Deloitte Guide for Structured Products

Guide for Structured Products

Following the 2008 crisis, regulating bodies have strongly emphasized their scrutiny over complex OTC derivatives and structured products. Simultaneously, the complexity of these products and especially, the models used for their valuation has dramatically increased.

In this context, professionals managing those financial instruments (private bankers, risk managers, asset servicers) require a much deeper technical expertise to deal with these challenges.

DGSP is specifically designed to help you face this new environment, and in particular, manage the complete lifecycle of derivative products. DGSP is powered by DLIB (Deloitte Library), a proprietary Straight-Through Processing (STP) solution covering market data collection, pricing of derivatives and structured products, and various reporting capabilities.

DLIB is the result of the expertise of Deloitte financial engineers. It benefits from the latest developments in quantitative finance thanks to a state-of-the-art IT architecture.

Assistance to trade structuring

Our Trade Structuring Assistance solutions

• We accompany you in reviewing the main characteristics and risk drivers of various investment opportunities
• Acccording to your professional view on the market, we help you designing the investment product in full details (coupons, barriers, call conditions, issuer and investor options, etc.) to take the best prof-it from market evolutions and suit the risk profile of your target clients
• We provide you various analytics and metrics during the pre-issue period, in order for you to interact efficiently and confidently with your counterparties
• We help you challenging the quotations from your counterparties through our cross-valuation services so that you can choose the most efficient investment solution and trade at best market conditions

Independent cross-valuation

Our Independent Cross-Valuation solutions

• We accompany you in your regulatory obligations by providing independent fair valuation of your OTC financial derivatives and structured products portfolios.
• We provide you with high quality valuation services in close collaboration with market experts, in order to deliver not only a price, but also a highly reliable and transparent price.
• We define with you the valuation frequency that best suits your business and regulatory obligations.
• We put at your disposal our in-house valuation library and ensure full transparency on considered valuation models, hypothesis and market data.

Independent risk and valuation analytics

Our Valuation Analytics solutions

• The Instrument Overview describes all of the product characteristics, the pricing methodology in place by our services and the main risk drivers of the product’s valuation. Moreover, it helps you to obtain a deep understanding of the structured products under your managemen
• The Discrepancy Analytics report provides you with various metrics and thorough analysis of the valuation results, including a full historical price comparison so that you can challenge your counterparties. Addtionally, we carry out stress scenarios of the main risk drivers to ensure that the price is fairly stated
• The Sensitivity Analytics report gives you a synthetic view of the impacts of the main risk drivers on the product’s price. It highlights the product’s sensitivities to each market parameter and performs hypothetical and historical stress tests to assess the behaviour of the instrument under specific market conditions
• The P&L Decomposition Analytics report tracks and explains on a regular basis, the P&L evolution of the instrument, given the product’s sensitivities and actual market movements, it breaks down the various price components, decomposed per risk driver

Capital Markets workshops services

Our Capital Markets Training solutions

We provide you a range of trainings covering both governance and financial quantitative aspects to help you building the knowledge required by the different regulations.

Thanks to the experience gathered by our Capital Markets team, our training packages cover a wide range of needs organized under the following categories:

• Foundations package 
• Intermediate package 
• Advanced package

We are flexible in terms of training facilitation. We can facilitate the trainings either in our offices or at your premises. In addition, you can schedule the frequency of the trainings which best fits your needs.

We can help you in defining the appropriate training that matches your expectations in terms of topics, valuation models and best market practices to tailor the session to your best needs.

Our trainings are built around relevant assignments and business cases, which reflect best market practices and your problematics.