Chatham Financial compiled a quantitative analysis looking at the 2015 financial risk management practices of more than 1,500 publicly listed corporations in the U.S. The result of this research is a quantitative benchmarking report on The State of Financial Risk Management, delving into how these companies address interest rate, currency, and commodity hedging and hedge accounting.
This White Paper explores certain key areas companies should consider when "operationalising" the new hedge...
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.
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.
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.
This White Paper explores certain key areas companies should consider when "operationalising" the new hedge accounting rules of IFRS 9 for xccy swaps.
Assessment of the Impact of the IFRS 9 Standard on Hedge Accounting
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.
Balance sheet risk management hedging transactions are typically not “proprietary trading” nor should the BSRM programs themselves be required to implement a compliance regime.
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.
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.
This white paper provides a thorough analysis of the five identified CVA methods for both foreign exchange and interest rate derivatives.
This article will cover three key hurdles that companies face when crafting and maintaining currency hedging programs: Data, Design, and Accounting.
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.
As part of its service offering, Chatham provides daily valuations for tens of thousands of interest rate, foreign currency, and commodity derivatives.