Firms that have significant deal positions on their books understand that supplying daily valuations for their holdings can be a time intensive and expensive effort.  Unlike exchange traded securities, over-the-counter derivatives, with complex security pricing, present their own share of unique challenges.  The illiquidity, lack of standard pricing models, and complexity of instrument economics make daily marking to market a rather difficult process.

The following are some of the options that clients may choose from when deciding how to value the complex securities on their books:

• Dealer Pricing – obtaining daily marks and validating them against internal pricing models or third-party valuations.
• Internal Pricing Models – typically developed in house and are often used to validate external pricing resources.
• Independent Valuation Services – vary by asset coverage, number of contributors and service levels. 
• Vendor-Provided Calculation Libraries – calculation libraries that support a variety of pricing models, instrument types and interfaces.
• Outsourcing – back office functions include a daily valuation process that usually supports multiple valuation methods. 

Depending on your firm’s requirements, a single solution for pricing and valuing your cash and OTC derivative securities may not fit all of your needs.  Based on the types of instruments that you need to value, frequency of valuation, missing/stale data implications and historical pricing requirements, ATI can help your firm decide which option or combination of options would result in the proper solution.