Chatham Financial Launches Groundbreaking Enhancements to Credit Valuation Adjustment Calculator for ASC 820 (formerly FAS 157) Derivative Valuations

Jan 27, 2010, 10:00 ET from Chatham Financial

KENNETT SQUARE, Pa., Jan. 27 /PRNewswire/ -- Chatham Financial today announced that it has launched an enhanced version of its credit valuation adjustment (CVA) calculator to support continued demand for hedge advisory services and its credit-adjusted fair values for derivatives, the fifth set of major advancements since Chatham introduced this solution tool to end users.

Chatham Financial is the largest independent interest rate and foreign exchange risk management advisor and leading provider of hedge accounting and ASC 820 (formerly FAS 157) valuations.

This CVA calculator uses a robust methodology reflecting the total expected exposure approach used by market participants when determining the non-performance risk of their interest rate and foreign exchange derivatives.  

The calculator provides CVAs for interest rate swaps, caps, floors, collars and swaptions across all major indices in multiple currencies and foreign exchange forwards, options, and collars covering major and minor currency pairs. It will also fully automate the calculation of CVAs on cross-currency swaps.  

With this update to the calculator, Chatham is the first valuation provider to offer automated CVA calculation using the potential future exposure methodology on cross-currency swaps.

"The continual enhancement of our CVA calculation engines allows Chatham to further strengthen our position as the market leader in credit-adjusted fair values for derivatives that reflect both current and potential future exposure," said Stephen Barr, Director of Chatham's Valuation Services Group.

A potential future exposure model is required to accurately price credit risk in the marketplace and is consistent with best practices employed by dealer banks and other market makers in derivative products.  Chatham was the first to develop and bring to market a commercially viable solution for business end users and is the recognized market leading provider of this solution.

With hundreds of companies using Chatham's derivative valuation services, Chatham expects that demand to only increase as more companies recognize the importance of using a potential future exposure model.  

"Our methodology is built on in-depth analysis, sophisticated financial modeling, and our first-hand experience and knowledge derived from Chatham's nearly 20 years of experience in the interest rate and foreign currency markets," said Clark Maxwell, Director of Chatham's Accounting Advisory Group.  

For more information on ASC 820, including details on the interaction between ASC 820 and ASC 815 (formerly FAS 133), see Chatham's whitepaper at 157.

About Chatham Financial

Chatham Financial is the largest independent interest rate and foreign exchange risk management advisory company, serving clients in the areas of interest rate and foreign currency hedging, hedge accounting (ASC 815/IAS 39), capital and debt advisory, defeasance services, and debt and derivatives valuations (ASC 820).  Established in 1991, Chatham annually advises more than 1,000 clients on over 8,000 transactions and $350 billion notional from offices in the U.S., Europe and Asia. For more information, please visit

SOURCE Chatham Financial