Review and structuring
Review and structuring of derivatives and structured products
For family offices and qualified investors: fair value before signing, quotes from several issuers on an identical payoff, independent marks over the life of the product.
Engagements
Before signing, during the life of the product, at exit
Term sheet review
Fair value at issue, embedded margin, payoff under the relevant market scenarios, issuer credit risk, cost of early exit. Delivered within 48 hours for a standard structure.
Open-architecture structuring
You have a view; we write the specification of the product that expresses it, then put that specification to several issuers. Comparison is made on an identical payoff, on price and on credit.
Independent portfolio marks
Quarterly revaluation of a portfolio of structured products and derivatives, reconciled with the marks reported by custodians. Consolidated exposure by issuer and by underlying.
Lombard facilities and associated derivatives
Review of terms, advance ratios and options embedded in a portfolio-backed facility. Margin call scenarios.
Framework
We price, compare and document. The investment decision remains with the client and their manager. We receive no retrocession from issuers and hold no position in the products we review.
Fees
- Term sheet review
- Fixed fee per product. Volume pricing for a family office or a manager that receives them regularly.
- Structuring
- Fixed fee per transaction, independent of the issuer selected and the amount invested.
- Portfolio marks
- Annual retainer according to the number of positions.
Contact
A term sheet to review?
Send us the product and the issuer. We confirm the scope and the fee within 48 hours.