Home Lender Transforms Risk and Portfolio Management via Long-Standing Relationship with Numerix’s PolyPaths

Key Highlights  

• In 2009, XYZ Home Lending entered an engagement with Numerix’s PolyPaths, for managing its risk profile. 
• Over the years, XYZ extended the use of PolyPaths solutions by replacing several in-house trading and risk systems.  
• Today, 14 years since the inception of the relationship, XYZ Home Lending has transformed risk and portfolio management using the full PolyPaths product suite. 

Introduction 

This case study reflects a 14-year journey involving a client-vendor partnership between “XYZ Home Lending” (client anonymity maintained) and Numerix’s PolyPaths. What started as a small desktop implementation in 2009 has resulted in XYZ leveraging PolyPaths full product suite of fixed income analytics solutions today. 

Challenge 

This home lender’s MSR (mortgage servicing rights) hedging desk was looking for ways to better manage its risk profile. In particular, they felt the analytics on their hedges (swaps, swaptions, futures, and future options) were not accurate in the current system and that the net convexity exposure was being understated. Throughout the years, XYZ Home Lender turned to Numerix’s PolyPaths to help them address additional risk and portfolio management challenges.  

Strategy and Solution  

Numerix’s PolyPaths was brought in to devise a solution that could address the home lender’s objectives through a desktop operating system. The PolyPaths’ team worked closely with XYZ’s head trader, as well as the quantitative analysis group to automate their nightly valuation and risk runs for the universe of current and potential MSR hedges. This marked the beginning of a long-standing partnership focused on continuous improvement and innovation. 
 

An overview of key benefits achieved with Numerix’ PolyPaths include: 

• Enhanced scalability and automation of risk management processes  

• Accurate and timely analysis of large portfolios with complex financial instruments 

• Extended modeling coverage for MSRs 

• Flexible pre-trade analysis  

• Single, powerful solution for risk analytics and balance sheet forecasting needs 

Download the case study to get the full story of how this home lender was able to transform risk and portfolio management using Numerix’s PolyPaths.  

Learn more about Numerix’s PolyPaths.