The Derivatives Valuations Unit is a specialized team of valuation professionals that provide a comprehensive range of valuation and reporting services. Our core services encompass:

Portfolio Valuation:
The Portfolio valuation service completely automates the valuation process and provides accurate, fast and efficient “mark-to-market” prices for large portfolios. The highly customizable reports include bid, ask and mid mark-to-market results. They also provide a full range of Greeks as well as the market rates that were used in the calculation, in support of auditing and transparency. This report is supported by Risk reports for the portfolio. The valuation service under this model can be made available daily, weekly, monthly or quarterly. Update on new deals entered for the portfolio are reported by the client, and the same is included for the valuation reports

Structured Product Valuation:
This is a very specialized service that provides accurate valuations for highly complex and correlation based structures such as option embedded notes, baskets, linked swaps and hybrids. Such structures require usage of structuring tools to set it up at Pyxis. The valuation is provided with the cleansed market data. The valuation arrived is then stress tested for accuracy. Every repeat valuation requires Pyxis team to calibrate the model with current market conditions and stress testing is done. The valuation output also provides the sensitivity analysis and the risk reporting. The Structure valuation service is available as a one-off service or at a pre-defined frequency as per the client requirement.

Risk Reporting:
The risk reporting service incorporates the generic / customized reporting of the derivatives/structured products/portfolios for the clients. This service include:

• Reports complying to regulatory requirements of the corresponding business center
  Risk reports for the purpose of daily PnL
• Reports displaying the risk profile of portfolios/structures related to various dependent variables
• Pictographs depicting the exposure profile corresponding to notional, Greeks, type of instruments
• Scenario analysis/ What-if analysis reports
• Reports depicting various sensitivities.

A dedicated team of professionals work on the automation of reports from results generated by analytics libraries and work towards the customization of reports based on client’s requirements.