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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
Marc-Louis Schmitz
Partner

Marc-Louis Schmitz, Partner at Finalyse and member of the executive committee, is the founder of the independent valuation services business line.
He oversees operations, team management, and strategic development.
Known for fostering an inclusive, growth-oriented work environment, he supports a skilled team dedicated to mastering complex valuation processes, models, and best practices.
With a strong background in valuation, risk modeling, and regulatory compliance, Marc-Louis has expanded Finalyse's managed services to meet evolving regulatory and client needs.

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 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 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.

Finalyse Insurance

Finalyse offers specialized consulting for insurance and pension sectors, focusing on risk management, actuarial modeling, and regulatory compliance. Their services include Solvency II support, IFRS 17 implementation, and climate risk assessments, ensuring robust frameworks and regulatory alignment for institutions.

Finalyse Banking

Finalyse leverages 35+ years of banking expertise to guide you through regulatory challenges with tailored risk solutions.
Our multidisciplinary team masters both technical and regulatory aspects, helping you adopt best practices and boost performance.

Finalyse Valuation

Valuing complex products is both costly and demanding, requiring quality data, advanced models, and expert support. Finalyse Valuation Services are tailored to client needs, ensuring transparency and ongoing collaboration. Our experts analyse and reconcile counterparty prices to explain and document any differences.

Finalyse Publications

Discover Finalyse writings, written for you by our experienced consultants, read whitepapers, our RegBrief and blog articles to stay ahead of the trends in the Banking, Insurance and Managed Services world

About Finalyse

Our aim is to support our clients incorporating changes and innovations in valuation, risk and compliance. We share the ambition to contribute to a sustainable and resilient financial system. Facing these extraordinary challenges is what drives us every day.

Finalyse Careers

Unlock your potential with Finalyse: as risk management pioneers with over 35 years of experience, we provide advisory services and empower clients in making informed decisions. Our mission is to support them in adapting to changes and innovations, contributing to a sustainable and resilient financial system.