The types of derivative instrument that will be addressed by the project are equity derivatives, fixed income derivatives, credit derivatives, foreign exchange derivatives, commodity derivatives and hybrid derivatives. The intention is to examine the factors that influence the value of these instruments and how these are reflected in the models most commonly used for valuing them.
The IVSC Standards Board has formed an expert working group comprising of representatives of some of the major banks including UBS, Deutsche Bank and HSBC, independent consultants and buy side investors to advise it on the project.
An exposure draft is anticipated in the (Northern) autumn of 2012. Click for more information (link to IVSC website).