Versione Italiana

Lugano (CH), January 30, 2012

THEMA Consulting, a leading independent provider of risk management, treasury and trading services and software, in occasion of the 18th Assiom Forex Congress, it announces the launch of the new version of MasterFinance, its cross-asset integrated platform designed to support global financial institutions in the capital market activities.

The new version 6.1 (Service Pack 3) includes relevant innovations and consolidates the growth in continuity with the previous releases. The significant investments in research & development enhance the front to back management of the financial instruments within a modular and integrated framework.

Major improvements of instruments management, include:

• Credit instruments
  • CDS ISDA Price
  • CDS on name
  • CDS on bond/loan (regular & irregular)
  • CDS on name binary
  • Credit Default Index Swap
  • Basket CDS (first to default, nth to default, n out of m to default, all to default)
• Bills, Coins and Metals (P&L and risk indicators, physical warehouse management, etc.)
• Dual Currencies Deposit (DCD)
• FX & Securities Accumulator Option OTC
• Non-deliverable Forward & Option

Major innovations of application services, include:

• Front Office
  • New stochastic models 1&2 factors with calibration are available to price fixed income instruments (including CMS, structured Bond and callability clauses with bermudan style).
  • The FreeStyle price engine has been extended to FX & Commodities instruments allowing the evaluation of further complex options and option-embedded instruments on currency and commodity such as Basket, Cliquet with european, american and bermudan exercises.
  • A new “Theoretical Pricing” server, permits to evaluate IR instruments during pre-trade (not yet in position), associating them to "estimated/simulated" curves and scenarios. Once in position, these instruments are managed in MtM mode, associated to real market curves. These new features allow the fitting of the trade-off in evaluating instruments on pre/post-trade phases as well as the managing of the liquidity and secondary market pricing transparence until the expiration, both in conformity with market conditions, funding policies and rating of the issuers.
  • The Spread Analysis, implements new indicators “Yield Analysis” (I-Spread, G-Spread, Z-Spread, ASW-Spread, Basis) and “Margin Analysis” (Discount Margin, Zero Discount Margin, Effective Spread, Spread for Life, AS Margin, AT Margin).
  • Specific audit trail functionalities support pre/post-trade controls that require market data tracing during deal entry.
• Risk Management
  • The VAR Service has been enhanced with new indicators Expected Shortfall, Component Expected Shortfall, Component VAR, VAR Beta% and Marginal VAR.
  • The Credit Risk Service has been extended with Credit Support Annex (CSA) functionalities, allowing to collateralize the warranties through Cash or Bonds. Moreover the Counterparty Risk and Limit Management have been enhanced triggering statistics on overdrafts, engagements and replacements.
  • The Market Risk Service, with the objective to improve the monitoring of increasing market volatility and the correlation between risk factors, has been enhanced with new risk-spread analysis features, implementing techniques of sensitivity measurement and indicators such as:
    • Stochastic Alpha-Beta-Rho (SABR) surface volatility
    • New “curve bump-shocking” methods.
• Middle Office
  • New functionalities to model curves and market scenarios allow to:
    • Create different types of curves (i.e. discounted, CDS, rating & rating spread, basis spread indexed) for “MtM adjusted” evaluations.
    • Enhance interpolation methods and setting capabilities of bootstrapping, for curves "basis-spread-adjusted" such as “tenor basis” and “OIS” ones.
  • New functionalities allow to model SABR Surface Volatility with Cap & Swaption Vols and to fit model calibration with ATM and Smile market volatilities.
  • New functionalities of Margin Requirements extend middle – back office management of ET derivatives of major markets (CBOE, CFE, CBOT, CME, COMEX, EUREX, ICE, IDEM, LME, MEFF, NYBOT, NYMEX, NYSE EURONEXT, OCE, TSE).
• Accounting
  • The management of MIFID regulation has been extended for the valuation of illiquid instruments and transparence of Bond issues. In the compliances context, extensions have also been made to the adequacy of regulatory & supervision (i.e. PUMA for the Italian Banks) regulations and of the hedge accounting and IAS accounting rules.
• Market Interface
  • The relevant number of market platforms already integrated has been extended to:
    • Bloomberg B-PIPE & Data Licence, to import securities and futures static-data, in addition to market data.
    • Bloomberg FXGO Electronic Trading Platform
    • Deutsche Bank Autobahn FX
    • T360 TEX
    • IMI J-Trader.
• DataWarehouse
  • The data availability has been extended and the data access improved by the means of a new View Generator that allows users to create on-line views printable and schedulable (as standard reports).

Versione Italiana

Lugano (CH), May 11, 2009

THEMA Consulting, a leading independent provider of risk management, treasury and trading services and software, announces the new release 6.1 of MasterFinance, its integrated platform to support financial institutions and corporations in their capital markets activities across asset classes.

In continuity with the significant innovation realized on the latest release 6.0, MasterFinance 6.1 will be released on the second part of 2009 and is the result of important activities of research & development led by THEMA’s specialists.

Major enhancements of MasterFinance 6.1 services include:

• Price engine extensions
  The new sophisticated price engine of MasterFinance integrates the latest math-libraries and models provided by our partner NumeriX (e.g. HW 1 Factors - Multi-Factors, Libor Model, Black-Karasinksy, including several calibration methods) to price further instrument classes:
  • Floating rate notes
  • Structured Bond
  • Callable & Puttable Bond
  • Quanto & Cross Currency Bond
  • CMS linked
  
  MasterFinance price engine, integrated with the Front-to-Back instruments management, has been enhanced to allow multi-library capabilities. In addition to the increased NumeriX integration, the new release permits to use within a unique framework the latest math-libraries and pricing models, including those developed by THEMA as well those provided by other leading analytics & math providers, such as Fincad and GFI-Fenics.
  
• Credit Risk extensions
  MasterFinance new release improves the Risk Management capabilities addressing users in monitoring counterpart default risk, fitting Basel 2 standards. The extensions of the Credit Risk Service permit to evaluate the credit risk component embedded into the OTC derivatives market value, through models based on default probability, implicitly estimated through rating spread market curves. These credit risk components are evaluated for each single counterpart, through rating attribution and for single financial instrument. The platform un-bundles “expected loss” and “unexpected loss” values, and calculates losses deriving from the credit migration. Summary outputs allow to aggregate risks by counterpart and give a consolidated view at the position, portfolio and company level. The Credit Risk Limit Management also supports credit risk monitoring through “stop-loss” limits. The MasterFinance Credit Risk Service has been enhanced to be easily integrated with the rating spread and default probability providers, to assure that input-data is continuously updated to the market changes.
  
• KRS Market Risk Hedging Methodology
  Addressed to Risk Manager and Front Office, the MasterFinance new release implements the KRS (Key Rate Sensitivity) methodology. KRS enhance the interest rate and volatility risk hedging effectiveness, particularly for portfolios containing interest rate derivatives. Through the detection of an arbitrary number of key maturities of the yield curve on which it is possible to apply shocks to the rates and the instrument’s full evaluation, KRS computes specific sensitivity indicators for each single yield curve time-node. Continuously measuring the interest rate risk exposure, MasterFinance allows to monitor in real-time the exposure of a single financial instrument and portfolio, as well as provides the “optimal allocation” of the quantity of instrument that is necessary to hedge the position on the due sensitivities time-buckets. By measuring the risk exposure for the selected segment of the yield curve, KRS support dynamically the risk hedging strategies and improves effectiveness through a Benchmarking technique that optimize the allocation of the hedging instruments on the time-bucket more sensitive to the interest rate risk exposure.
  

Lugano (CH), January 21, 2008

THEMA Consulting, a leading independent provider of risk management, treasury and trading services and software, today unveiled the release 6.0 of MasterFinance, its integrated platform to support financial institutions and corporations in their capital markets activities across asset classes.

MasterFinance release 6.0 is the result of more than 6,000 man-days of research & development work invested over the last year to enhance pricing, risk analysis and accounting functionalities to allow clients to carry out their financial business within a straight-to-processing and fully integrated workflow capability as well as to give users the option to automate each process as required.

Major innovations of MasterFinance 6.0 services include:

• Front Office & Risk management, enhancement in complex derivatives and structured products pricing processing and risk analysis, that allows managing within a specific cross-asset framework, an extensive class of instruments and derivatives positions more efficiently, automatically evaluating the latest innovative products on interest rate, equity, commodities and forex. The new sophisticated pricing-engine of MasterFinance now bundles the NumeriX latest math-libraries, properly associates models (Monte Carlo engine, single and multi-factor IR models, enhanced IR Libor model), deterministic or stochastic volatility to each class of instruments and allows writing payoff templates (through an intuitive script language) for a fast-modelling pricing process (involving front office, risk management, accounting and compliance) that reduce complexity and time to-go-to market.

• ALM enhancement in earnings value model introducing repricing risk analysis. This view allows measuring interest margin sensitivity and basis risk for each time bucket. ALM engine also provide full valuation balance sheet forecast. ALM reporting is empowered by creating a custom hierarchical balance sheet Items (ALM category) to analyse dynamically risk data.
• Middle Office enhancement in instrument life-cycle, including the management of sophisticated and automated functionalities for order and templates management of OTC instruments, payments, broker and client fees, automatic fixing and margin calculation for ET derivatives of major markets (e.g. EUREX, IDEM, LIFFE, CME, CBOT).
• Accounting & Compliances adequacy to the hedge account, regulatory & supervision (i.e. PUMA for the Italian Banks) and IAS accounting latest rules. A specific cash settlement system has been developed to permit in a unique module to manage counterparties settlement payment rules.
• Market Interface improvement and extension. The service that interfaces info providers and trading platforms, obtains Bloomberg quality certification by signing the agreement according to the Bloomberg Data License & Server API’s program. Moreover the trading platforms integration has been extended with: Barclays, Citigroup, Lehman Brothers, Saxo Bank and Trading Technology.
• System management and the underlying technical infrastructure improvements to ensure MasterFinance remains at the cutting edge of software development. Portfolios services have been extended with parallel calculation capabilities to reduce and distribute time consuming critical processes such as pricing, risk analysis and mark-to-market. Standard interfaces with external systems have been extended providing a great efficiency during MasterFinance implementation phases. The report management has been enhanced giving the possibility to mirror each view of the platform into highly customized reports and schedule the reports printing.

Lugano (CH), January 18, 2008

THEMA Consulting, a leading independent provider of risk management, treasury and trading services and software, today announced a new partnership agreement with NumeriX, the award-winning, independent leader in pricing and risk analytics for fixed income, credit, foreign exchange, hybrids, cross currency, commodities, inflation rate and equity derivatives.

MasterFinance 6.0 pricing-engine now bundles the NumeriX latest math-libraries, enabling financial institutions to gain more accurate, independent pricing for standard and hybrid exotic derivatives with extensive asset class coverage. With access to all NumeriX capabilities directly through MasterFinance, clients are able to manage complex derivatives positions more efficiently automatically evaluating the latest innovative products.

“We believe that by integrating the NumeriX derivatives analytics with MasterFinance, our integrated platform for risk management, treasury and trading, creates a powerful solution that enables our clients to increase innovation in their financial products”, said Fabrizio Masciadri, CEO of THEMA. “Moreover, the solution will enable a fast-modeling pricing process that involves front office, risk management, accounting and compliance and reduce complexity and time to-go-to market”.

“We are pleased with this partnership that assists THEMA in reducing the time it spends in integrating analytics. As a result, THEMA’s clients are able to significantly reduce the time and difficulty in modeling and pricing complex derivatives and structured products,” said Steven R. O’Hanlon, President and COO of NumeriX. “This partnership strengthens our position as a leader in independent valuation and, coupled with MasterFinance’s standing in the European market for global treasury platforms, expands our global reach.”

About THEMA Consulting
THEMA Consulting is a leading independent provider of risk management, treasury and trading services and software. THEMA has developed a concrete superior competence gained in more than 20 years of business consulting and designing, implementing and integrating solutions that support financial institutions in the capital market activities. By integrating organization, financial and technological skills and through the development of MasterFinance platform, THEMA acts as a reliable partner able to assist clients to face transformation processes and achieve their business strategies. THEMA’s team of specialists, a result of a careful and permanent international recruiting effort, is dedicated to providing clients with the best support in the industry.

About MasterFinance
MasterFinance is a fully integrated platform delivering superior STP approach in supporting the entire risk management, treasury and trading activities across all asset classes. The combination of wide instruments and functionalities coverage, flexibility and user friendliness, high performance and scalable architecture, makes MasterFinance a leading system to support financial institutions in the capital market activities.

About NumeriX
NumeriX is the award-winning, independent leader in pricing and risk analytics for fixed income, credit, foreign exchange, hybrids, cross currency, commodities, inflation rate and equity derivatives. NumeriX has a financial engineering and quantitative team composed largely of PhDs on the same scale as the very largest of financial institutions. More than 275 clients across 25 countries rely on NumeriX for speed and accuracy in valuing their structured products and derivatives. Trading and risk platform vendors leverage NumeriX analytics to gain a time-to-market advantage by embedding the power of NumeriX into their systems. Founded in 1996, the company is privately held and has offices in New York, Chicago, Santa Fe, Toronto, London, Paris, Singapore and, Tokyo. For more information visit www.numerix.com or type NUMX <GO> on the BLOOMBERG PROFESSIONAL® service.

Marketing & Media Contact:
Dan Gaffney
LEWIS PR
+1 617-226-8844
numerix@lewispr.com

Lugano (CH), January 11, 2008

THEMA Consulting, a leading independent provider of risk management, treasury and trading services and software, and Bloomberg, a global news and information organization, announced that MasterFinance’s Market Interface service is now integrated with Bloomberg Data. MasterFinance clients can seamlessly populate theirs databases with market and securities data available through Bloomberg's Data License product, automatically mapping terms and conditions together with instrument prices, and risk factor data (interest rate curves, index prices, exchange rates) for a wide array of instrument types.

This achievement is the result of the agreement between the two companies according to the Data License & Server API’s Bloomberg program and outlines the capability of MasterFinance in managing market data-feed, reducing useless latency by streaming financial market information to all its trading & risk modules. Users of MasterFinance will also be assured that the relevant information is streamed according to the existing Bloomberg data-distribution policy.

Bloomberg Data License provides flexible access to more than 4 million instruments spanning all global capital markets. Bloomberg Data License maintains security reference information, derived data, corporate-action announcements, company financials and daily/historical pricing. Nearly 5,000 unique data elements stored in Bloomberg’s data warehouse allow users to fuel MasterFinance with the same quality data relied upon by financial professionals in more than 126 countries worldwide.

About THEMA Consulting
THEMA Consulting is a leading independent provider of risk management, treasury and trading services and software. THEMA has developed a concrete superior competence gained in more than 20 years of business consulting and designing, implementing and integrating solutions that support financial institutions in the capital market activities. By integrating organization, financial and technological skills and through the development of MasterFinance platform, THEMA acts as a reliable partner able to assist clients to face transformation processes and achieve their business strategies. THEMA’s team of specialists, a result of a careful and permanent international recruiting effort, is dedicated to providing clients with the best support in the industry.

About MasterFinance
MasterFinance is a fully integrated platform delivering superior STP approach in supporting the entire risk management, treasury and trading activities across all asset classes. The combination of wide instruments and functionalities coverage, flexibility and user friendliness, high performance and scalable architecture, makes MasterFinance a leading system to support financial institutions in the capital market activities.

About Bloomberg
Bloomberg is a global news and information organization. The Company provides economic and financial information to the business community, in addition to supplying various news outlets. Bloomberg has forged a unique position within the financial services industry by providing an unparalleled range of features in a single package, the Bloomberg Professional service. By addressing the demand for investment performance and efficiency through an exceptional combination of information, analytic, electronic trading, and Straight Through Processing tools, Bloomberg has built a worldwide customer base of corporations, issuers, financial intermediaries, and institutional investors. Bloomberg media includes global news, television, radio, Internet, and magazine and book publishing operations with 1,500 reporters and editors in 85 bureaus worldwide.