NumeriX, the leading independent provider of advanced analytics for the derivative and structured products markets, and R2 Financial Technologies, a pioneering firm providing business solutions for pricing and risk profiling structured credit strategies, today announced the availability of NxR2, the first solution of its kind designed to enable easier and more accurate pricing and valuation of the complete spectrum of cash and synthetic credit instruments. The application provides consistent valuation and risk analytics for credit products, which incorporate detailed information at the collateral level for credit derivatives and structured finance transactions.
In 2008, NumeriX and R2 made a conscious decision to combine their expertise in pricing analytics and risk management to develop the tools necessary to find transparency in an opaque market. As the credit markets continue to be mired in uncertainty, it is only through technological innovation that can connect best-of-breed data sources with advanced analytics that market participants will achieve the level of granularity and transparency needed to make more informed decisions about new investments and existing credit portfolios.
“The credit crisis has highlighted the need for transparency on the contents and structure of these complex securities, as well as for effective valuation and risk methodologies”, said Dr. Dan Rosen, ceo at R2. “Our vision is to provide packaged advanced analytics with detailed credit data, scenario capabilities, productivity and reporting tools, in order to perform reliable valuations, and understand the key underlying risks and concentrations in structured credit portfolios and strategies. This will allow business users to make better investment decisions and discriminate between securities, as well as manage their risk, and satisfy regulatory requirements.”
NxR2 is a Windows-based application allowing investors to gain a greater understanding of their portfolios. NxR2 provides full connectivity to the world-class data providers specializing in the credit markets: Bloomberg, Markit and Intex. By integrating Bloomberg and Markit’s pricing data alongside Intex’s deal libraries and cash-flow generation functionality, NumeriX has developed the most comprehensive and transparent valuation and risk analytic solution. In addition, its open interface and design allow the effective integration of other generic cash-flow libraries and credit data.
Capabilities and features of NxR2 include:
• Advanced pricing and risk analytics, including the detailed, integrated valuation of Cash and Synthetic CDOs and scenario generation, with the ability to set assumptions at the desired level of granularity.
• Immediate access to trade-ready information with complete instrument coverage including ABSs/RMBS/CMBS, cash CDOs (CLO, CBO, ABS CDO), synthetic CDOs and CDS Indices, bespoke CDOs, as well as single-name credit products, including CDSs, loans and bonds.
• Real-time pricing, cash-flow and exposure reports, as well as sensitivity analytics, enabling transparent and informed investment decisions.
• An effective work-flow and productivity tool to price and profile investment strategies, giving the buy-side comprehensive data management.
• Advanced pricing analytics powered by NumeriX 7.
“We recognized the lack of readily-available tools for traders to accurately price structured credit products,” said Steven R. O’Hanlon, president and chief operating officer at NumeriX. “NxR2 brings greater understanding of the market for credit derivative products and structured finance by providing the tools to credit investors and dealers to more effectively manage the risk exposure of these products.”