MasterFinance

THEMA Consulting successfully underwent the audit for compliance of its information security management system (ISMS) with the requirements of the international ISO/IEC 27001:2013 standard.

According to the audit, THEMA’s ISMS meets the standard’s key principles, thus ensuring and preserving confidentiality, integrity and availability of the company’s information assets, as well as data of its customers and partners.

“This certification is an evidence of THEMA’s best-in-class processes and security operations” said Pierluigi Nasoni, CEO at THEMA, “we will continue to strive towards maintaining the highest standards of information security, as this allows THEMA to be ideally positioned to serve its clients and meet their information security needs”

 The ISO/IEC 27001:2013 standard is the recognized international benchmark for information security management, outlining how to implement and uphold an independently assessed and certified Information Security Management System (ISMS). ISO/IEC 27001:2013 helps organizations manage the security of assets such as financial information, intellectual property, employee details or information entrusted by third parties.

October 2023 THEMA Consulting, the Swiss provider of trading & risk solutions for capital markets and corporate treasuries, is proud to announce the progressive deployment – since July 2023 – of the new MasterFinance 14.0

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Leveraging its comprehensive cross-asset coverage and advanced risk analytics, the newly launched MF Release 14.0 has been refined to empower clients with complete control over their data while facilitating risk-informed decision-making.
Among these enhancements, the MF WEB Order Management system has broadened its scope to support not just Deposits, but also Deposit Multiflow and Deposit Call Multiflow. Additionally, the White Label workflow has been upgraded to incorporate automated Request-for-Quote (RFQ) capabilities from the 360T platform.
In the realm of instruments coverage, the platform now accommodates Contracts for Difference (CFDs). Furthermore, the accumulator family of products has been enriched with the addition of FX Range Target Payout Forwards and TARFs, now featuring early Termination Triggers enabled by Conditional Counting.
The MF Value at Risk (VaR) service now incorporates Historical Scenario Simulation Methodology, thereby deepening its analytical capabilities. The applied approach involves the construction of simulated scenarios from historical daily variation of the market risk factor. A new analytical view, termed “VaR Detail”, has been added to offer insights at the instrument level.
Advancements in the Credit Risk service feature enhanced netting capabilities, achievable through a strategy-based approach. Additionally, a newly developed engagement calculation method—realized via simulations that account for diverse market shocks—is now applicable to pending orders.
The CSA functionality has been upgraded to offer a seamless, fully integrated solution with Trioptima and ACADIA. This upgrade facilitates the export of Deal and Mark-to-Market (MtM) data while also enabling the import of Initial Margin figures and collateral movements.
The Front Office service now includes value-added features designed to equip the system with a broader range of risk analysis metrics. Meanwhile, the Middle Office service has improved by offering flexible value dates for FX Instruments and an enhanced Deal advice feature.
In the Accounting service, improvements have been made to facilitate the management of hedging methods more effectively for Cross Currency Swaps.
The Market Interface service has been once more broadened to include more standard integrations with market platforms.

Finally, the Back Office service has been strengthened through a new alignment with Trade Repository Regis-TR, ensuring compliance with the Regulatory Fitness and Performance Program (Refit) framework. This new integration includes the capability to reconcile results.
Pierluigi Nasoni, CEO & Chairman of the Board at THEMA Consulting says: “In the midst of persistent geopolitical and economic uncertainties, THEMA has maintained uninterrupted service to our existing clients while concurrently introducing expanded regulatory and market functionalities, all of which are consolidated in our latest MasterFinance 14.0 release. Given the likelihood of emerging challenges confronting financial institutions and corporate treasuries in the foreseeable future, we are confident that THEMA is better positioned than ever to help clients swiftly and effectively adapt their operations, irrespective of their existing operating models.”

Now available on MasterFinance 14.0

INSTRUMENTS (full lifecycle):

• Contract for Difference (CFD) on FX, CMD, EQ, Index and Future
• FX Range Target Payout Forward and TARF
• FX TARF & Pivot with early Termination Trigger via Conditional Counting
• Equity swap Dual Currency
• Energy Power Swap 

ORDERS:

• Platform orders management for:
  • Deposit
  • Deposit Multiflow
  • Deposit Call Multiflow
• Order management extension through Credit Risk, Transparency Info, User Defined Field and Data Warehouse.
• White Label automatic RFQ from the 360T platform

VAR RISK:

• Historical Scenario Simulation Methodology
• VaR Detail view

CREDIT RISK:

• New add-on netting methodology Strategy Based for OTC & ET options
• New add-on netting methodology Underlying Netting Rule for FX OTC instruments
• Worst Case Add-on computation for FX Pending Orders
• Engage Aggregation for Counterparties’ Groups
• Collateral Advice extensions

FRONT & MIDDLE OFFICE:

• FX Position Automatic Hedging
• Flexible Value Date for FX
• Seasonality Estimation for Inflation Linked Instruments
• Deal Advice extensions
• Deposit Swap management extension
• Automatic Info Provider Code generation for securities

LIQUIDITY:

• Additional Liquidity Category

ACCOUNTING:

• New Hedge Accounting model FX Basis Management for CCS

DATA WAREHOUSE:

• Order Management

STANDARD INTEGRATIONS:

• New native integrations with the following market platforms:
  • IRS from Bloomberg Multi Asset
  • IRS to Markit Trade Manager
  • Bond Order from MTS Bond Vision
  • FX from Leonteq
  • FX Block Trades from FXall
• New Regulatory Fitness and performance programme (Refit) integration
• Bidirectional integration with Trioptima and ACADIA for CSA management
• Clearing Broker daily Margin Data & Price Import for cleared IRS available for SOGEN
• Avaloq architecture integration extension for Equity Swap import and IRS / Treasury Forward export

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 MasterFinance 12.0

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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

January 2021 THEMA Consulting, the Swiss provider of trading & risk solutions for capital markets and corporate treasuries, is proud to unveil MasterFinance 11.0

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We are proud to announce the new MF release 11.0 that represents a significant step forward in our platform development process and confirms our commitment to be in line with the continuous changing market conditions.

This new release consolidates the MF web based architecture including High Availability feature and the integration with market leader streaming platform Apache Kafka. Furthermore, the MF WEB application is now available with the full functionalities of the Order Management service, including white-labeling which enables the use of MF for “External Customers” and “Client Relationship Managers” to place and monitor orders.

The Credit Risk service has been extended delivering a fully integrated front to back solution for the management of the Cleared IRS (OTC CCP), which includes the margin & prices automatic import from the Clearing Broker files and the data transfer to the back office systems.

The Front Office service has been enhanced managing the new IBORs Benchmark Fallback Rates and the Exit Operative Strategy. An adaptive workflow, compliant with ISDA protocol, allows and finalizes the IBORs transition framework for derivatives contracts.

Furthermore, the Front Office service has been enriched with new value added features and new native integrations with market platforms. In particular the new integration based on the Trade Repository Regis-TR, compliant with the Securities Financing Transactions Regulation (SFTR) framework.

Pierluigi Nasoni, CEO & Chairman of the Board at THEMA Consulting says: “2020 was a special year. Since the first signs of COVID-19 spread, the company quickly adapted its organization to ensure continuity to the clients’ operations and to keep our employees safe and healthy. Our commitment to the evolution of MasterFinance has continued strongly, delivering leading risk management technology at a number of large financial institutions and helping our clients manage and take risk with confidence.”

Now available on MasterFinance 11.0

ORDERS:

• Web platform for:
  • FX Flexible FW Option orders management
  • Finalization and extension of FX and FX Option orders white-labeling

PRODUCTS (full lifecycle):

• TARF & Pivot with European KI
• FX & CMD Option OTC Cash Settlement

CREDIT RISK:

• Full STP Front to back OTC CCP framework
• OTC CCP extension to Repo
• Engage calculation including pending orders
• Monitoring of Notional at Risk considering the Net Open Position (NOP)
• OTC CCP extension

FRONT & MIDDLE OFFICE:

• OTC CCP IRS compression for the Regis-TR supervisory reporting
• Interest Rate Curve and Index fixing delay extensions to be compliant with the new IBOR rates
• Payment Delay for Fixed Income Instruments, in particular to manage the fixing in arrears of instruments linked to IBOR rates with delayed survey date
• Overall position and security schedule views available in the web architecture
• Massive management on the fixing and exercise events for FX and Equity Accumulators, Target Forward (TARF) and Pivot
• Implied Curve for FX Instruments
• Introduction in the FO views of the following indicators:
  • Delta Smile Adjusted: instrument price sensitivity according to an underlying shock and a volatility variation considering the Volatility Smile.
  • Hedge Amount Smile Adjusted: underlying amount required to neutralize the risk resulting from the underlying price variation and the related volatility variation.
• Hedge Accounting framework extension in order to enhance the management of proceeds asset swap
• FX Volatility ATM Market Convention
• Bankit reporting drill down for eligibility assets

STANDARD INTEGRATIONS:

• Securities Financing Transactions Regulation (SFTR) reporting to Trade Repository Regis-TR
• New native integrations with the following market platform:
  • Bloomberg Multiasset-FIX Repo for Repo and Repo Buy/Sell Back transactions import
  • EBS- FIX, new integration protocl
  • MTS Deposit
  • TradeWeb for Bond, Equity and ETD
• New integrations with Apache Kafka Streaming platform for position data dispatching
• Clearing Broker daily Margin Data & Price Import for cleared IRS available for Intesa Sanpaolo and BNP Paribas
• Supervisory PUMA enhancements:
  • Enhancements for IRS inflation reporting
  • Additional message layout for IRS traded within CSA agreement or OTC CCP agreement
  • Additional message layout for FX Forward, FX Swap traded within CSA agreement and for Forward Bond and Forward Equity

TECHNICAL ARCHITECTURE:

• Automatic update of MF User authorization profile through Active Directory

November 2019 In the year of its 25th anniversary, THEMA Consulting, the Swiss provider of trading & risk solutions for capital markets and corporate treasuries, is proud to unveil MasterFinance 10.0

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Version 10.0 of MF plays a very significant role in our platform development process that, once again, demonstrates the desire to be close to the customers and to catch new market opportunities.

In particular, this new release introduces new Credit Risk functionalities, which consolidate Credit Risk analysis and Market Risk additional enrichments, in order to meet FRTB regulation requirements.

New integrations with market platforms are now available to ensure MF flexibility and dynamicity.

Furthermore, the new MF release confirms our technology up-to-date approach, with the introduction of the web platform for FX orders management and white-labeling.

“We are thankful to our customers who accompanied us during these first 25 years of success, deserving their credit for our professionalism and commitment to enhance MasterFinance according to the changing market conditions. The release 10.0 is a new significant step in MasterFinance continuous upgrading path to new technologies by introducing its first web based service. Moreover, MasterFinance makes a further step forward to be a reliable and flexible platform covering the ever-increasing requirements of risk analysis and regulatory compliance”, says Pierluigi Nasoni, CEO & Chairman of the Board at THEMA Consulting.

Now available on MasterFinance 10.0

ORDERS:

• Web platform for:
  • FX and FX Option orders management
  • FX and FX Option orders white-labeling

PRODUCTS (full lifecycle):

• Flexible forward extension

MARKET RISK:

• FRTB compliance through the Standardized Approach as a calculation model for Market Risk Capital Requirement
• New view “Breach Monitor” to report statistic regarding the frequency and the tenor of a limit breach

CREDIT RISK:

• What If Credit Risk: simulation of market shocks on Credit Risk engage
• New view to report to clients their losses in OTC Derivatives trading

FRONT & MIDDLE OFFICE:

• Extension of Key Rate Sensitivity (KRS) with:
  • Introduction of the Sensitivity Based Risk (SBR) model
  • Calculation of the Hedge Amount Sensitivity
• Greek P&L attribution: contribution of each single risk factor to the Daily P&L
• Deal Partial Modification: deal modification limited to specific subset of fields
• Mandate limit: monitor if a specific user is authorized to insert/confirm a deal considering the volume of the traded deal.

ACCOUNTING:

• Hedge Accounting – Macro Hedging: hypothetical derivative approach extended to macro hedging

STANDARD INTEGRATIONS:

• Extension of intra-day Mark-to-Market export: scheduling at timeshoot with synchronization of the revaluation services and possibility to use the market data of the Closing Scenario
• New integrations with ZKB’s e-Trading PRO and BCV’s e-FOREX to retrieve FX deals
• Entitlements extension for B-PIPE – Bloomberg API
• Extension of STP processes with ERMAS
• Integration with UnaVista for OTC derivatives Transaction Reporting
• Integration with Elidata for OTC derivatives Transaction Reporting to Consob
• Import of Bond Haircut from BNS

The MF release 9.1 introduces a variety of additional enhancements, which demonstrate the flexibility and the dynamicity of the platform.

In particular, new products have been introduced, new ALM and Credit Risk functionalities, more standard integrations with market platform are now available. Furthermore, Front Office additional enrichments are implemented in order to allow customers to respond to the new MIFID 2 Regulation.

“With this new release MF makes a further and significant step forward in the Credit Risk analysis and proves to be in line with the most recent requirements for regulatory compliance on trading markets”

says Pierluigi Nasoni, CEO & Chairman of the Board at THEMA Consulting.

Now available on MasterFinance 9.1

PRODUCTS (full lifecycle):

• Bond Convertible
• Multistrike for FX and Equity Accumulator
• Single & Double KO Trigger for FX TARF Accumulator
• Double Gearing for FX Pivot Accumulator

ALM:

• ALM Credit Risk shock extension
• Analysis of Interest margin and Variance extension
• Management of shock interpolation
• Management of massive event in simulation

CREDIT RISK:

• Key Credit Risk Sensitivity extension

LIQUIDITY RISK:

• Enhancement of Overall liquidity cash flow view

FRONT MIDDLE OFFICE:

• Enhancements of Deal Revaluation view by adding new fields for P&L evaluation (for example Asset/Liabilities, with or without fees, currency different from Rcy)
• Spread management according to MIFID2 requirements
• New features in Deal & Order Entry for MIFID2 and Pre-post Trading Transparency
• Management of “normal volatility model” input for Cap&Floor

ACCOUNTING:

• IFRS9 compliance through introduction of Hedging Accounting in Market Risk

STANDARD INTEGRATIONS:

• FX Order Request for Quote import from Bloomberg AIM
• Repo Order import from MTS\MMF
• Interface from Markit FX (FX Spot, Forward, Swap & NDF)
• Import volatilities from Bloomberg BVOL

THEMA Consulting, the Swiss provider of trading & risk solutions for capital markets and corporate treasuries, announces MASTERFINANCE 9.0.

“MF is now IFRS 9 compliant: just following Market and Business Needs is never enough at THEMA, and so we anticipate the regulatory requirements to allow customers to respond to the new IASB rules, a new way to classify and measure financial assets, financial liabilities and to properly manage rightly accounting provisions.

The changes are based on three fundamental pillars:

• introduction of a new financial instruments classification and measurement model;
• financial liabilities and the adoption of a new expected loss assessment;
• impairment and definition of new rules for hedging instruments and accounting provisions.

Furthermore, new financial products are managed, Front Office value added features, VaR and Credit Risk new functionalities enrichment, import from real-time markets and core banking system routines, FinfraG trade repository interfaces.

The new MF release confirms, once again, our client-driven approach to tailor the software to Customer needs.

We have a mosaic evolution Product, enabling historic customers to benefit from R&D improvement and new one to adopt a complete and scalable solution”

says Pierluigi Nasoni, CEO & Chairman of the Board at THEMA Consulting.

Key developments and enhancements now available on MasterFinance 9.0

PRODUCTS (full lifecycle):

• Repo Evergreen
• Equity Swap, Price Return Swap, Dividend Swap, Total Return Swap extension
• FX & Equity Accumulator extension

ALM:

• Forward interest rate shock extension

 VAR:

• Component VaR & Expected Shortfall
• Clumbing flows of an interest rate instrument assessing their exposure to both generic and specific risk volatilities

CREDIT RISK:

• Future CR engage calculation
• CSA & GMRA Collateral Advice

FRONT & MIDDLE OFFICE:

• Volatility and Premium in Basis Point
• Automatic Batch Split Position & Default Broker/Dealer
• Client Profitability
• MiFID2 Deal Initiator
• What-If input value extension Overall & Enhancement PIPS/ Shock TCY
• Multi Customer Position Management
• Regis-TR Monitor Process Alerting Enhancement
• Automatic Management of Corporate Actions on Equity and Equity Derivatives

ACCOUNTING:

• IFRS9 compliance through Impairment value
• IFRS9 compliance through Expected Credit Loss (ECL) writing down
• IFRS9 compliance through Final & Future ECL provision

STANDARD INTEGRATIONS:

• FinfraG Trade Repository (Regis-TR) interfaces
• Swift Confirmations and Payments (Spot, Fwd and Swap, Depo mono-flow and Account Movements for messages
• Deal import – IRS from MarkitWire
• Deal import – FX Spot, Forward, Swap & NDF from UBS NEO / FX2
• Deal import – Time Deposit, FX Option Vanilla from 360T
• Deal Quoting – FX Spot, Forward, Swap & NDF, Forex Option Vanilla through 360T FIX Protocol (notifications included)
• Deal Quoting – Forex Limited Order through 360T FIX Protocol (single order and complex order like What-If, OCO and What-if + OCO, notifications included)
• Deal import –  FX Option from RTNS