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Murex’s FRTB 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

High performance: ‘never twice’ intelligent calculation engine combined with in-memory aggregation, improves performance 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

FRTB 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, data integration and risk management. FRTB will directly affect a bank’s profitability 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, underpinned by 30 years’ experience in capital markets. It aligns your risk and trading analytics to meet the demands of FRTB.

MX.3 for FRTB is available as a stand-alone solution or as part of Murex's MX.3 Enterprise Market Risk Platform, which 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 MX.3 ERM and Trading solutions

Award winning market risk solution

SA and IMA

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 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 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 ability 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.

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% VaR calculation.

User Experience

Designed to optimize the user experience for traders, risk managers, finance and IT professionals, Murex’s FRTB solution contains user-friendly interfaces and high-level operability.

  • Clear, intuitive and easy to use
  • FRTB graphs
  • ‘What if scenarios’ for capital optimization
  • Surgical capital calculation re-runs for parts of the trading book
  • Dynamic dashboards with full drill-down by desk, risk factor, liquidity horizon and more
User Experience

Performance

Achieving the high-level of granularity 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 highly performing solutions for SA and IMA compliance on the market. This drives real-time results, reduces a client’s overall hardware footprint and controls total cost of ownership.

275,000 trades in 32 minutes

For a cross-asset portfolio containing 275k trades, the FRTB graph engine calculated the corresponding

72 expected shortfalls

on 80 cores

in only 32 minutes

FX 55%
IRD 20%
Bonds 10%
Equity 15%
Options: 10% (27k) spread over FX and Equity

Architecture

MX.3 for FRTB easily adapts to fit with banks’ 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 capabilities. Imports are more easily controlled and managed by an exception-based reporting dashboard, which provides users with a 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.

Implementation

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 by FRTB:

  • Optimizing from monthly to daily reporting
  • Understanding and managing large volumes of data
  • Potentially transferring regulatory reporting from finance to risk
  • Implementing optimized architecture to ensure system performance and operability

Your partner for compliance
Murex offers a partnership approach, enabling you to benefit from tested methods and experience on FRTB projects:

  • Murex is already helping clients start the process of implementing their FRTB technology solution; it’s ready
  • The team has extensive experience working on FRTB QIS and POCs with clients
  • Successful history of advanced and fully-documented POCs
  • Proven ability and the resources to deliver FRTB projects globally

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.

FRTB Insights

The latest articles, videos and resources from Murex’s FRTB team exploring the impact of the regulation and the best strategies for managing it.

VideoFRTB - What is the real impact for the risk industry?

Get in touch with our FRTB team

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.

About Murex

For over 30 years, Murex has provided financial technology solutions to the capital markets. Its cross-asset, multi-function platform, MX.3, supports trading, risk and post-trade operations, enabling clients to meet regulatory requirements, manage enterprise-wide risk and control IT costs. With more than 45,000 daily users in 65 countries, including 60 of the top 100 global banks, Murex has clients across multiple 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