across all our structuring capabilities:
    • SOFR Swaps and Basis Swaps
    • SOFR Options, Caps/Floors
    • SOFR FRNs
  • Capture market valuation subtleties such as:
    • OIS discounting
    • 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 and automate LIBOR fallbacks
  • Support for SOFR compounded average, Index and Averages
  • 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
  • Precision with all the conventions for SOFR FRNs:
    • Observational Shifts
    • Payment Delays
    • Reset Cutoffs
    • Lookbacks

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.