Optimize your technology infrastructure, meet the heavy calculation demands of FRTB and control the cost of implementation with an industry leading, advanced market risk management platform offering automation and flexibility.
Anticipate the impact on your business, make the most of your capital resources and be ready to meet regulatory deadlines and standards with Murex’s solution.
Support SA and IMA: both models fully supported, with a framework designed to simplify IMA approval and preconfigured regulatory set-up for SA compliance, reducing complexity
High performance: ‘‘never twice’’ intelligent calculation engine combined with in-memory aggregation, improves performance standards and reduces your hardware footprint
Comprehensive coverage: covers the full FRTB calculation chain, down to final capital charge, across all asset classes
Powerful risk architecture: integrates with your existing technology infrastructure
Control TCO: cheaper, faster implementation with Murex’s solution
Significant impact
The implementation of the FRTB will have a significant impact on the way banks understand and manage their capital requirements, driving a change in operations, standards, references, data integration and risk management. FRTB will directly impact a bank’s profitability and efficiency and, as a result, how trading desks are managed.
MX.3 for FRTB
Part of Murex’s risk and regulatory suite, MX.3 for FRTB is the result of a significant investment in developing best-in-class technology and features for financial institutions, underpinned by 30 years of experience managing the complexity of capital markets. It aligns your risk and trading analytics and instruments to meet the demands of FRTB.
MX.3 for FRTB is available as a stand-alone solution or as part of MX.3 Enterprise Market Risk Platform, whose flexibility can be leveraged for future changes including other regulatory requirements such as CVA capital charge, SA-CCR, or SIMM margining.
High-performance technology
Align risk and trading analytics
Stand-alone solution or integrated with the flexibility of MX.3 ERM and Trading solutions
Award-winning market risk solution
MX.3 for FRTB is a packaged solution that calculates capital charges for both the SA and IMA. It gives a consistent view of risk across the trading book, facilitating regulatory compliance and enabling improved decision making across trading desks. The solution can be deployed for SA-only compliance, or a combination of SA and IMA compliance depending on the business profile.
For SA
Murex offers a comprehensive SA package that covers the calculation complexity of required curvature and sensitives across all trading positions from vanilla to highly exotic instruments. Its aggregation layer covers all FRTB bucketing and netting rules, specifically SBA, SA-DRC and residual risk add-on. A powerful FRTB SA dashboard delivers a real-time, transparent audit trail to analyze capital calculations and report to national and regional regulators quickly and easily.
MX.3 for FRTB is designed as a prepackaged solution for rapid deployment. It provides the best level of user experience and evolves with revisions in line with regulatory updates.
For IMA
Murex’s IMA solution ensures the end-to-end calculation of capital requirements. This high-performance solution is designed to simplify regulatory approval, leveraging depth and consistency from Murex’s expertise in trading and risk analytics. Existing Murex clients also benefit from integrated front office and risk analytics inherent in the single platform.
With full representation of FRTB risk factors, core features include the calculation of expected shortfall with required liquidity horizon adjustments, a reduced set of risk factors for ES scaling, and the instruments to conduct ad-hoc stress-testing of non-modellable risk factors. The solution leverages a comprehensive P&L attribution tool to enable users to perform both backtesting and PL Attribution tests between the Hypothetical PL (HPL) and the Risk Theoretical PL (RTPL). Additionally clients can also leverage our historical scenario generation and proxy management for a wide range of risk factors and complexity.
MX.3 for FRTB also extends to cover IMA-DRC from Monte Carlo scenario generation, through the jump to default evaluation to the 99.9 percent VaR calculation.
Designed to optimize the user experience for traders, risk managers, finance and IT professionals, Murex’s FRTB solution contains user-friendly interfaces and content, and high-level operability.
Achieving the high-level of granularity and complexity in analytics required by FRTB doesn’t have to come at the cost of performance or increased hardware. Murex’s technology stack uses CPU / GPU grids combined with an intelligent ‘‘never twice’’ calculation engine and in-memory aggregation to deliver one of the most high-performing solutions for SA and IMA compliance on the market for financial institutions. This drives real-time results, reduces a client’s overall hardware footprint and controls total cost of ownership.
For a cross-asset portfolio containing 275k trades, the FRTB graph engine calculated the corresponding
MX.3 for FRTB easily adapts to fit with financial institutions’ technology infrastructure, with an advanced framework for importing and aggregating positions, sensitivities (Taylor expansions or standard methods) or P&L vectors across the enterprise.
The solution architecture is designed to ease the retrieval of positions from multiple source systems based on a client’s own formats. It enables fast incremental risk calculations with powerful position synchronization and automation capabilities. Imports are more easily controlled and managed by an exception-based reporting dashboard, which provides users with global status across all source systems.
In addition, MX.3 for FRTB combines consistent trading and risk analytics that are scalable on CPU/GPU grids with in-memory aggregation and Murex’s ‘‘never twice’’ dependency graph. This creates a high-performance market risk framework that avoids wasteful recalculations and reduces hardware requirements.
Over 30 years’ capital markets experience
30+ years’ experience across FO and risk, means Murex has the expertise to deliver your organization’s FRTB project. The team understands the significant organizational challenges posed:
Your partner for compliance
Murex offers a partnership approach, enabling you to benefit from tested methods and experience on FRTB projects:
Murex’s advanced solution will help you meet the requirements of FRTB, optimize your technology and capital resources and control the cost of implementation. Be ready to meet the regulatory deadline and take the best route to FRTB compliance with Murex.
The latest articles, videos, resources and content from Murex’s FRTB team exploring the impact of the regulation and the flexibility and best strategies for managing it.
With the implementation of the Fundamental Review of the Trading Book only two years away, financial institutions are now taking a hard look at the systems, processes and initiatives they will have to embrace with flexibility.
Bruno Castor, Head of Market Risk at Murex, views clear advantages of being an early adopter of FRTB. From assessing the business impact of the regulation to optimizing desk structures, being ready early benefits your business.
To effectively implement FRTB, Murex CEO Maroun Eddé says that financial institutions are facing a technical, organizational and functional transformation, which requires a redesign of their capital markets infrastructure.
FRTB is causing banks to face a number of new market challenges, with technology requirements at the forefront. Stella Clarke, Murex CMO, explains how exploiting technology can reduce costs and soften the impact of the impending regulation.
In order to meet FRTB compliance standards, CTOs are currently faced with complex implementation challenges. Bruno Castor, Head of Market Risk, discusses how technology for the forthcoming regulation should be approached.
In this updated special report in collaboration with Risk.Net, Murex expert Frank Heanue, shares his insights and recommendations for banks preparing for the upcoming FRTB regulation.
In this report, Murex Head of Market Risk, Bruno Castor outlines the challenges banks and financial institutions will face on the road to FRTB compliance. Consultation and working in collaboration with vendors and consultants to construct a new IT architecture is key to ensure they are FRTB compliant.
Murex’s FRTB solution offers a high performance market risk framework for both the IMA and SA models, allowing financial institutions to meet the compliance deadline and rapidly anticipate the business impact.
Selected for leading domain knowledge, business model scalability and product roadmap.
Murex receives awards for Advanced Technology and Customer Base.
Murex’s dedicated team is here to help with your FRTB Solution enquiries and support you in meeting the regulatory deadline. Call your regional office or, if you prefer to be contacted, complete the form and one of the team will get in touch.
EMEA
+ 33 1 4405 3200
Americas
+1 212 381 4300
Asia Pacific
+ 65 6216 02 88
Find out more about how Murex can be your technology partner for the future with MX.3, the leading agile technology platform for the capital markets.
For more than 30 years, Murex has been providing cross-asset financial technology solutions to capital markets players. Its platform, MX.3, supports trading, treasury, risk and post-trade operations, enabling clients to better meet regulatory requirements, manage risk, and control IT costs. With more than 50,000 daily users in 60 countries, Murex has clients in many sectors, from banking and asset management to energy and commodities. The MX.3 Risk and Regulatory Suite is a comprehensive framework that enables financial institutions to build a strategy for regulatory compliance and internal risk management. Find out more at www.murex.com
