UK based Asset Manager satisfies regulatory requirement for independent valuation with the help of Kinaesis and CloudRisk
The problem
Our client had a range of complex products including equity derivatives (single and multi-index/equity baskets with path dependent payoffs); commodity and FX baskets with structured payoffs; interest rate derivatives including swaptions and structured swaps; single name and index credit default swaps.
They needed a solution that could provide valuations, exposures, leverage and sensitivities on a daily basis and delivered by 1pm for a 12pm price point. The client needed quantitative expertise and support for the price challenge process. The client also needed to satisfy the regulatory requirements of an ACD for the fund.
How we helped
Kinaesis was able to offer through the joint venture with CloudRisk, an end to end Independent Valuation and Risk Analytics Service. The solution includes market data, valuation and risk calculations, quantitative services and reporting.
The project involved feeding the complex trades through to the cloud valuation platform, verifying the results and then setting up an operational process for delivering the valuations periodically.
Key Victories
The range of products were quickly on-boarded from analysis of term sheets and security codes. Full audit trail and transparency was provided through model and approach documentation. A collaborative approach involved agreeing the right modelling approach.
The daily service provided the information in a timely manner therefore enabling support of internal NAV calculation processes. Delivery of the daily risk sensitivities and exposures enabled the client to adhere to their responsibilities as an ACD. The service was provided at a significantly lower price than other alternatives considered.