Its cross-function platform, MX.3, supports trading, treasury, risk and post-trade operations, enabling clients to better meet regulatory requirements, manage enterprise-wide risk, and control IT costs. Murex clients can license the OAS Subroutine directly from AD&Co.įor more than 30 years, Murex has been providing enterprise-wide, cross-asset financial technology solutions to capital markets players. The AD&Co OAS Subroutine is offered as an add-on service for Murex clients through a Dynamically Linked Library (DLL). The ability to capture interest-rate risk exists in many software products on the market Murex’s MX.3 goes beyond and incorporates prepayment-model risk as well.”įranck Lanowith, Head of Fixed Income Securities and Credit Derivatives at Murex, comments, “The pre-packaged solution integrating AD&Co’s Subroutines with MX.3 allows our clients to perform comprehensive analysis of mortgage securities, including prepayments and default models, while seamlessly leveraging MX.3 platform business processes, like real-time portfolio management, VaR, stress testing and the automated life cycle.”

The addition of AD&Co’s OAS Subroutine allows Murex clients to model agency securities including Interest Only (IO) and Inverse IO strips, using a widespread industry Options Adjusted Spread (OAS) model that accounts for the relationship between interest rates, home prices and prepayment behavior of borrowers, across all types of residential MBS.Īlex Levin, AD&Co’s Director of Financial Engineering, states “Murex and AD&Co have jointly created an advanced VaR product for MBS portfolios that extends risk measurement to both observed and unobserved factors. The new collaboration provides clients with an advanced risk analytics product, including Value-at-Risk (VaR) capabilities, for Mortgage-Backed Securities (MBS). (AD&Co) a provider of risk analytics and consulting, and Murex, a global leader in trading, risk, and processing solutions are pleased to announce that AD&Co’s OAS Subroutine, which includes the Agency LoanDynamics Model (Agency LDM), is now available within Murex’s MX.3 platform. Paris, France - 22 March, 2018 - Andrew Davidson & Co., Inc.

Murex clients can access AD&Co’s OAS Subroutine and capture interest rate and prepayment model risk for MBS portfolios.

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