NxR2 Structured Credit

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Transparency and consistency. This is the new mandate for asset valuations in an increasingly tight regulatory environment.

To answer this call and help companies meet FAS 133/157 and IAS 39 requirements, Numerix and R2 Financial Technologies have partnered to offer NxR2 — a comprehensive analytics and reporting solution for managing complex structured-credit portfolios involving both cash and synthetic instruments.

NxR2 enables accurate valuations and detailed profiles for complex credit products, including cash CDOs, CLOs and CDS on structured finance products such as ABS and MBS. Built on Numerix's advanced analytics architecture, NxR2 provides:

Consistent front-to-back pricing methodologies
Detailed understanding of underlying collateral in valuations and risk metrics
Integrated data retrieval and cash flows from major data services, including Bloomberg Intex, LoanX and Markit
Tools for locating new market opportunities

Marking of Books

Complete coverage
(cash & synthetic)
Advanced models
Pricing (clean price, dirty
price, accrued interest)
Return (IRR, break-even CDR)
Cash flow (interest, principal,
total cash flows)
Write-downs

Measuring Risks

Sensitivities (duration, convexity, PV01, CR01, DD01, PP01)
Scenario analysis
Stress testing
Crisis analysis
VaR
Model risk
Exposure (gross, net, long, short)
Concentration and hot-spots

Identifying Suitable Investments

NAV reports
Basis reports

Managing Risks

Limits
Alerts
Exception reports

Geographical distribution of RMBS collateral — one of the numerous analytic functions available with NxR2

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Seamless Data Integration for Structured Credit Strategies
NxR2 offers embedded connectivity for Intex, LoanX, Markit and Bloomberg data, streamlining the process for implementing advanced trading strategies involving both structured finance products (cash CDOs, CLOs, MBS) and credit derivatives (indices, bespoke CDOs, CDS).