Finalyse valuation service gives peace of mind to the clients trading OTC derivatives and structured products and generates trust between participants.
We address compliance challenges and provide an outsourced transparent, auditable, independent valuation service for OTC derivatives, structured products, debt instruments and private equities.
Our expertise expands to margin calculation, EMIR reporting, Solvency 2 stress tests, risk reporting and risk dashboard.
By instrument type
Valuation of all asset classes
By reporting needs
By regulatory compliance
Large range of solutions
Getting a fair valuation of your complex products is costly and complicated. Not only is there a need for market data, complex models and a robust infrastructure, but also for a team of available and highly skilled professionals.
We take a close look at each client's case to provide a tailor-made service.
Worried about the quality of your stress testing models?
The requirements for stress testing are becoming more and more stringent, leading to gaps in models and methodologies. Along with Finalyse risk and sensitivity analyses, we provide specific stress tests. Internal committee of our client desides on the type of the stress test to exercise:
We stress all market factors interest rates, credit spread, commo/energy, equity, liquidity, volatility as well as macro factor for illiquid instruments. Finalyse delivers those stress tests reports at the portfolio, fund or instrument level.
The exact content and format of the report will be defined with the client on a case by case basis.
Detailed analysis of price challenges
The process is fully transparent and Finalyse offers a detailed analysis of price challenges. The current standardized challenge reports include the following items:
The reporting tool can be customized to the client’s needs.
Regulatory stress tests prescribed by Solvency II in the assessment of the capital required to hold a structured note
This service enables to capture the marginal contributions of a specific structured note to the Solvency II stress tests. As such, the (re)insurer can objectively assess the impact of a prospective investment on its capital requirement, that can be then aggregated in the overall results of the stress tests on the remaining parts of the balance sheet.
Synthetic Risk & Reward Indicators (SRRIs) of UCITs
Finalyse calculates Synthetic Risk & Reward Indicators (SRRIs) of UCITs, in accordance with the CESR documentation of December 2009 (CESR/09-1026) - Methodology for the calculation of the synthetic risk and reward indicator. Based on the UCITs termsheets, Finalyse performs the historical simulations and all necessary calculations to deduce an SRRI figure. Any type of product is supported and the methodology is fully transparent. The delivery method is at the discretion of the client.
A detailed risk and sensitivities report for any structured product
Delivery of specific performance and risk figure reports that have been agreed upon with the client. Finalyse delivers those reports at the portfolio, fund or instrument level. A plausibility check is performed by Finalyse by comparing the evolution of each figure with past results. In case of abnormal evolution, Finalyse conducts a sanity check of the calculation (ensuring that all needed data are consistent) and provides a warning to the client in case the figure is validated.
Fair value measurement
Finalyse offers valuations based on IFRS 13 standards and provides you with the appropriate level of documentation for your disclosure (IFRS 7) and your auditors. We respect fair value principles and follow guidelines from IVSC. Working together with our colleagues from the risk advisory team, we can help you with being compliant with IFRS 9 and 17 requirements.