A fresh take on risk and valuation

Margin calculation

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

  • Accurate services
  • Margins reconciliation
  • SIMM calculation
  • Computations speed
  • Risk rebucketing

Our other valuation and managed services

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

Collateral
servicing

  • Outsourced collateral servicing
  • Agreed margin 
  • Reconciliation of Portfolio and trades
  • Messages send to Triparty agent
  • BPO and support 

 

 

Finalyse business process diagram

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: 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.