Following the global financial crisis, the subsequent regulatory changes have led to structural changes in the OTC market with the introduction of new capital charges, a central clearing mandate and bilateral rules for the posting of collateral.
These fundamental changes have led to the emergence of pricing adjustments collectively known as xVA. These adjustments are designed to measure and integrate the various risks and cost components of a transaction in the OTC derivative price.
MX.3 provides an innovative response to the typical challenges faced by firms to effectively manage their total cost of trading.
MX.3 delivers an end-to-end solution for risk managers, central desks, traders, finance and limits controllers and handles the intensive computation challenge without scarifying accuracy.
Proactive and integrated xVA management
Across asset classes and product complexity, MX.3 provides risk takers in real-time with pre-trade incremental xVA contributions and identifies the optimal counterparty for execution. Positions are refreshed instantly and xVA fees are automatically transferred to relevant portfolios.
Central desks can actively manage their desk’s 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. MX.3 manages CVA, DVA and FVA for financial statements, in accordance with fair-value accounting standards, as well as for Basel regulatory reporting.
High performance analytics
MX.3 provides fast and accurate computations in real-time and batch for trading and risk decisions, leveraging on a highly scalable framework, thanks to a Cloud-ready architecture relying on CPUs and GPUs.
The xVA 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.
If you wish to learn more about our xVA solution, please download the flyer here.
Central Desk Management
xVA pricing & counterparty selection. P&L & sensitivities dashboards. What-ifs. xVA fees management.
Hybrid arbitrage-free models. AMC. Risk neutral & real world. GPUs & grid-enabled.
Cross asset. Vanillas and exotics. Scripting language for new products.
Market & credit data repositories. Proxy curves management. Comprehensive trade & collateral modeling.
Interactive dashboards. Exposure analysis. Drill-down. Basel CVA capital charges.
CVA and FVA attribution to unit of account. Automated sub-ledger feed. ASC topic 820 & IFRS 13 compliant.
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