Liquidity risk is by nature consequential, resulting from market, credit, behavioral or operational risks. Depositors will create liquidity shortfalls during a stress situation, or a credit rating downgrade will trigger unexpected massive margin calls. Today’s risk managers and regulators demand a better understanding of how these interrelationships work together.
MX.3 offers a holistic answer to liquidity risk management. It proposes a complete coverage of front office, back office and risk management processes to capture all components of liquidity risk accurately and convey information in real-time to relevant decision points.
A comprehensive solution for funding, market and intraday liquidity
MX.3 aggregates liquidity data across treasury and capital market sources, and manages each component of liquidity risk.
Cash and security live inventories address funding and market liquidity risks, while intraday liquidity is controlled by way of real-time settlement and nostro management.
End users are updated with key liquidity ratios such as LCR intraday and assisted by a compliance workflow to remain within regulatory limits.
Advanced cash flow modelling and stress testing
Cash flow forecasts are generated in real-time for all products whatever their complexity, for example contingent liability flows such as callable bonds or exotic notes. Behavioral assumptions can also be incorporated.
Scenario analyses allow users to assess factors such as the composition of their high quality liquid asset inventory post assignment of unencumbered assets, or their worst-case margin call in the event of a credit rating downgrade.
Funding Liquidity Risk
Maturity ladders. Counterbalance. Key liquidity ratios. LCR. Survival period. Behaviour assumptions.
Market Liquidity Risk
Asset inventory. Encumbrance management. Stressed haircuts. Spread & volume data. Concentrations.
Intraday Liquidity Risk
Bank-wide payments factory. Real-time Nostro management. Reporting.
Flexible. Discount & forward rates multiple sets. Spread curves. Cost of funding & FTP curves. Data connectivity.
Cash Flow Engine
Banking & trading book cross asset products. Flows estimation. Optionality and exotic liability modelling.
Rate changes. Rollover & runoff assumptions. Counterpart default. Downgrades. Margin calls projection.
Liquidity risk limits. Real-time ratio checking for Front Office. Liquidity reports.
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Murex Cloud SolutionsMurex cloud and SaaS solutions combine the full power of a leading technology platform with the expertise and infrastructure to manage it. Tailored to your specific needs, it allows you to focus on your core business, take advantage of the latest innovations and be prepared for the future capital markets.Read more
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