United Kingdom

Asset Management Valuation Advisory 

As the investment management universe grows in size and complexity, banks and investment firms need to meet the challenge of valuing assets that are difficult to value - particularly asset-backed securities (CDOs, CLOs, CDO2s, RMBS, CMBS etc), illiquid and emerging markets securities, distressed debt and exotic derivatives. The desire for more liquidity and more transparency has put even more pressure on the financial services industry, with valuation being at the heart of many debates.

What's on your mind?

 

  • Do you fully understand the complexity of your current portfolio in sufficient detail in order to comprehend the valuation implications? What are the key sensitivities affecting the most complex assets in your portfolio?
  • Do you have adequate resources in place such as valuation policies and procedures, as well as proper valuation documentation that allow you to manage and report risk to your stakeholders?
  • Do you provide stakeholders with high quality information about the valuation of assets held and adherence to industry 'best practice'?
  • Have your valuation models been independently validated?
  • Have you put in place risk mitigating strategies that consistently address your accounting task and legal frameworks? Are you ready for the impact of changes in these areas?
  • How are you dealing with valuation uncertainty?

 

Bringing you Peace of Mind

 

We can tailor the scale and scope of our work to your specific needs, for example:

 

  • We can provide assurance around specific assets in your portfolio, or your portfolio valuation.
  • We can provide an independent valuation which takes into account both the subjectivity around the assumptions and key sensitivities.

 

We provide a wide coverage of instruments including:

 

  • Equity, debt and hybrid positions as well as investments in emerging markets and distressed situation.
  • Derivatives valuation
  • FX
  • Options
  • Interest rates
  • Equity products
  • Forwards and Swaps
  • Commodities & Energy
  • Asset-backed securities (CDOs, CLOs, CDO2s, RMBS, CMBS etc)
  • Other OTC Derivatives
  • We can provide assurance that the model is performing in accordance with the theoretical specification using a 'test' portfolio.
  • We can assist in the development of consistent valuation management frameworks across asset classes.
  • We can assess the value of a portfolio of securities that form part of a transaction

 

We can provide advice on hedging strategies including:

 

  • Managing the risks within commodities, currencies, and interest rates
  • Compliance with IFRS 9 and SFAS 133
  • Valuing hedge books

 

What's in it for you?

 

  • Improved transparency and market independence in the valuation of complex instruments where key sensitivities affecting risk exposures based on assumptions and inputs made in the model-based valuation process are fully understood.
  • Meet the demands of a changing regulatory landscape including Solvency II for insurers, MiFID II, Basel III for banks and other professional guidance including the Alternative Investment Fund Managers Directive ("AIFMD”), Dodd-Frank and Hedge Fund Standards etc.
  • Adhered to new accounting standards including FAS 123R, IFRS 2, IFRS 9, SFAS 133, SFAS 157 etc, where fair value accounting requirements is reflected upon 'hard-to-value' instruments.
  • Identified industry specific issues that regularly generate valuation disputes amongst counterparties which may affect valuation outcome, address these key issues early and make a realistic expectation of a settlement outcome.
  • Keeping up with rapid innovation and improved understanding of complex asset portfolios and structures where suitability and adequacy of valuation models are being assessed.

 

Why KPMG?

Our dedicated professionals work with our clients across a wide range of valuation issues and asset classes. We come from both quantitative and wider risk background, brining deep technical expertise and practical experience to provide effective approaches to help overcome challenges, such as the increased scrutiny from investors, regulators, non-executive directors and auditors - all of whom seek comfort in the methodology and adoption for valuing complex asset portfolios.

Case Study

 

KPMG has a wealth of industry experience and an established track record in a wide range of areas including:

 

  • Assisting clients to understand the risks and valuation uncertainties on their balance sheet, and to gain insight into valuation and liquidity management.
  • Valuation methodologies and independent valuation ranges of trading book assets owned by banks comprising corporate and leveraged loans, commercial real estate loans and asset-backed securities.
  • Assisting in quarterly reporting of hedge funds' high volume private investment portfolios where valuations need to be produced and verified quickly and accurately.
  • Performing portfolio due diligence as part of the merger process with target businesses, involving substantial structured credit derivatives portfolios.
  • Reviewing valuation models as part of an acquisition comprising gas storage, transportation and peaking, purchasing and scheduling, marketing and weather derivative contracts.
  • Advising clients on building the necessary hedges in order to mitigate their commodity or commodity-like exposures within their manufacturing process, and supporting their hedge accounting requirements.
  • Providing assurance on modelling methodologies and assumptions for clients who wish to start trading in new financial instruments.
  • Building pricing models to validate the outputs of the client's preferred valuation system across a range of stressed scenarios, and provide clarity by drawing on our insights into market 'best practice'.

Contact

Luca BlasiLuca Blasi

Principal Valuations Advisor

KPMG in the UK

 

020 7694 5715

Email Luca

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