Numerix Adds MSCI's Mortgage and Loan Prepayment and Loss Models to Its PolyPaths Platform

Numerix, a provider of technology for pricing, risk, and analytics in capital markets, today announced a collaboration with MSCI, the data and analytics firm best known for its market indexes, that will make MSCI's prepayment, credit and loss models for mortgage- and asset-backed securities available through an out-of-the-box integration with Numerix's PolyPaths platform. 

PolyPaths is used by banks, asset managers, and loan servicers to price and manage risk on portfolios of mortgage-backed securities (MBS) and asset-backed securities (ABS) — bonds built from pools of loans such as mortgages, auto loans, and credit cards. A central challenge in valuing those bonds is predicting prepayment: how quickly borrowers will pay off or refinance their loans, which determines how and when cash flows back to investors. For non-Agency MBS and ABS, firms must also model credit and loss behavior, including the likelihood that borrowers will miss payments or default. MSCI has built a set of prepayment, credit and loss models addressing these challenges, developed by a team with a background on Wall Street trading desks rather than purely academic research. 

Previously, a firm wanting both PolyPaths' portfolio analytics and MSCI's prepayment, credit and loss models would need to license and integrate the two separately. Under this collaboration, PolyPaths offers an out-of-the-box integration that makes MSCI's models available within PolyPaths workflows, so clients get both in a single platform and workflow. For MSCI, the deal extends the reach of its models to PolyPaths' client base without MSCI having to build and support that integration itself. 

The models being added to PolyPaths span a broad range of securitized products, including Agency MBS (specified pools, TBAs and CMOs), private-label RMBS (Non-QM, Prime and legacy), agency and non-agency CMBS, ABS (auto, credit card, student and other consumer loans), CLOs, and international MBS (Danish and Japanese mortgage securities). These collateral models are generally calibrated using decades of historical performance data across multiple housing, credit, and macroeconomic cycles. They incorporate detailed borrower, loan, and underlying asset characteristics to forecast prepayment and credit performance under a range of market and economic conditions.   

“We have invested significantly in developing a new generation of prepayment models that aims to raise the bar on accuracy and coverage,” said Thomas Moser, Product Manager at MSCI. “Making them available through PolyPaths’ platform is a natural extension of that commitment — clients can access MSCI’s analytical rigor directly within the workflows they already use. We have been working with PolyPaths to make this happen; it’s the kind of collaboration that  makes our capabilities available to clients where it matters.” 

“Prepayment and loss assumptions can materially change how mortgage- and asset-backed securities are valued,” said David Oh, Product Manager at Numerix. “By making MSCI’s models available through an out-of-the-box PolyPaths integration, we’re helping clients bring specialized prepayment, credit and loss analytics into the platform they already use to price securities and manage risk.” 

A PolyPaths client using MSCI’s models added: “MSCI’s prepayment models on PolyPaths give us an additional perspective on mortgage products and solidify our risk analytics coverage. This broader model view supports more robust analysis, stronger comparisons, and enhances our risk management.” 

About Numerix 

Since its founding in 1996, Numerix has been at the vanguard of financial technology, providing groundbreaking expertise, quantitative analytics, and software that redefines pricing and risk management in the financial markets. With the strategic acquisitions of FINCAD, Kynex, and PolyPaths, Numerix has further strengthened its leadership position, empowering financial institutions worldwide to transform risk into opportunities with confidence. Numerix is headquartered in New York City, with offices around the world in major financial centers that allow immediate access to the latest trends, innovations, and thought leaders in the industry. This extensive network across the Americas, EMEA, and Asia-Pacific enables Numerix to offer localized support and services to its diverse clientele while drawing on global insights and expertise.