White Papers

This Stream includes all of our White Papers Flipbooks

  • Debt Valuation Recommended Policies and Best Practices

    Debt Valuation Recommended Policies and Best Practices

    The purpose of this document is to provide a framework for understanding best practices in marking debt to market for the purpose of financial reporting.

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  • Incorporating Non-performance Risk in IR and FX Derivative Valuations in Accordance with IFRS 13

    Incorporating Non-performance Risk in IR and FX Derivative Valuations in Accordance with IFRS 13

    Learn how to incorporate non-performance risk in valuations of IR and FX in accordance with IFRS 13. Includes "real-world" examples of the process used by most dealer banks and major market makers.

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  • Loan Level Hedging Programs Under the Volcker Rule

    Loan Level Hedging Programs Under the Volcker Rule

    Regulators have indicated that a financial institution desiring to conform its loan level hedging program to a permitted form of proprietary trading should pursue the market making exemption.

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  • Quantifying Currency Basis and Applying Hedge Accounting for Cross Currency Swaps Under IFRS 9

    Quantifying Currency Basis and Applying Hedge Accounting for Cross Currency Swaps Under IFRS 9

    This White Paper explores certain key areas companies should consider when "operationalising" the new hedge accounting rules of IFRS 9 for xccy swaps.

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  • The State of Financial Risk Management: Benchmark Report

    The State of Financial Risk Management: Benchmark Report

    An independent study of more than 1,500 US, public companies examining their risk exposures, hedging, and hedge accounting practices as reported in their 2015 annual 10-K.

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  • Impact Analysis of IFRS 9

    Impact Analysis of IFRS 9

    Assessment of the Impact of the IFRS 9 Standard on Hedge Accounting

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  • Hedging Deposits to Reduce Liability Sensitivity

    Hedging Deposits to Reduce Liability Sensitivity

    For a liability sensitive financial institution, reducing asset duration or extending liability duration (or both) can have the desired impact on the FI’s interest rate risk position.

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  • Balance Sheet Risk Management Hedging Programs Under the Volcker Rule

    Balance Sheet Risk Management Hedging Programs Under the Volcker Rule

    Balance sheet risk management hedging transactions are typically not “proprietary trading” nor should the BSRM programs themselves be required to implement a compliance regime.

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  • FIs Investing in Municipal Bonds: What to Look For

    FIs Investing in Municipal Bonds: What to Look For

    Municipal bonds can be an important asset class to hold in an FI’s investment portfolio, offering lower taxable income and higher tax equivalent yields than similarly rated investment alternatives.

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  • Debt Valuation Methodologies for Real Estate Investments

    Debt Valuation Methodologies for Real Estate Investments

    This paper provides a framework for measuring the fair value of debt in a way that facilitates transparency, consistency and confidence in fair value measurements for financial reporting.

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  • Best Practice Analysis of Credit Valuation Adjustment (CVA) Methodologies Under ASC 820

    Best Practice Analysis of Credit Valuation Adjustment (CVA) Methodologies Under ASC 820

    This white paper provides a thorough analysis of the five identified CVA methods for both foreign exchange and interest rate derivatives.

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  • Common Challenges to Hedging FX Risk

    Common Challenges to Hedging FX Risk

    This article will cover three key hurdles that companies face when crafting and maintaining currency hedging programs: Data, Design, and Accounting.

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  • Debt Valuations in Accordance with ASC 820

    Debt Valuations in Accordance with ASC 820

    With the introduction of ASC 820 (FAS 157), fair values in general have received increased attention. However, the fundamental concepts of debt valuations have not changed.

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  • Derivative Valuation Methodologies for Real Estate Investments

    Derivative Valuation Methodologies for Real Estate Investments

    As part of its service offering, Chatham provides daily valuations for tens of thousands of interest rate, foreign currency, and commodity derivatives.

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