Services
AN EXPANDING SET OF ASSET CLASSESConsensus Pricing and More
Skylight IPV provide consensus pricing services on OTC derivatives of all asset classes for the purpose of Independent Price Verification.
Through working collaboratively with the market-making G-SIB banks and specialist energy trading firms we can deliver a solution that better matches the ever changing regulatory requirements of the firms and drive down costs of time-consuming internal processes.
By combining consensus results with available transaction data, IPV teams have a detailed picture of the market delivered in a consistent format allowing them to effectively and efficiently perform daily valuation reporting and risk assessment.
Commodities
Global forwards and options in energy, metals, softs and agriculturals. Exotic baskets and correlations available.
- Global Oil & Refined Products
- European, North American and Asia-Pacific Power, Gas & Environmentals
- Global Coal, Ores, Bulk Freight & LNG
- Softs & Agricultural markets
- Industrial metals
- Commodity Index Options
- Cross-Commodity Correlations & Quantos
Equities
Vanilla and exotic derivatives, swaps, correlations and structures on global indices, stocks, ETFs and Funds.
- Vanilla options, synthetic forwards and discount factors
- Swaps: dividend, variance, volatility, total return, price return
- Total Return Futures
- Stock Borrow
- Outright Forwards
- Implied option, swap and underlying spreads
- Call v Call and Put v Put
- Quanto Shift
- Parameter Correlations
- Multi-Asset Baskets
- Defined Correlation Basket
- Implied Correlation Term Structure and Skew
- Barriers (Standard, Long / Short, Call Spreads)
- Contingent and Corridor Swaps
- Forward Starting Options
- Cliquets (Variable Reset, Crash, Multiplicative)
- Autocallables
- Options on Dividends
FX & Precious Metals
Multiple intra-day snaps of spots, forwards and options of global currency pairs as well as barrier options and other exotic structures.
- Spots and forwards
- Vanilla options
- Variance swaps
- Volatility swaps
- Barriers
- Digitals
- Forward Volatility Agreements
Interest Rates
Global currency interest rate swaps, swaptions, cap floors and inflation indices as well as Accreters, Bermudans and CMS.
- Yield curves
- Basis swaps
- Swaptions, caps and floors
- Bermudans
- CMS forward rate agreements
- CMS spreads
- Accretors
- Inflation: zero coupon swaps, year on year swaps, year on year options
- Mid curves