Apr 2, 2024

Numerix & PolyPaths: A Combined Powerhouse in Capital Markets Analytics

In August 2023, Numerix acquired PolyPaths, the leading provider of analytics and risk management solutions for financial institutions. Because PolyPaths and Numerix share similar quantitative DNA, this partnership has been a natural fit, bringing together two of the industry’s most preeminent independent providers of capital markets analytics.

In today’s blog, we’d like to share an overview of PolyPaths’ powerful structured finance offering, including a featured highlight of PolyPaths’ proven solution benefits.

What Sets PolyPaths Apart

The PolyPaths application encompasses a wide range of functionalities, including pre-trade analysis, portfolio risk assessment, asset liability management (ALM) with and without accounting considerations, hedge analysis, value at risk, and related functionality. It offers comprehensive coverage of fixed-income instruments, spanning bonds, structured notes, mortgages, MSRs, loans, asset-backed structured products, non-maturity deposits, and derivatives. PolyPaths’ suite of integrated solutions are used for both trading and risk management, along with asset liability management— catering to clients of all sizes, from small hedge funds through to major market dealers.

The Rundown: PolyPaths Offering Highlights

Comprehensive Instrument Coverage

  • PolyPaths covers a wide variety of fixed-income securities, loans, and derivatives, including, but not limited to, MBS, ARM, CMO, ABS, CMBS, treasuries, corporates, municipal bonds, structured notes, agency debt, options, currency options, futures, swaps, cross currency swaps, and foreign currency-denominated securities. In addition, users can load and value mortgage servicing rights and whole loan portfolios.

Speed & Scalability

  • PolyPaths’ Distributed Processing system is designed to handle large scale calculation jobs. The robust parallel processing architecture can support grids with thousands of processors and comes with a web-based management console that continuously monitors the status of the entire grid, greatly reducing administrative overhead.

Comprehensive Risk & Return Analytics

  • The PolyPaths solution employs leading-edge interest rate models for pricing and risk analytics. A wide array of risk and return measures are used daily by active market participants for trading and hedging decisions. The solution can also perform credit analysis with user assumptions or third-party credit models. Historical return and return attribution analytics for buy-side applications are available. Stress testing via PolyPaths’ powerful Scenario Analysis tool offers both instantaneous and customized forward time horizons. Additionally, the ability to forecast cashflows and assess returns can be achieved either through a deterministic or stochastic evolution of market conditions tied to the passage of time.

Ease of Use

  • PolyPaths offers a simple, intuitive and flexible interactive user interface that does not require programming. Constructing portfolios, entering pricing assumptions and viewing reports can all be performed quickly and easily. For automation, a command-line interface and job scheduler are also available, enabling all analytics to be run via automated jobs, with transparency, stability, and minimal maintenance. PolyPaths also automates routine risk reporting jobs and simplifies maintenance.

Broad User Applications

  • Whether actively trading or analyzing pre- or post-trade data, PolyPaths boosts efficiency, performance, and investment results for a broad range of users across a financial institution, including traders, hedge fund managers, portfolio managers, risk managers, research analysts, model validation teams, and asset liability managers.

Ease of Integration

  • PolyPaths easily integrates the many user-supplied models and data found in most trading environments through straightforward APIs and/or file-based approaches. In addition, outputs from the system can be easily exported and fed into other systems.

Real Time Accounting

  • PolyPaths facilitates real time accounting with a range of accounting treatments that are both elective and visible on one screen. Users can change accounting elections on the fly and see reports in just minutes.

Limits and Rules

  • Limits have a wide variety of uses and flexibility in achieving a target. Rules can call limits directly to use pre-calculated values or to invoke the full limit process. This mixes the best of limits with the wide range of rules capability. With the PolyPaths application, rules can be specific to strategies, scenarios, and/or conditional on market conditions and simulation results.

Portfolio Optimization

  • In all facets of portfolio analysis and bank asset/liability management, there are circumstances where the level of complexity makes it difficult or very time-consuming to find an answer that meets your style and/or policy constraints. ALM supports the capability to solve for a solution to meet a wide range of constraints, such as rebalancing a hedge while minimizing transaction costs or maximizing income while subject to risk and portfolio composition constraints.

Revolutionizing Risk and Portfolio Management

We at Numerix are excited to have joined forces with Polypaths in order to offer clients an unrivaled suite of solutions that deliver deeper insights, greater precision and enhanced risk mitigation capabilities across a wide spectrum of financial instruments. Together our combined company is poised to revolutionize how financial institutions navigate the complexities of today’s markets, providing a holistic and comprehensive approach to managing risk, optimizing portfolios, and making informed investment decisions.

For further information about the PolyPaths offering, please reach out to us.

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