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.
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
Outsourced collateral servicing
Reconciliation of Portfolio and trades
Messages send to Triparty agent
BPO and support
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.
Fully-managed outsourced service
Mark-to-market pricing of different instruments and sensitivities computation: SIMM methodology for bucketing
Communication of prices and risk figures under the SIMM ISDA methodology
Documentation for auditors and regulators
Initial Margin calculation and reporting
Selected client cases
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 backtesting. 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 prices up to the final clearing and confirmation to the third party agent.