A fresh take on risk and valuation

OTC Derivatives and Structured Products

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

  • Accounting
  • Regulatory compliance
  • Collateral management
  • Price validation
  • NAV publication

Our offer

By instrument type

Valuation of all asset classes

  • Phoenix
  • Memory coupon
  • Autocall
  • CMS Spread
  • Quantro
  • Range Accurals
  • Callable structured products
  • Lookbacks
  • Target Volatility
  • Worst/best of credit derivatives
  • ABS and RMBS: "illiquid products"
  • Hybrid structures

By reporting needs

Valuation for

  • Pricing and sensitivities
  • Stress test
  • Initial margin calculation
  • Potential future exposure
  • X-Value Adjustments (XVA)
  • Collateral & disputes
  • P&L explainer
  • Value at risk
  • Return distribution

By regulatory compliance

Large range of solutions

  • Reporting under EMIR, AIFM, UCITS, SFTR
  • EBA stress testing
  • Solvency 2 market SCR
  • FRTB standard approach calculations
  • SIMM
  • IFRS (7, 9, 13) fair value, disclosure, hedge accounting, SPP
  • Risk class: PRIIPS: SRI, UCITS: SRRI

Why entrust Finalyse with your valuations?

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.

Typical deliverables

A fully-outsourced service that will valuate the fair price of structured products and complex Derivatives independently
Calculation of risk figures: greeks, risk class, VaR, stress testing, P&L explainer
Risk dashboards for UCITS and AIF
Detailed documentation for auditors and regulators providing complete transparency (no black box)
Customized reports and interfaces to meet your exact needs and integrate easily with your current processes
Access to a dedicated support team which is in charge of
  • Reconciliation in case of price discrepancies between our valuation and the counterparty valuation
  • Answering all your questions and demands in a timely manner
Regulatory services linked to structured products and derivatives (EMIR reporting, initial margin SIMM based (ISDA licensed vendor), SCR stress test for Solvency II)
Stress testing

Worried about the quality of your stress testing models?

Reconciliation and price challenge

Detailed analysis of price challenges

Solvency II

Regulatory stress tests prescribed by Solvency II in the assessment of the capital required to hold a structured note

SRRI Calculation

Synthetic Risk & Reward Indicators (SRRIs) of UCITs

Risk analysis and sensitivities

A detailed risk and sensitivities report for any structured product


Fair value measurement

Selected client cases

A major universal bank
  • Valuation of structured products and complex derivatives on a daily basis
  • Collateral & fair value
  • Scenario analysis and EBA stress tests
  • Decomposition of the Multi legs prices (Capital, Option, Margin, Funding spread, etc.)
  • Automatic feed via CSV and sftp
  • Reconciliation with counterparty and investigation
An insurance company
  • Valuation of structured products on a daily basis
  • Collateral & unwind
  • Reconciliation with counterparty and investigation
  • SCR calculation