Adding clarity and precision to derivative valuations
Failure to properly measure the fair value of a derivative instrument can result in significant losses for a company. It can also lead to sub-optimal pricing when executing a derivative transaction. This translates into real economic losses over the life of the instrument. In addition, using outdated valuation modeling techniques or not understanding how derivative fair values are measured often lead to additional scrutiny from management, auditors, and regulators, further increasing costs to a company.
Benefits of Chatham Derivative Valuation Services
- Independent third-party perspective: 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. As a trusted third party that is independent and objective, Chatham offers a robust platform with proprietary methodology that provides real-time values via our secure website.
Our best-in-class valuation models have been tested and reviewed by auditors from the leading accounting firms. Plus, we provide the most dynamic and thorough calculation of nonperformance risk for clients requiring ASC820 or IFRS13 fair values.
- Market-tested methodology: As an independent valuation source for clients entering derivative contracts or when facilitating real-time auctions or counterparty negotiations, we can assure clients that the price they are paying on these complex trades are fully transparent.
Every year, Chatham executes more than $350 billion on behalf of our clients, applying our deep knowledge of the markets and direct experience in pricing derivative transactions to our core valuation models. These models are honed and refined by our in-house team of quantitative experts and are subjected to rigorous SSAE16 audits every year. This assures our clients that validated methodologies and reliable controls are working in their best interest.
- Accounting compliant: Our derivative valuation services are fully integrated with our ASC 815 and IAS39 accounting engines for the purpose of journal entries and effectiveness tests. The result is a seamless solution for accounting-sensitive clients.
As a leader on the cutting edge of valuations, Chatham incorporates CVA-DVA-FVA and OIS discounting into valuation methodologies. Our experts can help clients understand these concepts or answer questions raised by management, auditors or other constituents.