ABP Derivative Portfolio Valuation & Reporting
As part of a change in finance systems, Centrus provided advice to ABP in relation to the valuation of its derivatives portfolio and calculation of their year-end CVA/DVA adjustments in line with best market practice. Given the complexity around many of these calculations, Centrus was able to bring the necessary expertise to provide all of the financial disclosures required for ABP’s financial accounts. Specific areas included the calculation of predicted cash flows, current & non-current fair value splits and the calculation of IR & FX scenarios.
It was important to produce these results in a manner consistent to ABP’s previously published results which required significant input in reconciling and adapting current methodologies to ABP’s prior numbers and setting up processes to produce such numbers automatically in future as well as supporting ABP in relation to technical discussions with its auditors.