A fresh take on risk and valuation

Valuation services

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.

Your challenges

VM and IM calculation
Margins reconciliation
Accurate services
Computations speed
Risk rebucketing

Our offer

Initial margin calculation

Official ISDA methodology vendor

  • 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

 

 

Variation margin calculation

  • Drill down per position and portfolio
  • Daily calculation of variation margin

Reconciliation and audit

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

Why outsourcing margin calculations to Finalyse?

The ultimate benefits of implementing SIMM methodology are an efficient allocation of collateral and a significant decrease in disputes.
The application of the method requires obtaining an official license from ISDA.
Finalyse offers a comprehensive service for valuation and collateral calculation.

Typical deliverables

Fully-managed outsourced service
Mark-to-market pricing of different instruments and sensitivities computation: SIMMTM methodology for bucketing
Communication of prices and risk figures under the SIMMTM ISDA methodology
Documentation for auditors and regulators
IM calculation and reporting

Client Reference

A collateral agent

We exercise pricing derivatives of our client's clients and calculatie sensitivity in the CRIF format, we also provide calculation of initial margin and run back testing. The final clients benefit from a one-stop shop, using Finalyse for pricing and calculation and using our client for the collateral management process.