MX.3 for XVA Management

Regulatory changes following the global financial crisis have led to structural changes in the OTC market. New capital charges, a central clearing mandate and bilateral rules for the posting of collateral have been introduced. These fundamental changes have created a strong incentive to incorporate these XVA measures, from pricing to accounting to capital requirements.

MX.3 for XVA Management provides an innovative approach to effectively manage the total cost of trading. It covers credit valuation adjustment (CVA), debt valuation adjustment (DVA), initial margin valuation adjustment (MVA), capital valuation adjustment (KVA) and funding valuation adjustment (FVA).

MX.3 for XVA Management delivers an end-to-end solution for risk managers, central desks, traders, finance and limits controllers. The solution meets intensive computation challenges and exposure without sacrificing accuracy.

MX.3 provides risk-takers with pre-trade incremental XVA contributions across asset classes and product complexity. It identifies the optimal counterparty for execution in real-time. Positions are refreshed instantly and XVA management fees are automatically transferred to relevant portfolios.

Central desks can actively manage desk positions online by exploring the distribution of exposures across all scenarios and time horizons, analyzing XVA and sensitivities to each of the underlying risk factors, or simulating credit data or legal agreement changes and features.

MX.3 handles CVA, DVA and FVA for financial statements in accordance with fair-value accounting standards. Basel regulatory reporting solutions for CVA capital charge— BA-CVA and SA-CVA—are fully packaged. The ladder is systematically validated by Murex against ISDA unit tests and can be rerun by clients on their own environment.

MX.3 provides fast and accurate computation and features in real-time and batch for trading and risk decisions. It leverages a highly scalable framework thanks to a cloud-ready architecture that relies on CPUs and GPUs.

The XVA management solution benefits from the integrated platform’s precise modeling for trades, credit and collateral data. This avoids approximations frequently used by standard credit simulation engines.

MX.3 for XVA Management can be deployed on-premises, in the cloud, or in hybrid deployment, connecting both the on-premises installation with the cloud extension. It is also available as part of the business process as a service offering (XVA BPaaS).

Download a flyer to learn more about MX.3 for XVA Management.