Valuation Services

Independent Valuation Model Validation Audit Support Intraday/Daily Valuation

GFA specializes in complex illiquid securities known as FASB 157 level 3 securities. Our extensive experience and infrastructure permits valuation of many thousands of securities at whatever frequency may be needed.

Gifford Fong Associates has been continuously working to improve and streamline our valuation process, especially in the very complex structured products.  Please feel free to contact us for further detail.

Independent Valuation

Gifford Fong Associates offers contemporaneous and historical modeled pricing for fixed income securities and a wide range of derivatives, in compliance with FASB 157 / ASC 820 Fair Value Measurements and Disclosures. This is based on many years of experience using the highest quality finance theory and modern statistical methodologies. In addition, Gifford Fong Associates provides its thirty plus years of dedication to assisting large financial institutional clients to understand and manage portfolio risks with care and prudence using the most sophisticated and effective investment techniques.

Auction Rate Securities: Municipal Auction Rate Securities, Auction Rate Preferred Stocks, Auction Rate Securities backed by Structured Products

Commodities and Derivatives: Commodity swaps, forwards, and futures

Credit Derivatives: Total return swaps on equity and fixed income, Credit default swaps, Credit default options, Credit linked notes

Fixed Income / Structured Products: Mortgage Backed Securities (MBS), Asset Backed Securities (ABS), and Collateralized Debt Obligations (CDO)

Interest Rate Derivatives: Vanilla IR swaps, Floating Rate Notes Basis swaps, Floating rate notes, Asset swaps, Range Accrual Notes, Vanilla IR options (caps and floors, swaptions, straddles, cancelable swaps) Exotic IR options (forward starting swaptions, straddles)

Foreign Exchange: Currency swaps, FX options

Equity Valuation: Render Fairness Opinions, Design and Value Securities for Financings and Corporate Finance, Dividend Forecasting, Price Stock Options for Newly Formed and Established Companies

Model Validation

Evaluate and verify the performance of in-house/proprietary models for different services and projects.

GFA provides effectiveness verification of internal in-house/proprietary model methodologies, systems, and processes compared to industry standards. These services enable GFA to produce reports illustrating key performance indicators for different daily, monthly, and quarterly projects.

The three major steps that compose the model validation process are as follows:

1. Review of the concept and theory for each project. GFA will review the model methodology, assumptions, risk factor inputs, functions, outputs and associated processes.

2. Verification of the model’s operations. GFA performs separate analyses of each of the model’s functions by verifying system operations to ensure data integrity during the model building and validation processes.

3. Conduct back testing to ensure accuracy and realization of the model’s philosophy.

Audit Support

GFA specializes in but is not limited to audit support in the following areas:

1. Fair value evaluation of illiquid fixed income securities and derivatives

2. Other-Than-Temporary-Impairment (OTTI) analysis

3. Goodwill Impairment analysis

Intraday/Daily Valuation

GFA provides independent valuation on T-Bill, Treasury and Agency notes and bonds, Separate Trading of Registered Interest and Principal of Securities (STRIPS), Treasury Inflation-Protected Securities (TIPS), and Strips of the Treasury Inflation-Protected Securities (STRIPS TII).