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OTC Derivatives Valuation

Reasons for independent valuation:

  • Regulatory requirements (to read more follow this link)
  • Outsourcing of time-consuming middle-office processes
  • Challenging counterparties prices
  • Fair value calculation
  • Enhancement of Collateral Management through extensive valuation 
  • Adequate risk management and value with extensive risk-return information
  • Limitation of costs of data collection, cleansing and maintenance
  • Reduction of reputational risk

Reasons to cooperate with Finalyse:

  • Best-practice valuation of derivatives and structured products of any complexity
  • Periodic reporting of values and sensitivities
  • High level of service
  • Fully transparent and auditable
  • Fast reaction time to any pricing request from clients
  • Tailor-made and cost-effective
  • Competitive prices
  • Certification ISAE3402 (SAS70)
  • Full documented reporting available
  • Full support/reconciliation with counterparty prices
  • Reporting can be integrated into your system via SFTP
  • Auditable and transparent Pricing Service
  • Reconciliation & Assistance in case of dispute

Our offer

FINALYSE VALUATION SERVICES COVERAGE
BY INSTRUMENT TYPE *

  • Range accruals 
  • Snowballs 
  • CMS Spread 
  • Target redemption notes Reverse floaters 
  • Callable structured products
  • Hybrid structures: forex/commo  dities/ equity/fixed income/index
  • Lookbacks 
  • Knockouts 
  • Ratchets 
  • CPPI (stochastic rebalancing)
  • Himalaya 
  • Credit derivatives 
  • ABS & RMBS: “illiquid products”
  • And much more… 

FINALYSE VALUATION SERVICES COVERAGE
BY REPORTING NEEDS

  • Pricing and sensitivities 
  • Stress test 
  • Initial margin calculation
  • Potential future exposure 
  • X-Value Adjustments (XVA)
  • Collateral & disputes 
  • P&L explainer 
  • Value at risk 
  • Return distribution 
  • And much more…

FINALYSE VALUATION SERVICES OFFER A LARGE RANGE OF COMPLIANCE SOLUTIONS

  • Reporting under EMIR, MiFID  MiFIR, AIFM, SFTR, FATCA 
  • EBA stress testing 
  • Solvency 2 market SCR › FRTB standard approach calculations
  • IFRS (7, 9, 13) fair value, disclosure, hedge accounting, SPPI 
  • Risk class: PRIIPS: SRI, UCITS: SRRI
  • And much more...

Do you want to test Finalyse Valuation Services and
to get a report for one of YOUR own products FOR FREE?

Send your term sheet to Marc-Louis Schmitz and his team
or call +352 260 927

Valuation Services Process

Validation of the Service Level Agreement

Description of interfaces, data extraction times, the validation of controls, etc.

Market Data Handling

Through Integrated Service, Flexible and Adaptable Data Feed, Market Data Quality Check.

Pricing

Tailor Customer’s Specific Needs, Advanced Modeling capabilities, Open Pricing System Architecture.

Reporting

Granular & Customized Reporting, Integration with Risk Management Systems, Full Position History and Audit Trail.

Regulatory compliance

To know more about valuation services in scope of regulatory compliance, please follow this link 

Reconciliation

Challenging counterparties, gap analysis, acceptance test, “4 Eyes Principle” application, accurate and realistic Pay-Off.

Format of Delivery

1. Detailed PDF

2. Structured files: CSV, Excels, XML

3. Reports can be delivered by mail, sFTP, download link, uploaded to a portal

 

If you are interested in these services, do not hesitate to contact the FVS Team for more information.