FAS 133

The Situation

The International Finance Corporation (IFC), an arm of the World Bank, needed valuation services in order to comply with FAS 133 standards.

NERA's Role

IFC bifurcated structured securities issued by them into "plain vanilla" and embedded derivatives components. NERA then valued these embedded derivatives based on current yield curves and volatilities.

The Result

Our experts continue to value IFC's embedded derivatives on a quarterly basis.