PMS Services for Treasury of the German Federal States Ministries of Finance

PMS Services for Treasury of the German Federal States Ministries of Finance

Our Profile much-net AG is specialised in sales, maintenance and development of a standard software for the valuation and management of financial products. The core of our development work is the implementation of financemathematical methods and models. The selfdeveloped standard software solution PMS (Portfolio and Risk Management System) is a modular software system marked by broad and deep functionalities for an extensive range of financial instruments. The system s scopes of application range from front and middle to back office. S t r e n g t h e n y o u r b u s i n e s s... I m a man of simple tastes. I m always satisfied with the best. (Oscar Wilde) PMS is applied successfully across Europe. It does not only serve as a basis for in-house installations provided and maintained by us for several decades, but also for much-net s outsourcing services. The PMS standard software solution is an independent platform, i.e. it does not depend on particular producers of operating systems and databases. Owing to its corporate and financial structure, muchnet is completely autonomous in its decisions and in the provision of services. These are crucial factors that ensure flexibility and integrity when trying to meet our customers individual needs. 2 2

...with our solutions Our Target Audience Many particular circumstances that result from a German Federal State s status as non-balancing authority and permanent debtor, more requirements to comply with auditing standards, the desire for a higher independence from bank ratings and the necessity of an increased automatisation - these are the main reasons why Ministries of Finance decide to use a risk management software, especially in the Treasury, Risk Control and Collateral Management department. We provide standard but also customised approaches that can be combined to create a SOLUTION tailored to your financial ministry s needs. 3 3

Our Insourcing and Outsourcing Services for Financial Ministries Software assistance in the valuation and risk management with regard to measurement, control and monitoring of the positions in a derivative and credit portfolio Position keeping that includes a full historicisation of events such as fixings, restructuring, closeouts Calculation of the market values (net present values) for all derivative positions based on mathematical models such as Hybrid Hull-White Model or Libor Market Model Grouping and valuation of positions according to freely selectable asset classes and valuation units (micro-hedges) Deterministic cash flow simulations taking limits and warning thresholds into account Stress tests of the cash flow simulations using freely definable interest rate scenarios Ad hoc simulations of fictitious position changes for derivatives and credits Collateral management including margin and interest calculation using thresholds, rounding rules and minimum transfer amounts (MTAs); possibility to import counterparty portfolios from an Excel or CSV file via standard import interface; report-based market value comparisons between counterparty portfolio and PMS portfolio Connection to payment and accounting/bookkeeping systems (e.g. SAP) for automatic processing purposes Limiting/managing the rights and authorities of different departments and users in the system through the PMS user right system In-depth logging of manual changes using a documentation integrated in PMS (Audit Trail) to comply with auditing standards Connection to market data providers (e.g. Bloomberg, Reuters, SIX...) via interfaces Cash flow simulations including a simulated prolongation of mature positions for an estimation of the interest expense in future years; prolongations can be simulated using interbank rates (e.g. 6-m-Euribor) or fixed rates or a mixture of both methods (e.g. 60 % using the interbank rate, 40 % using the fixed rate) Setting benchmarks by defining a benchmark portfolio; comparison with current portfolio Creation of predefined reports; it is also possible to create ad hoc reports such as maturity profiles, funding structure, credit key figures, position changes, net present values Software as a Service (SaaS) (IT Outsourcing) to outsource system-related and IT-specific aspects (technical administration, backup ) including PMS maintenance (database, interfaces ) and updates; a dedicated remote access for customers to use the system in compliance with auditing standards Business Process Outsourcing (BPO) to outsource entire business processes, the system solution including IT-related operations; central management and automatic processing of the positions; reporting; customer-specific support 4

A few samples that s how your reports could look like On the next pages you can find a selection of sample reports that demonstrate the analyses that can be run in PMS and other scopes of application. (The relevant data in the sample reports have been anonymised for privacy reasons.) Your Contact much-net AG Kennedyallee 1-5 53175 Bonn / Germany www.much-net.com Phone 5 +49 (0) 2 28 9 11 46-0

Report: Credits - (Current) Maturity Profile Annotation: Maturity profile of the credits, broken down into fixed, floating, first call fixed and first call floating payment type; tabular and graphical representation 6

Report: Cash Flows since the Beginning of the Year Annotation: Cash flow overview of the coupon payments, grouped by geleistet/ erhalten (paid/received), feststehend (fixed floater payments) and prognostiziert (unfixed floater payments) 7

Report: Cash Flow Simulation Annotation: Cash flow forecast of the coupon payments, represented in yearly blocks. Fixed payment limit per year (limited interest expense for each fiscal year) and graphical representation of the limit utilisation for every year Years without cash flow will not be shown. 8

Report: Market Value Differences Annotation: Presentation of the market values including differences to the beginning of the month and the year including a market value colour coding that indicates the relationship between notional amount and market value. The colours symbolise the following relationships: Green for a relationship >= -10 % Yellow -20 % <= relationship 10 % Red relationship < -20 % 9

Report: Credits - Current Funding Structure Annotation: Current funding structure of the credits with a graphical representation of every year and breakdown into promissory notes, benchmark bonds, state treasury notes and other credits 10

Report: Profitability - Position Changes Annotation: Presentation of the position changes for each asset class within one year; display of the differences regarding quantity and volume 11

Report: Credits - Key Figures Annotation: Presentation of credit-related key figures (duration, fixed-interest period, maturity/termination) 12

Report: Refinancing Volume Annotation: Tabular and graphical representation of the refinancing volume aggregated according to calendar year, based on credit notional amounts due 13

Report: Interest Rate Report Margin Accounts Annotation: (Collateral Management) Representation of the interest accrued on the collateral margin account in the relevant month (interest rate balance), grouped by counterparty Note: The data presented in this report are fictitious. 14

Report: Market Value Comparison between PMS and Counterparty Annotation: (Collateral Management) Representation of the PMS derivative market values in comparison to the derivative market values of the counterparty, grouped by counterparty plus drill-down to single position level Note: The data presented in this report are fictitious. 15