Treasury Consulting LLP - Mark to Market (MTM) Desk

Treasury Consulting LLP is a Multi-Disciplinary Consulting firm incorporated in India. Sitting today Company is having more than 8 Verticals having 40 Business Streams. We do covers Clients across the Globe covering Markets like United States (US), Canadian Markets, Australia & New Zealand (ANZ), Asian Financial Markets (Singapore, Hong Kong, Malaysia, Thailand and Philippines), OPEC Region (Dubai, Saudi Arabia, Iran and Bahrain), African Markets, Indian Markets and still counting.

Treasury Consulting LLP Mart to Market (MTM) Desk which Mark To Market (MTM) covering valuation of all types of Financial Instruments like Over the Counter (OTC), Exchange Traded Derivatives (ETD), Deliverable Financial Instruments, Non Deliverable Finance Instruments, Onshore Financial Markets Instruments, Offshore Financial Markets Instruments, Structured Finance Instruments and Trade Finance. Sitting today our Financial Instruments Desk covering broad range of instruments like Certificates of Deposits (CD), Commercial Papers (CP), Bankers Acceptances (BA), Repurchase Obligations (Repo), Reverse Repurchase Obligations (Reverse Repo), Treasury Bills (T Bills), Treasury Notes, Treasury Bonds, Corporate Bonds, Swap Spreads Traded Bonds, Stock ETD, Index ETD - Exchange Traded Funds (ETF), Index Traded Funds (ITF), Currency ETD, Deliverable Derivatives - Forwards, Options, Swaps, Non Deliverable Derivatives - Forwards, Options, Swaps, Structured Finance and Trade Finance Instruments like Standby Letter of Credit (SBLC), Letter of Credit (L/C), Bank Guarantees (BG) and respective Instruments. 

Treasury Consulting LLP covering both Parametric as well as Non Parametric Financial Models where by covering almost all types of Assets Classes. Sitting today we are covering all 4 types of Mark To Market (MTM) Fair Valuation Hierarchy like Mark To Market (L1), Mark To Matrix (L2), Mark to Model (L3) and Mark To Margin Market (L4). Treasury Consulting LLP upcoming subsidiary in Singapore developing Non Deliverable Financial Instruments Desk covering 8,000 Assets Classes and to be linked with Financial Data Reference Providers, Financial Terminals, Order Management Systems (OMS) and Execution Management Systems (EMS)

Our Vision

Treasury Consulting LLP vision to cover all aspects of Financial Markets specially Trade Life Cycle Management (TLCM). We envisaged to be a Platform Company by 2020 and to turn up 8-9 Platforms in next few Years covering G3, G7, G10 Financial Markets. Treasury Consulting LLP envisaged to be a Financial Technological Company covering Financial Terminals, Treasury Management Systems (TMS) and P2P Repo Desk.

Mark To Market (MTM) Desk

Treasury Consulting LLP - Mark To Market (MTM) Desk would be covering all types of FX, FI, IR Derivatives with respect to Accounting Standards like IFRS, US GAAP. We would be covering Mark To Market (MTM) of all trades in the books of Corporates, Banks, Financial Institutions (FI), Hedge Funds. Effective September 2018 MTM Desk would have live Pricers available liked with feeders to compute MTM of Derivatives Portfolio.

Hedge Documentation
Hedge Accounting
Embedded Derivatives
Regular Way Trades
Options Contracts


Non Options Contracts
Freestanding Derivatives
Forwards Contracts
Stock Purchase Warrants
Weather Derivatives

Valuation of Financial Instruments – Mark to Market (MTM) Modelling ::

Mark to Market (MTM) - (Level 1) Trades

  • Deliverable Forwards Contracts
  • Futures Contracts
  • Plain Vanilla Options
  • Non-Deliverable Forwards (NDF)
  • Non-Deliverable Plain Vanilla Options
  • ND Currency Swaps
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Mark to Matrix (MTM) - (Level 2) Trades

  • Deliverable Exotic Forwards
  • Deliverable Exotic Options
  • Non-Deliverable Exotic Forwards
  • Non-Deliverable Exotic Options
  • LTFX MIFOR Swaps
  • Cross Currency Swaps
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Mark to Model (MTM) – (Level 3) Trades

  • Exotic Swaps
  • Exotic Commodity Swaps
  • Exotic Interest Rates Swaps
  • Exchange Traded Index (ETF)
  • Alternate Investment Funds (AIF)
  • Structured Derivatives
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MTM – Observable Variables

  • Spot Rate
  • Plain Vanilla Forwards Premiums
  • Historical Volatility
  • Forwards Premiums Swaps
  • MIFOR Swaps
  • Plain Vanilla Options Greeks
  • Currency Premiums
  • Plain Vanilla Options Premiums
  • Valuation of Historical Volatility
  • Valuation of Realised Volatility
  • Deliverable Premiums for Fair Value Hedging
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MTM – Non-Observable Variables

  • Realised Volatility (RV)
  • Implied Volatility (IV)
  • Exotic Options Greeks
  • LTFX Options Premiums
  • Exotic Options Swaps
  • Commodity Derivatives
  • Options Premiums
  • Implied Volatility for Commodity Derivatives
  • Cross Hedging Premiums
  • Proxy Hedging
  • Proxy Hedging of Petroleum Derivatives
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Treasury Consulting LLP - Mark to Market (MTM) Desk

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