Derivative Valuation

Accurately calculating the value of derivative transactions requires expertise in both financial modeling and capital markets. Chatham has spent nearly 20 years honing this expertise in working with over 1,000 clients and valuing over 20,000 transactions every night. Our valuation methodology rests on the solid foundation of this thorough experience and allows us to offer clients derivative valuations that are:

    Full-service
• We apply our expertise to value all types of interest rate and foreign exchange derivatives, including caps, floors, collars, corridors, plain vanilla swaps, amortizing swaps, basis swaps, cross-currency swaps, FX forwards, FX options, and exotic derivatives.


• We use our proprietary methodology to bootstrap interest rate forward curves and basis adjustments that allow us to value derivatives based on different tenors of USD LIBOR, Fed Funds, Treasuries, Prime, and SIFMA, as well as interest rate indices from numerous other countries.


• We rely on up-to-the-minute market data to calculate real-time values that are available to clients via our secure website.

Market-tested

• Our consultants provide an independent valuation source for clients as they enter derivative contracts, facilitating real-time auctions or counterparty negotiations that ensure our clients have a fully transparent view of the price they are paying on these complex trades.


• Our consultants assist on over $350 billion of notional executed every year, bringing our deep knowledge of the markets and direct experience in pricing derivative transactions into the development of our core valuation models.

Accounting-compliant

• Our derivative valuation services are fully integrated with our ASC 815 (FAS 133) accounting engines to provide journal entries and effectiveness tests, resulting in a seamless solution for accounting-sensitive clients.


• Our best in class valuation models have been tested and reviewed by auditors from many accounting firms and these models provide the most robust and thorough calculation of nonperformance risk available for clients needing ASC 820 (FAS 157) fair values.


• Our models are subjected to rigorous SAS70 Type II audits every year, providing our clients with assurance that we employ validated methodologies and reliable controls.

Pricing and Historical Valuations
Our consultants provide live indicative pricing that allows our clients to know the true market price of the derivative positions they enter. Using models that have been developed over nearly 20 years in the marketplace and that are validated through helping clients execute over $350 billion notional every year.

Every period our valuations service calculates both termination values and fair values in compliance with FAS 157/Topic 820/IAS 39, assessing the impact of non-performance risk and determining an appropriate credit valuation adjustment using both current and potential future exposure – just like dealer banks price credit.

Regular valuations are available to clients through a secure on-line platform and can be downloaded into valuation reports that capture both trade and valuation details. We offer our clients more than just valuations software as a service; we will talk through your valuations and our models with your board and your auditors to ensure a thorough understanding of the values we provide.