overview

Comprehensive Structured Finance Reference Data and Analytics 

Numerix CrossAsset offers firms direct access to the industry’s most comprehensive structured finance pricing, reference data, and analytics without installing and maintaining any addition software or hardware. 

With CrossAsset, users can easily price structured finance securities in the cloud by submitting a security identifier. This provides users with a comprehensive and consistent view of their structured finance securities in a single application. 

capabilities

EXTENSIVE SECURITY COVERAGE 
Complete coverage of all structured deals, including loan by loan analysis using the Intex Deal Library. RMBS, CMBS, CMO, CLO, CDO, ABS, leveraged loans and much more. 

FAST PERFORMANCE 
Leverages the speed, scalability and elasticity of the cloud, plus multi-threaded calculations at the path or deal level, to optimize calculations to meet any time requirements. 

RICH ANALYTICS 
Follows industry-standard approaches to analyzing individual securities, and provides a broad range of security-level and portfolio-level analytics you can utilize for investment and risk decisions. 

ADVANCED PREPAYMENT MODELS 
Best-in-class models for calculating prepayments and defaults. We handle everything from the interest rate process to CPR curve. Have a different view? Utilize your own inputs.

FASTEST STRUCTURED FINANCE SIMULATIONS ON A SINGLE PLATFORM 
Simulate thousands of cash flow paths, interest rate scenarios or historical perturbations for any calculation, whether it’s regular analytics or key rate durations. Numerix Structured Finance incorporates its Monte Carlo Engine with best-in-class prepayment analytics to ensure street standard analytics.

Benefits & Features

Comprehensive Security & Portfolio Analytics 

Security Analytics 
Security-level analytics are designed to provide a snapshot view of a security’s price, risk characteristics, and cashflows. At a high level, the following analytical approaches and components are used in our services: 

  • Cashflow based valuation 
  • Multiple interest rate processes and variable coupon modeling 
  • Optionality and other event schedules 
  • Convertibility 
  • Prepayment modeling 
  • Default modeling 
  • Sensitivity analysis 
  • Ultra-low and negative rate environment calibration 
  • Benchmark comparisons 

Portfolio Analytics 
A “Portfolio” is a collection of securities grouped together for the purpose of analysis. The portfolio can be expressed as a snapshot (single-date view), or as a set of time-series data showing the group’s details over time. 

Portfolio Analytics cover a range of use cases, including: 

  • Portfolio holdings & security analysis 
  • Compliance reporting 
  • Risk reporting 
  • Risk analysis 
  • Performance reporting 
  • Performance attribution 
  • Re-balancing 
  • Portfolio compression 
  • Hedging / risk transfer 

Available security analytics include: 

Yield Calculations 
  • Book yield 
  • Market yield 
Spreads 
  • Asset swap spread 
  • Option adjusted spread 
  • Zero volatility spread 
Sensitivities 
  • Average life 
  • Macauley duration 
  • Modified duration 
  • Local duration 
  • Effective duration 
  • Key Rate duration 
  • Spread duration 
  • Modified convexity 
  • Effective convexity 
Cash Flows 
  • Total cash flows 
  • Interest cash flows 
  • Principal cash flows 
  • Other principal cash flows 
  • Call cash flows 
  • Put cash flows 
  • Accrued interest 
  • Cash flow date 
Additional Resources
Product Collateral
CrossAsset Structured Finance | Fact Sheet
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CrossAsset - Leading the Industry in Advanced Models and Methods
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CrossAsset SDK: Quick Integration Into Any Proprietary or Third-Party Systems
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CrossAsset SEC Rule 18f-4 Solution
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CrossAsset XL: Rapidly Structure, Price and Manage Risk for Any Derivative

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