MASTERFINANCE 12.0

July 2022

THEMA Consulting, the Swiss provider of trading & risk solutions for capital markets and corporate treasuries, is proud to announce the progressive deployment – since October 2021 – of the new

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Taking advantage of the extensive cross-asset coverage and sophisticated risk analytics capabilities, the new MF release 12.0 has further evolved to support clients in taking informed decisions.

Among the extended features of the new release, the MF WEB application is now available for Liquidity Management, while the Order Management web service is now extended to ETD. Already supported OTC FX & CMD option instruments now include Asian highly exotic options.

The Instruments now fully support the management of the second wave of the IBORs Benchmark Fallback Rates and extend the accumulator family coverage.

The Credit Risk service has been enriched by extending the CSA collateral management to meet the new market requirements, including Initial Margin and Excess Collateral Management, and enhancing the netting capabilities for OTC instruments.

The Front Office service has been extended with new value added features to empower the system with additional sophisticated risk analysis metrics.

The Accounting service now supports enhanced management of Cross Currency Swaps and Repos, as well as new hedging methods.

Furthermore, the Market Interface service has been enriched with additional standard integrations with market platforms.

Pierluigi Nasoni, CEO & Chairman of the Board at THEMA Consulting says: “During another difficult year under a global pandemic, THEMA has proved resilient: we have ensured continuity to our existing clients and – in parallel – delivered new regulatory and market capabilities now consolidated in the MasterFinance 12.0 release. As the next future will probably set new challenges for financial institutions and corporate treasuries, we believe that now THEMA is even better placed to help clients appropriately and rapidly reshape their operations

Now available on MasterFinance 12.0

INSTRUMENTS (full lifecycle):

- Call Notice multiflow with fixed & variable interest rate
- Deposit Evergreen
- Perpetual Mortgage
- TARF extensions:
  - TARF Digital
  - TARF without Settlement at Target
  - TARF KO with Target PL Delivery

ORDERS:

Web platform for:
- FX Asian Option orders management
- ETD (Future, Future Option and Option ET) orders management

CREDIT RISK:

CSA Initial margin management through import from external providers
New add-on netting methodology for FX OTC instruments
Information support for supervisory requirements in relation to the standardized approach for counterparty credit risk (SA-CCR) through export interfaces to external providers
IRS: OTC CCP contract compression management

FRONT & MIDDLE OFFICE:

Capital amortization plans extension: Constant capital reimbursement and Constant periodical payment
Lag & Flooring extensions to be compliant with the new IBOR rates
FX Smile Calibration extension by building the volatility surface directly through the evaluated call & put option provided by the Info Provider
Option Risk extension with the introduction of risk measures new bucketing consistent with the real exposure of the trading book
FX Option: new Delta&Gamma adjusted greeks and adjusted hedging amounts monitoring
Multicurrency Key Interest Rate Sensitivity

LIQUIDITY:

New WEB dashboard for monitoring liquidity to support cash management, including T2 and T2S movements, daily movements of target account, evolution of hedges and automatic transfer movement generation

ACCOUNTING:

Cost of Funding derived from the interest rate spread on the remuneration of the amounts used to collateralize the operations and its hedging.
Hedging Accounting: ex-ante Effectiveness Test at Asset Swap deal capture with application of stress test methods
Effectiveness test calculation extension through new “Synthetic Bond” hedging method
Hedging Accounting P&L Analysis Monitor

STANDARD INTEGRATIONS:

New native integrations with the following market platforms:
- RMDS – Elektron API – EMA (Refinitiv)
- Market Axess
New Regis UK integration

MASTERFINANCE 12.0