murex

Our firm has a business relationship with Murex and we have participated in internal and client projects.


Below are two case studies that we believe serve as an indication to our strengths and capabilities.


MX.3, Migration of FX, FX Option and Money Market Business from In-house System


Challenges
  • Different Representation of Option Types in both systems
  • Different Pnl and Sensitivity Currencies
  • Implementing Mx Enhancements but still allowing reconciliation to in-house system for parallel run
Approach
  • Portfolio analysis
  • Gap analysis and solution approach
  • Definition of migration strategies: front, middle, back office.
  • Migration of reconciliation strategies, all Areas (pnl, risk, payments and flows)
  • Definition of pricing and booking approach for front office
  • Definition and implementation of required developments for front office (e-tradepad, pricing complex products, link to external revaluation library, booking structures, market data)
  • Definition of revaluation and migration approach for risk management (models, market data, pnl, sensitivities)
  • Definition of migration and reconciliation strategy for back office (static data, reference data, settlement instructions, flows)
  • Defition and development of tools for data migration and daily econciliations
  • Definition and development of deal lifecycle in MX.3 including organizational changes
  • Implementation of all developments in MX.3
  • Reconciliaiton, backtesting against reference portfolio
  • Data migration

MXG 2.11, Introduction of Hedge Accounting IAS39 to Client with Portfolio of Bonds and Derivatives

  • Portfolio analysis
  • Definition and assignment of revaluation methods for identified instruments
  • Definition of required models, market data and revaluation methods inside and outside MXG
  • Implementation of mark-to-market revaluation methods for hedges and underlyings
  • Implementation of effectiveness measurement methods
  • Lifecycle definition and implementation of accounting rules and booking logic in MXG
  • Definition and implementation of the interface form MXG to general ledger
  • Deal and hedge lifecycle including actions needed for adjusting hedges, market data and deals over lifetime of a hedge
  • Modifications to existing setup in MXG for portfolios, instruments, market data, validation and Verification rules, extracts, reports
  • Change of organization to allow maintenance of the new solution