Case Study: Grupo Financiero Banorte achieves a centralized XVA desk and strengthened credit risk management with Murex MX.3

Leading Mexican Bank Banorte Strengthens Credit Risk Management Practices

Grupo Financiero Banorte, one of Mexico’s largest banks, sought to modernize its credit risk management by building a central XVA desk and replacing legacy analytical credit measures with simulated Potential Future Exposure (PFE) metrics to meet new regulatory requirements such as IFRS. To achieve this, Banorte selected Murex and its MX.3 platform to support trading, collateral, accounting and integrated XVA/PFE calculations across Interest Rate, FX and Credit derivatives.

Murex implemented MX.3’s XVA and PFE capabilities, enabling end-to-end CVA/FVA/DVA calculations, real‑time XVA pricing for traders, and integrated limits management tied to real‑world and risk‑neutral models; the platform was upgraded twice within 24 months to add collateral, PFE and XVA functionality. As a result, Murex helped Banorte achieve IFRS compliance, improve transaction pricing and risk-adjusted returns, streamline limit monitoring and reduce operational and audit risk while delivering timely XVA metrics and sensitivities.

Grupo Financiero Banorte

Abraham M. Izquierdo

Executive Director, Risk