MasterFinance 8.0

THEMA Consulting, the Swiss provider of trading, risk and post-trading solutions for capital markets and corporate treasuries, announces the availability, from September 2015, of MASTERFINANCE 8.0.

 “As the capital markets landscape is becoming increasingly complex and demanding under the pressure of regulatory and market changes, we continue to partner with our customers and provide them with comprehensive, flexible and fast-evolving solutions. This new accomplishment further demonstrate how MasterFinance modular platform can truly enable a radical simplification in business and operating models, whilst allowing management and users to get information advantage in their daily activity, based on real-time analytical capabilities” says Pierluigi Nasoni, CEO & Chaiman of the Board at THEMA Consulting.

Key developments and enhancements now available on MasterFinance 8.0:

PRODUCTS (full lifecycle, from pre-deal pricing and limit checks to accounting and reporting):

• Equity Swap, Dividend Swap, TRS
• Securities Lending
• FX Flexible Forward & Accumulator (including TARF, PIVOT & Guaranteed Period)
• Structured & Triparty Repo, Open Repo, Equity, Loan & Fund Repo, LTRO
• Synthetic Multiflow Deposit and Call Notice 48H+
• Italian Inflation BTP (new Python pricing function)
• OTC Freestyle Options (user definable payoff replication)

FX&MM ORDER MANAGEMENT:

•  Limit order on FX instruments: Take Profit, Stop Loss, Stop Loss at the rate, Stop Entry, Call, If Done, OOC e If Done/OCO
• “At the market” order on FX Spot & Forward, FX Swap (Normal & Uneven), NDF Forward, Commodity Forward, FX Option Vanilla, Money Market (Generic e Call Notice)

ALM:

• Advanced shock analysis on rates, fx exchanges and volatilities
• ALM-specific multi-scenario simulations (intra-day or at specified future dates)

MARKET RISK:

• Market data early warning limit management
• Complex Market Risk limits definable as a combination of selected MR Units’ credit limit engagements
• Enhanced Backtesting threshold violation management
• Automatic email messaging related to Credit, Delivery, Market & VaR figures

CREDIT RISK:

• Full CCP Standard Repo management
• Counterparty Risk Limit automatic determination by issuer’s rating and/or category
• New typology Credit Line(Committed or Stand-By) and relevant Fee management

FRONT OFFICE:

• CMS Convexity adjustments (based on Lesnieswki & Hagan model)
• Securities Volatility Matrix supported calibration methodologies: Heston, Heston-Bates, SABR
• Multiple Curve Building Framework: extension to IR curves
• External scenario & pricing layer (optimizing computation performance)
• Spread & PIPS management at insertion for FX and FX Option deals
• Advanced deal insert for Freestyle Options (Instrument & Issuer ID definition)
• Automatic internal deals generation and “spread allocation” management
• Extended filtering capabilities on Security Allocation and Performance View
• Securities ECB Haircut full management
• ET & FX Forward Microhedging
• CVA/DVA: Default Probability and Rating Spread computational approach and multiperspective view & reporting (Front, Risk, Accounting, Supervisory reporting)
• Full Client/Counterparty View switching functionality (for FX positions)
• Pop up alert Messaging

MIDDLE OFFICE:

• Automatic OTC Option fixing event
• Advanced Trades & Payments matching monitor
• ET Margin engine: adoption of PRISMA algorithm
• Document management: possibility of storing/retrieving documents in different formats associated to trades/counterparties

LIQUIDITY:

• Basel III LCR (Liquidity Coverage Ratio) full determination
• Stressed Liquidity Cash Flow based on definable multiplier associated to instrument/liquidity category
• Advanced Liquidity Cash Flow View, with extended drill down and trace back capabilities, plus user definable view configuration (i.e. figures re-grouped by time bucket)
• Python-based complex limit configuration on Liquidity Limit settings
• Automatic rule on rates applied to current accounts balances

DATAWAREHOUSE:

• Flexible configuration for Bank of Italy’s Liquidity weekly reporting

Additionally, different enhancements have been introduced with release 8.0 in regards to connectivity with standard market (BrokerTec – ICAP) and post-trading (Avaloq, SMIT, …) solutions, as well as regulatory reporting servicers such as REGIS-TR or BoI’s new requirements for CVA/DVA surveillance reporting.