IFRS 7 puts all financial instruments disclosures, that were previously ruled by IAS 30 and 32, together in a new standard called "Financial Instruments: Disclosures". To fulfil IFRS 7 companies are required to provide information about the nature and extent of risks arising from financial instruments. This includes information on market risk for which companies must carry out either a sensitivity analysis of each type of market risk to which the entity is exposed, or a value-at-risk (VaR) analysis. For both analyses adequate valuation and risk measurement tools are often not at hand or cannot be modelled as quickly as needed.

IFRS 7 Sensitivity & VaR Reporting is a service by which we execute the required market risk analysis for our clients. We use our own pricing and risk measurement tools from our Maravon Analytics Library (MAL), that are also built in advanced financial management software, such as VirtualTreasury.

To obtain more information, please contact our Prime Services practice under +49 69 505 092 468 or primeservices@maravon.com.

Upon request our Prime Services-team discusses our clients' positions in financial instruments and our ability to value the corresponding portfolio. If possible, we make our clients an offer for either a one-off or a regular IFRS 7 Sensitivity & VaR reporting, and provide them with a checklist for the details we need for the report generation.

With those details at hand, we set-up a model using the Maravon Analytics Library (MAL), to compute the marks-to-market, their sensitivities (e.g. towards fx and interest rates) and the corresponding value-at-risk (VaR) both on single position and portfolio level based on the agreed-upon reporting schedule.

The Prime Services-team sends our clients a report package consisting of an Excel-file and a PDF-file that provide the following information:

• Position overview (xls)
• Independent pricing as of reporting dates (xls)
• Price-sensitivities towards relevant market risk factors as of reporting dates (xls)
• Value-at-risk figures on single position and portfolio level (xls)
• All model inputs, i.e. market rates and parameters (xls)
• A mathematical description of the models used for valuation and risk measurement (pdf)

Maravon's pricing capabilities span a wide range of financial and commodity markets, including such as equities, rates, bonds, mortgages, credit, foreign exchange, precious metals, industrial metals and petroleum. A detailed list of the financial and commodity instruments, covered, is provided in the following document.

>> Instrument Coverage IFRS 7 Sensitivity & VaR Reporting