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Portfolio Valuations

Reduce risk and improve portfolio management with a fully hosted, industry-validated portfolio valuations service

IHS Markit has been serving the buyside since 2005 with our Portfolio Valuations services. We started with vanilla derivative valuations and then extended across asset classes and underlying markets. Today, we cover an extensive range of financial instruments, including complex and illiquid products, vanilla and exotic derivatives, private equity investments, structured notes and cash products. These valuations are distributed via a single platform alongside clearing prices and counterparty marks.

Customers choose our valuation and risk analysis services for the accuracy and transparency of our results, the comprehensive coverage we provide through a single interface, and our expert and timely support across all regions.

We deliver cost-effective solutions for portfolios of any size and composition and can offer reliable same-day turnaround to meet customer needs.

Key benefits:

  • Accuracy – Leverage consensus data from more than 70 banks for calibration of in-house valuation models to market levels, supplemented with data from exchanges, clearing houses and interdealer brokers
  • Dedicated support – Benefit from 24/5 access to a global team of experienced valuation analysts, product specialists and financial engineers, who provide rapid resolutions to queries, confirmation requests and price challenges
  • Reliability – Depend on SSAE 16 and ISAE 3402 Type II audited valuation processes, including market data capture and cleansing, trade loading, valuation tolerance checks, and delivery of results, with any alerts investigated by our analysts, including verification of unexpected P&L movements before results are released to clients
  • Transparency – Gain insight with a complete view of valuation inputs and underlying market data available via the web front end, along with fully documented methodologies, models and valuation processes
  • Flexibility – Customize data snap times, report frequencies, formats and content, as well as fee structures, to fit valuation and business requirements
  • Independent data – Rely on independently sourced market data, with industry standard pricing models built in house and unbiased valuations, as IHS Markit is not involved in the structuring, sale, trading or management of derivatives or securities

Applications & Coverage

Customers typically use Portfolio Valuations directly, or to provide these value-added services to their clients for the following:

Applications
  • Net Asset Value (NAV) calculations
  • Collateral/margin verification and dispute resolution
  • Independent price verification or internal benchmarking
  • Automation of manual or ad-hoc processes, such as in-house spreadsheet valuations
  • Stress testing and scenario analysis for risk management and regulatory compliance
  • Outsourcing the valuation or risk measurement function
  • Collection and aggregation of counterparty marks
  • Sourcing centrally cleared prices across all active CCPs
  • Hedge accounting and financial reporting
Coverage
  • Interest rates – Swaps, caps/floors, swaptions, inflation swaps and exotic structures
  • Equities – Options, indices, dividend, variance, volatility and correlation swaps and other exotic structures
  • Credit – CDS, TRS, indices, options, synthetic CDOs and CLNs
  • Centrally cleared derivatives – Price redistribution agreements with ICE, CME, LCH, JSCC and other central counterparties
  • FX – Spot, forwards, NDFs, FVAs, swaps, options and exotic structures across major and emerging market currencies
  • Commodities – Forwards, swaps and options on physical and financial commodities
  • Structured products – Most types of interest rate, credit, equity, FX and hybrid structures, including TARNs, autocallables and PRDCs
  • Cash products – Evaluated prices for bonds and consensus pricing for loans and structured finance including ABS/MBS products

Customers

  • Agencies
  • Alternative Investment Funds
  • Asset managers
  • Auditors
  • Banks
  • Corporates
  • Custodians
  • Fund administrators
  • Government authorities
  • Hedge funds
  • Insurers
  • Mutual funds
  • Pension funds
  • Regulators
  • Sovereign wealth funds
  • UCITS funds

Case Study: Northern Trust – Outsourced valuations

Northern Trust has been using IHS Markit as an outsourced OTC derivative valuations provider for more than five years, seamlessly integrating IHS Markit valuations into its core asset servicing platform. Our Portfolio Valuations service is an important source for Northern Trust’s NAV and collateral calculations across a broad range of OTC derivatives. The accuracy of the valuations, as well as a high level of support, has resulted in fewer price challenges and improved operational efficiency.
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Connectivity: MarkitSERV has integrated real-time trade data feeds into Portfolio Valuations

Customers can now benefit from the integration of trade data and derivatives valuations to support regulatory reporting and risk management. The connectivity between MarkitSERV and Portfolio Valuations allows clients to create a more streamlined, error-free and real-time process for valuing derivatives. It eliminates the need to build a separate trade feed to the valuations platform while reducing costs, onboarding times and valuation discrepancies. Learn more.

Awards

Products and Solutions

  • CCP Connectivity Service

    Through its connectivity to central counterparties (CCPs), the Portfolio Valuations service provides OTC cleared prices in a single, consolidated feed.

  • Credit Valuations Adjustment Calculation Service

    International accounting standard IFRS 13 requires the reporting of CVA and debit value adjustment (DVA) when determining the fair value of OTC derivatives. Auditors and regulators are now increasing scrutiny of the accuracy and robustness of CVA and DVA calculation assumptions, methodologies and input market data.

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Events

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Training & User Group 02 August 2018

IHS Markit Compliance Series - The CRS Editio (...)

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Training & User Group 11 October 2018

Pricing and Valuation Conference

Join us for a gathering of thought leaders in fin (...)

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Training & User Group 26 July 2018

IHS Markit Compliance Series - The CRS Editio (...)

Join IHS Markit compliance series and understand (...)

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Training & User Group 16 August 2018

IHS Markit Compliance Series - The CRS Editio (...)

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Training & User Group 20 September 2018

Loan Market Conference

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