Independent, audit-ready valuations of derivative and non-derivative financial instruments — delivered under IFRS 13, IFRS 9, US GAAP and IPSAS by Shasat's specialist desk. Trusted by financial institutions, insurers and corporates across 40+ countries.
Precise Valuations for Complex Financial Instruments
At Shasat, we specialise in the precise valuation of both derivative and non-derivative financial instruments — from vanilla interest rate swaps to complex convertible loans and Level 3 equity instruments. Our experienced team brings deep technical expertise combined with real-world market knowledge to every engagement.
Financial instrument valuations are required across a wide range of circumstances — IFRS 9 classification and measurement, year-end fair value disclosures under IFRS 13, purchase price allocations, hedge effectiveness testing, litigation support, and regulatory reporting. Each context demands rigorous, defensible methodology and clear documentation.
Shasat maintains the highest standards in valuation services, adhering to IFRS 13, IFRS 9, IAS 39, US GAAP ASC 820 and IPSAS 41 requirements. Our approach employs industry-recognised models and proprietary methodologies, ensuring every valuation is accurate, audit-ready and aligned with current market conditions.
Independence is everything in financial instrument valuation.
When your auditors, regulators or counterparties scrutinise your fair value measurements, the credibility of an independent, specialist third party is what holds. Shasat's valuations are designed not just to be technically correct — but to be defensible under pressure. We provide the independence, documentation and expert sign-off that institutions require.
"Shasat's valuations team supported us in accurately valuing complex convertible loans and provided expert guidance on accounting under IFRS. We found the team to be competent, responsive and thorough in their documentation."
Head of Financial Reporting — Global Financial Institution
Instruments covered
What We Value
Shasat's valuation desk covers the full spectrum of financial instruments — from exchange-traded standardised products to bespoke, illiquid structures that require advanced modelling and significant professional judgement.
Derivative Instruments
OTC and exchange-traded derivatives across all major asset classes and structures.
Options (vanilla, exotic, path-dependent)
Interest rate and cross-currency swaps
Futures and forward contracts
Collars, caps, floors and swaptions
Embedded derivatives under IFRS 9
Total return swaps and credit default swaps
Equity & Debt Instruments
Comprehensive valuations for both quoted and unquoted equity and debt securities.
Quoted and unquoted equity instruments
Convertible bonds and convertible loans
Straight bonds and floating rate notes
Preference shares and hybrid instruments
Private equity and venture capital interests
Structured notes and CLNs
Employee & Fund Interests
Specialist valuations for compensation instruments and alternative investment structures.
Employee stock options (ESOs)
Share appreciation rights (SARs)
Private equity fund interests
Fund of funds valuations
Hedge fund investments
Carried interest and performance fees
Loan Portfolios
Individual loan and full portfolio valuations for reporting, transactions and risk management.
Bilateral loans and syndicated facilities
Distressed and non-performing loan portfolios
Commercial mortgage loans
Leveraged finance instruments
Day One gain or loss calculations
IFRS 9 initial measurement valuations
IFRS 13 framework
The Fair Value Hierarchy
IFRS 13 and ASC 820 require financial instruments to be classified within a three-level fair value hierarchy based on the observability of valuation inputs. Understanding where your instruments sit — and defending that classification — is critical for financial reporting and regulatory scrutiny. Shasat specialises in the levels where independent expertise adds the most value.
IFRS 13 / ASC 820 Fair Value Hierarchy
Level 1
Quoted prices in active markets
Unadjusted quoted prices for identical instruments in active markets at the measurement date. The most reliable evidence of fair value under IFRS 13.
Listed equitiesExchange-traded futuresOn-the-run government bonds
Level 2
Observable inputs — not Level 1
Inputs other than quoted prices that are observable — directly or indirectly — including quoted prices for similar instruments or corroborated model inputs. OTC derivatives and liquid corporate bonds typically fall here.
Shasat provides independent Level 2 valuations with full model documentation
Level 3
Unobservable inputs
Inputs not derived from market data — based on management's assumptions about what market participants would use. Requires enhanced disclosure under IFRS 13, including sensitivity analysis to significant unobservable inputs.
Shasat's core specialism — independent Level 3 valuations with full audit support
Valuation adjustments
XVA Adjustments — CVA, DVA & FVA
The fair value of OTC derivatives under IFRS 13 must incorporate valuation adjustments (collectively known as XVA) reflecting the credit and funding dimensions of derivative exposures. Shasat calculates these adjustments using market-standard models and real counterparty credit data.
CVA
Credit Valuation Adjustment
The fair value adjustment reflecting the risk that a derivative counterparty may default before the contract matures. CVA reduces the risk-free fair value of derivative assets and is required under IFRS 13 for all non-centrally cleared OTC derivatives.
DVA
Debit Valuation Adjustment
The fair value adjustment reflecting the entity's own credit risk on its derivative liabilities — the economic benefit arising from the possibility that the entity itself may default. DVA is the counterpart to CVA under IFRS 13.
FVA
Funding Valuation Adjustment
The adjustment reflecting the cost or benefit of funding collateral for uncollateralised or partially collateralised derivative positions. FVA has been widely adopted across the industry following the 2008 financial crisis and is increasingly required under market practice.
Our approach
Methodology & Process
Shasat's valuation process combines rigorous quantitative modelling with deep market knowledge, structured to produce outputs that are accurate, explainable and audit-ready. We use industry-recognised models including Black-Scholes, Hull-White, LIBOR Market Model (LMM), and DCF frameworks, adapted to the specific characteristics of each instrument.
1
Instrument scoping & data collection
We review term sheets, trade confirmations and contract documentation to fully understand the instrument's economic substance, embedded features, and applicable accounting framework (IFRS 9, IFRS 13, ASC 820).
2
Market data sourcing & calibration
We source market data from recognised providers — Bloomberg, Reuters, ICE — including yield curves, volatility surfaces, credit spread curves, equity prices and correlation matrices. Models are calibrated to current market conditions at the valuation date.
3
Model selection & validation
We select the appropriate pricing model based on the instrument's risk profile and apply internal validation checks. For Level 3 instruments, we document all assumptions and assess sensitivity to key unobservable inputs as required by IFRS 13.
4
Fair value calculation & XVA
We calculate the risk-free fair value and apply applicable XVA adjustments (CVA, DVA, FVA) where required. For portfolios, we assess whether the IFRS 13 portfolio exception applies for instruments with offsetting market risk exposures.
5
Report preparation & audit support
We deliver a structured, audit-ready valuation report documenting the methodology, market data, assumptions, sensitivity analysis and IFRS 13 disclosure-ready outputs. We provide direct support to your audit team throughout the review process.
Regulatory framework
Accounting Standards We Apply
Every Shasat valuation is prepared with full compliance with the applicable accounting and valuation standards for your reporting jurisdiction. Our team has deep expertise across IFRS, US GAAP, IPSAS and IVSC frameworks.
IFRS 13 IFRS
Fair Value Measurement — defines fair value, the fair value hierarchy, and valuation techniques. The primary framework governing all fair value disclosures across IFRS financial statements.
IFRS 9 IFRS
Financial Instruments — governs classification, measurement, impairment (ECL) and hedge accounting. Requires fair value measurement for FVTPL and FVOCI instruments at every reporting date.
IAS 39 IFRS
The predecessor to IFRS 9, still applied by some entities under EU IAS Regulation carve-outs. Shasat supports hedge accounting documentation and effectiveness testing under both IAS 39 and IFRS 9.
ASC 820 US GAAP
The US GAAP fair value measurement standard — substantially converged with IFRS 13 but with differences in areas including the portfolio exception for OTC derivatives and disclosure requirements.
IPSAS 41 IPSAS
The IPSASB standard for financial instruments in public sector entities — aligned with IFRS 9. Shasat supports central banks, sovereign wealth funds and government entities with IPSAS-compliant valuations.
IVSC Standards IVSC
The International Valuation Standards Council framework for business and financial instrument valuations — particularly relevant for Level 3 measurements where regulatory or litigation-grade independence is required.
Who we serve
Our Client Base
Shasat serves a diverse global client base across financial services, corporate and public sectors. Using advanced market data, financial analytics and proprietary methodologies, our Valuation Services Desk delivers fast, accurate valuations tailored to each client's reporting environment.
Banks & lenders
Insurance companies
Corporates
Fund administrators
Broker-dealers
Issuers & treasurers
Central banks
Private equity firms
Hedge funds
Supranationals
Law firms & litigation
Audit firms
Frequently asked questions
Common Questions
Shasat values both derivative instruments — including options, interest rate and cross-currency swaps, futures, forward contracts, collars and embedded derivatives — and non-derivative instruments including bonds, convertible loans, quoted and unquoted equity, employee stock options, loan portfolios, private equity interests and fund investments. We cover standard and complex structures across all major asset classes.
The primary standards are IFRS 13 (Fair Value Measurement) and IFRS 9 (Financial Instruments) under the IFRS framework, and ASC 820 under US GAAP. For public sector entities, IPSAS 41 applies. The IVSC International Valuation Standards provide additional guidance on methodology, particularly for complex and illiquid instruments. Shasat's reports are structured to comply with all applicable frameworks for your reporting jurisdiction.
CVA (Credit Valuation Adjustment) reflects counterparty credit risk — the possibility that your derivative counterparty defaults before the contract matures. DVA (Debit Valuation Adjustment) reflects your own credit risk on derivative liabilities. FVA (Funding Valuation Adjustment) reflects the cost of funding uncollateralised positions. Together, these XVA adjustments are required under IFRS 13 to arrive at a fair value that reflects all risks a market participant would consider, and their calculation requires specialist modelling and counterparty credit data.
Level 3 instruments under IFRS 13 are those where significant valuation inputs are unobservable — not derived from active markets. Examples include unquoted equity, convertible loans, certain structured products and private equity interests. Independent expertise is required because auditors, regulators and counterparties will scrutinise Level 3 measurements closely, and internal valuations carry an inherent conflict of interest. Shasat's independent reports provide the objectivity and documentation that auditors require.
Both. Shasat offers one-time valuations for specific reporting dates, transactions or regulatory purposes, as well as ongoing quarterly or annual valuation support for entities with recurring fair value reporting requirements. For institutions with large derivative portfolios, we also provide ongoing XVA monitoring services. Contact our valuation desk to discuss the most cost-effective structure for your requirements.
Yes. Shasat's valuations are regularly relied upon by Big Four auditors as independent third-party evidence for fair value measurements. Our reports are structured with full methodology documentation, market data sourcing, model rationale, sensitivity analysis and IFRS 13 disclosure-ready outputs — precisely the format audit teams require to sign off on fair value assertions.
