Repos in Murex

Thought about this one and follow up on some questions I answered, I thought it could be of interest to some of you.

Repos and Buy/Sell backs used to be quite difficult to work with, bugged till effectively Murex reworked them into what was called the “new module” (agreed it sounds a bit like the promised land!).

The repos (I use that word loosely to cover sec lending, BSB, repos, etc… too much typing otherwise) are first defined as a template (similar to generator): you define some basic rules knowing that what you don’t provide will be provided by either the bond you choose or by the currency you choose. For instance, if you don’t input a start delay, the bond settlement delay will apply instead (usually 3OD, so you will need to define the start delay as most repos are start 1OD or 0 day).

Once you’re done with the template, you can then start pricing them and inputting them, it is simple to use, got everything you need to have: sec for fee, haircuts, etc… It pretty much looks like a swap: physical on one leg (bond, security) and cash on the other leg.

Open repos? Not a worry, just enter open as the maturity and that’s it.

I know it sounds simple but it is actually. Very simple to use, pretty much like a walk in the park.

And finally repos need bulk event and bulk events Murex has: global reneg (rate changing) either as absolute or as variations (e.g. 25bp for all your repos), termination, increase/decrease nominals, etc… And all is integrated in the Murex workflows.

Again, I know sounds simple and it is (I guess they could put that in a brochure! )

But the best thing about repos is a much more recent new transaction type: the basket repo.

This transaction is incredibly flexible and opens the door to so many opportunities, well, I just hope your repo desk is big enough! The basket repo, as the term could suggest, mean that on the first leg you have a basket instead of 1 line. Best of all the basket can be made of bonds, equities, commodities or cash, completely flexible. Input is done through a viewer, price, yield, haircut and quantity can be input for each line and you can check the valuation versus the other leg of the repo. You can even copy paste directly from Excel.

The specific event called repo basket substitution basically lets you remodel the basket the way you want: you can change quantity, remove lines or add new lines. Of course you can also use the other repo events.

It is a great tool for collateral management or for triparty repos where you can import the actual position at the end of the day.

In summary, before, repos in Murex meant you like making your life a challenge. Nowadays, they are very simple, very easy to use with most if not all functions your repo desk will need.

Hum, this article definitely sounds like advertising, which in a way is true: I really like that module!