Portfolio Valuation Service

RiskVal Portfolio Valuation Solutions

RiskVal is a leading trading solution provider in fixed income and credit derivative markets since 2001. Our sophisticated valuation models are integrated and calibrated with real-time market data based on best practices for market participants to provide valuation and risk management for complex investment portfolios.   On a daily basis, RiskVal provides the mark to market function for asset managers from top institutional banks and leading hedge funds.

Overview of FAS 157 (Fair Value Measurement)

The introduction of FAS 157 (effective for fiscal years beginning after November 15, 2007) is to redefine fair value valuation in order to improve consistency and comparability.  The Statement defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.

The Statement allows three valuation techniques that can be used individually or in combination. 

  • The market approach uses market prices and other information from market transactions involving identical or comparable assets or liabilities. 
  • The income approach is based on the present value of a future stream of cash flows or income. 
  • The cost approach is essentially replacement cost based on the cost for a buyer to acquire or construct assets of comparable utility. 

The use of any one of these approaches requires the use of “inputs” which are assumptions used in the calculation of fair value.  These inputs could include risk factors, interest rates and timing of cash flows, to name a few.  The inputs are categorized into “level 1”, “level 2” or “level 3“ inputs depending on the reliability and verifiability of the input.  Valuations using “level 1” inputs are better than “level 2” inputs, which are better than “level 3” inputs.

FAS 157 expands the disclosure requirements to include information on the “inputs” used in the three valuation techniques discussed above.  The disclosure requirements distinguish between fair values measured on a recurring basis and those measured on a non-recurring basis.

RiskVal’s Fair Value Valuation

Under the FAS 157 Fair Value Measurement Statement, publicly traded companies were required to adopt the FAS after November 15, 2007.  

The biggest changes introduced by FAS 157 relate to disclosure and how companies need to think about market value when there is no market for their investment holdings and they must “mark to model”.

A typical portfolio contains a mix of level 1, 2 and 3 asset classes. RiskVal is able to automatically determine the asset classes and apply the correct method based on FAS 157 compliant rules to obtain the true Fair Value valuation, far beyond an incorrect accounting software “rubber stamp.”

For clients who have uploaded their portfolios, RiskVal also provides a P/L service to calculate Daily, Monthly, Quarterly, Annual, and Inception Portfolio P/L, such that clients can utilize RiskVal’s Portfolio Fair Value and P/L service as their official FAS 157 reporting or 3rd party independent valuation purpose.

Product Coverage:

RiskVal’s trade blotters serve more than just traditional trade entry functions for booking and Straight-Through-Processing (STP) integration.  They also offer live valuation and P/L functions so traders can monitor the P/L of all of their new trades and strategies.  Below are sample fixed income products which are currently covered by RiskVal:

Fixed Income products:

  • Treasury bonds, Agency bond, Inflation bonds ( TIPS), Callable Bonds ( American, Bermudean, Step Ups )
  • Repos, payments, money markets
  • Bond futures, ED$ future, listed options
  • Vanilla Swaps, OIS swaps, Basis swaps
  • Swaptions, cap/floors

Credit Derivative products:

  • Credit main and sub Indices (CDX and iTraxx)
  • Index Options
  • Singlenames (CDS, LCDS) spread and up-front
  • LCDX, LCDS and Loan
  • Tranches CDO (standard, PO), hybrid CDO(Main+XO)
  • NTD CDO, bespoke CDO

FX Derivative products:

  • FX spot, FX forward and FX option
  • FX exotic options