After the losses that were a feature of the global financial crisis and the exposure faced by financial institutions, 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 and measures have led to the emergence of pricing adjustments and calculation 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 and options faced by firms to effectively manage their total cost of trading.
MX.3 features and delivers an end-to-end solution for risk managers, central desks, traders, finance and limits controllers, and provides calculation and the intensive computation challenges and exposure without sacrificing accuracy.
Proactive and integrated XVA management
Across asset classes and product complexity, MX.3 provides risk-takers with pre-trade incremental XVA contributions and identifies the optimal counterparty for execution in real-time. 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 and features. MX.3 manages CVA, DVA and FVA for financial statements, in accordance with fair-value accounting standards, as well as Basel regulatory reporting.
High performance analytics
MX.3 provides fast and accurate computation and features in real-time and batch for trading and risk decisions, leveraging a highly scalable framework thanks to a cloud-ready architecture that relies 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.