Derivative Valuation Services for Corporations
Failure to properly measure the fair value of a derivative can result in significant losses over the life of the instrument. Using outdated valuation modeling techniques or simply not understanding how derivative fair values are measured often lead to additional scrutiny from management, auditors and regulators, further increasing costs to the company.
Benefits of Chatham Derivative Valuations Services
An independent third-party: Chatham’s trusted capabilities are comprehensive. We cover all types of interest rate, foreign currency and commodity derivatives—from caps and all types of swaps including cross-currency to FX forwards, options and exotic derivatives. Our robust platform uses proprietary methodology to provide clients with current values on our secure website. Our best-in-class valuation models have been tested and reviewed by auditors from the leading accounting firms. Simply put, we offer the most robust and thorough calculation of nonperformance risk for clients in need of ASC 820 or IFRS13 fair values.
Market-tested methodology: Our independent valuation for clients entering derivative contracts facilitates real-time auctions or counterparty negotiations. This ensures a fully transparent view of the price the client pays on such complex trades.
Chatham executes more than $350 billion of notional every year on behalf of our clients, bringing our expertise in pricing derivative transactions into the development of our core valuation models. These models are subjected to rigorous SSAE16 audits annually, assuring clients that we employ validated methodologies and maintain reliable controls.
Accounting compliant: Our derivative valuation services are fully integrated with our ASC 815 and IAS39 accounting engines to provide journal entries and effectiveness tests. This results in a seamless solution for accounting-sensitive clients.
As a leader on the cutting edge of valuations, Chatham incorporates CVA-DVA and OIS discounting into our valuation methodologies. We can also provide expertise in understanding these concepts or answering questions raised by management, auditors or other constituents.