A fund manager employing a multi-strategy trading approach required outsourced portfolio valuations for a portfolio of commodity derivatives, and structured commodity trades. The underlying commodity assets included crude oil and oil products, natural gas, power, precious and base metals, and agricultural products.
Valuation processes and tools were set up to support a bi-monthly independent valuation report. A combination of third-party vendor tools, data sources and some bespoke model builds were deployed to meet the valuation needs of the client. Illiquid exposures were valued and calibrated to available marks and modeled in other cases.
A transparent and updatable portfolio valuation process was supported on an outsourced basis. The client had the right to request multiple valuation iterations if they needed it intra month. The valuation governance processes of the firm were enhanced with additional due documentation and diligence. The client was able to save significantly on costs related to onboarding of systems, personnel and controls by outsourcing ‘commodity’ portfolio valuations.