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SIMM INITIAL MARGIN CALCULATION

WE ADDRESS PROVIDE AN OUTSOURCED INITIAL MARGIN CALCULATION USING THE ISDA SIMM METHODOLOGY
Finalyse offers a comprehensive service for valuation and collateral calculation

Finalyse valuation service gives peace of mind to the clients dealing with both vanilla and exotic OTC derivatives.

We provide ISDA SIMM based Initial Margin Calculation service for OTC derivatives. The service is performed as an outsourced service.

We implement SIMM methodology, the benefits of which is an efficient allocation of collateral and a significant decrease in disputes. The application of the method requires obtaining an official license from ISDA.

How does Finalyse address your challenges?

Initial Margin Calculation

  • Calculation of sensitivities serving as input to SIMM in CRIF format
  • Daily calculation of Initial margin according to ISDA SIMM
  • Daily and periodic back testing

Collateral servicing

  • Outsourced collateral valuation
  • Agreed Initial Margin amount  
  • BPO and support 

Reconciliation and audit

  • Documentation for audit and regulators
  • Justification of all calculations and full transparency
  • Meeting with counterparty to explain and resolve dispute

Reconciliation and audit

  • Documentation for audit and regulators
  • Justification of all calculations and full transparency
  • Meeting with counterparty to explain and resolve dispute

Variation Margin Calculation

  • Drill down per position and portfolio
  • Daily calculation of variation margin
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How does it work in practice?

 

 

Key Features

  1. Fully managed outsourced service 
  2. Mark-to-market pricing of different instruments and sensitivities computation: SIMM methodology for bucketing 
  3. Communication of prices and risk figures under the SIMM ISDA methodology 
  4. Documentation for auditors and regulators 
  5. Initial Margin calculation and reporting

Our subject matter experts

Marc-Louis Schmitz
Partner

Marc-Louis Schmitz, Partner, is in charge of the operations and services development of Finalyse Valuation Services. He guides a team of dedicated experts who aim to master the pricing and valuation best practices as well as the related complex processes and systems.

Marc-Louis has recently steered the extension of our Valuation services to regulatory compliance topics. Before launching the valuation department, he developed in-depth expertise in Valuation and Risk models as a consultant.

Guillaume Sellekaerts
Consultant

Guillaume prepares the valuation of structured products and OTC derivatives covering most asset classes. He acts as a Financial Engineer and maintains state-of-the-art pricing and modelling, steering model improvement and performing quality controls.

Guillaume contributed to developing the SIMM methodology's scenario simulations and market rate sensitivities. He implemented the replication valuation model for volatility swaps. He has been in charge of reviewing the methods used to build different issuer curves to improve them and the Solvency II TPT reporting for several clients.

Guillaume is also a CFA Charterholder.      

Client Testimonials

A COLLATERAL AGENT

We exercise pricing derivatives of our client's clients and calculate sensitivity in the CRIF format. We also provide a calculation of the initial margin and run back testing. The final clients benefit from a one-stop-shop solution, covering the full margin calculation process, which includes the pricing of the derivatives, the margin calculation and collateral management.