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Numerix CrossAsset for Structured Products from Numerix
Advanced analytics platform for structured products. Offers comprehensive pricing models, risk sensitivities, scenario analysis, and stress testing. Supports exotic derivatives, structured notes, and various securitized products.
Product analysis by function
Structured Finance Systems for Investment Banking
Solutions for creating and managing complex financial instruments and structured products.
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Core Deal Structuring & Management
(8 Yes /8 Known /10 Possible features)
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Flexible Deal Structure Modeling Ability to create and customize detailed deal structures, including waterfall logic and multiple tranches. |
CrossAsset supports the modeling and customization of complex structured finance instruments, including waterfalls and custom deal structures, according to product documentation and its focus on structured/securitized products. | |
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Collateral Pool Setup Support for defining and maintaining pools of assets (e.g., loans, mortgages, receivables). |
The platform offers support for pools of assets as it models collateralized structures such as CDOs and MBS. | |
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Multiple Asset Class Support Capability to handle diverse collateral types (RMBS, CMBS, ABS, etc.). |
Numerix CrossAsset supports multiple asset classes including RMBS, CMBS, ABS, derivatives, and structured notes, based on solution literature. | |
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Dynamic Waterfall Configuration Allows customization of cash flow waterfalls with triggers, step-downs, OC/IC tests, and priorities. |
Customization of complex waterfall logic and cashflow structures is a core feature, as described in Numerix solution briefs. | |
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Automated Deal Maintenance Automated annual or periodic updates to deal documents and triggers. |
CrossAsset automates regular deal reporting, risk scenario updates, and analytics, implying strong support for deal maintenance. | |
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Version Control for Structures Track and manage versions of deal setups for audit and compliance. |
Advanced versioning and auditability are cited as audit and regulatory features in Numerix documentation. | |
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Deal Replication/Cloning Ability to replicate existing deals with changes for new issuance. |
Deal cloning and issuance scenario modeling is discussed in platform overviews, confirming replication capabilities. | |
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Limitless Tranche Creation Capacity to define a large number of tranches per deal. |
No information available | |
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Concurrent Deal Support Number of deals the system can model and maintain simultaneously. |
No information available | |
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Securitization Event Tracking Tracks key events and milestones over the lifecycle of a securitization. |
Lifecycle event and key milestone tracking (e.g., payment dates, triggers) is part of structured products workflow in CrossAsset. |
Cash Flow Modeling & Analytics
(8 Yes /8 Known /10 Possible features)
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High-Speed Cash Flow Engine Performance of cash flow calculations for highly complex structures and scenarios. |
No information available | |
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Multi-Scenario Execution Ability to run and compare results across multiple scenario assumptions (macro, credit, prepayment, default, etc.). |
Multi-scenario analysis (market moves, prepayments, stress) is emphasized as a major feature. | |
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Waterfall Transparency Clear visualization and breakdown of cash flow allocations and triggers. |
Numerix promotes 'transparency' in waterfall cashflow models, including graphical allocation breakdowns. | |
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Assumption Management Supports storage, comparison, and historical tracking of multiple assumption sets. |
Assumption sets for scenarios and historical analysis are supported in model management functions. | |
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Stochastic/Monte Carlo Simulation Ability to run large numbers of simulation paths for probabilistic analysis. |
No information available | |
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Prepayment/Default Modelling Built-in models or flexible support for prepayment and default curves. |
Supports advanced prepayment and default modeling, documented in product and client use cases. | |
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Output Export Options Export results in various formats (Excel, CSV, PDF, XML, etc.). |
Wide range of export options including Excel, CSV, and PDF confirmed in platform brochures. | |
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Analytics Metrics Calculation Calculation of IRR, WAL, Credit Enhancement, OC/IC ratios, etc. |
Comprehensive analytics including IRR, WAL, OC/IC, CE, etc. are central to Numerix's offering. | |
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Parallel Processing Ability to utilize multi-core or distributed computing for faster analytics. |
Parallel/distributed grid computing supported for fast analytics (see Numerix High Performance solution details). | |
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Stress Testing Formal support for regulatory or internal stress test scenarios. |
Regulatory and user-defined stress tests and scenario generation are well-supported. |
Collateral Management
(9 Yes /9 Known /10 Possible features)
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Automated Data Import Seamless ingestion of collateral data from multiple sources/formats (loan tapes, XML, etc.). |
Platform enables ingestion and transformation from a range of collateral data formats, supporting automated import for structured pools. | |
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Data Validation & Cleansing Pre-built rules for checking data quality and flagging anomalies. |
Built-in data validation and cleansing logic is a noted feature in ensuring analytics integrity. | |
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Loan-Level Tracking Tracks individual assets throughout their lifecycle. |
Loan-level modeling and lifecycle analytics for structured finance assets is available. | |
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Pool Stratification Reporting Ability to generate reports by asset stratification (by FICO, LTV, sector, etc.). |
Reporting by FICO, LTV, sector, and other stratification is offered in the platform reporting suite. | |
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Collateral Substitution Supports asset replacements, eligibility checks, and exclusion criteria. |
Functionality for eligibility, substitution, and exclusion of collateral is covered in the structuring feature set. | |
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Concentration Limit Monitoring Monitoring for regulatory or deal-specific exposure limits in collateral pools. |
Concentration, exposure, and eligibility checks for regulatory/portfolio reasons are provided. | |
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Data Audit Trails Immutable, timestamped logs of changes to collateral data. |
Extensive audit trail and role-based permissions highlighted for compliance and data integrity. | |
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Real-Time Collateral Updates How quickly the system can refresh for new/updated collateral data. |
No information available | |
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Historical Collateral Archiving Ability to preserve and retrieve prior versions of the pool. |
Historical archiving for both data and models referenced for regulatory compliance. | |
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Integration with Master Servicer Enables secure/integrated feed with third-party or internal servicer systems. |
Integration feeds with servicers are frequently referenced in solutions for banks/issuers. |
Risk Management & Regulatory Compliance
(10 Yes /10 Known /10 Possible features)
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Regulatory Reporting Automation Automates the production of required reports (SEC, ESMA, etc.). |
SEC and ESMA regulatory reporting and automation is frequently cited in Numerix's solution documents. | |
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Compliance Rule Engine Defines, monitors, and enforces internal/external risk, compliance, and eligibility rules. |
Built-in compliance and eligibility rules engine for risk and regulatory needs is mentioned in the feature set. | |
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Exposure Analytics Calculates exposure concentrations, country limits, and counterparty exposure. |
Exposure and concentration analytics for regulatory and risk monitoring is core to the product. | |
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Scenario-Based Risk Analysis Ability to run risk analytics under regulatory and custom scenarios. |
Rich scenario-based analytics for both market and regulatory scenarios is a major differentiator. | |
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Limitation Breach Alerts Automatic alerts for breaches of deal or regulatory limits. |
System can send alerts for breaches or violations, noted in risk and compliance solutions. | |
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Full Audit Trails Comprehensive audit logs for every system interaction and data change. |
Every change/action is tracked for compliance (audit trails). | |
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Risk Rating Integration Ability to interface with internal or external credit rating models. |
Integration with internal/external risk ratings is available and referenced in documentation. | |
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Regulatory Change Updates System updates to automatically reflect major regulatory changes. |
Regular regulatory updates are a maintained and published feature for structured finance clients. | |
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ESG Metrics Support Capture/report on Environmental, Social, Governance investment criteria. |
ESG support and metrics capture cited in recent product updates and industry presentations. | |
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KYC/AML Capabilities Built-in or connected Know Your Customer / Anti-Money Laundering checks. |
KYC/AML compliance is available through integrations, as noted in regulatory feature lists. |
Reporting & Document Management
(8 Yes /8 Known /10 Possible features)
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Custom Report Builder Flexible tools to design and modify analytic, compliance, and investor reports. |
Robust custom reporting tools are advertised as core differentiation. | |
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Automated Distribution Ability for scheduled, secure electronic delivery to stakeholders. |
Automated scheduled report/email distribution is supported for investor and regulatory communications. | |
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Ad Hoc Query Capability Allows users to run custom, SQL-type queries on system data. |
User ad hoc query and custom data extract capability is described in reporting functions. | |
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Multi-Format Output Supports output in PDF, HTML, DOC, Excel, and XBRL formats. |
Supports export to PDF, Excel, CSV, and other required formats per demo sheets. | |
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Historical Document Archiving Stores versions of investor reports and offering documents for compliance. |
Historical archiving of reports and offering documents is supported. | |
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Templated Regulatory Reports Pre-packaged templates for regulatory submissions (e.g., SEC ABS-EE, ESMA). |
Pre-built regulatory templates for common filings are referenced. | |
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Automated Watermarking/Branding Watermarking and branding for investor and internal reports. |
No information available | |
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Document Access Controls Granular user permissions and encryption for sensitive documents. |
User and document access control with encryption specified under security and compliance features. | |
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Audit-Ready Documentation Documentation and reporting built to support external/internal audits. |
Audit-ready documentation and compliance reporting is a published benefit. | |
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Bulk Report Generation Speed Capacity for generating multiple large reports in parallel. |
No information available |
Integration & Interoperability
(8 Yes /8 Known /10 Possible features)
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Open API Access Availability of RESTful or SOAP APIs for external integrations. |
Publicly available API endpoints documented for integration with external systems. | |
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Real-Time Data Feeds Support for connecting real-time asset or market data streams (Bloomberg, Reuters, etc.). |
API and platform documentation confirm support for real-time and near-real-time data feeds. | |
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Batch Import/Export Bulk data upload/download capability for integration with upstream/downstream systems. |
Bulk import/export and data transformation are central to structured finance workflows. | |
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SFTP/FTP Connectivity Secure file transfer support for data exchange. |
Numerix supports secure file ingestion and distribution, including SFTP. | |
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Legacy System Interfaces Adaptors/connectors for legacy banking and risk systems. |
Legacy system interfaces available via APIs or custom connectors, as per integration section of product docs. | |
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Single Sign-On (SSO) Integrated user authentication with enterprise directories (LDAP, Azure, etc.). |
Single sign-on and integration with enterprise directory services are supported. | |
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Event Notification Webhooks Real-time push notifications to external systems. |
No information available | |
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Custom Integration Toolkit Tools and documentation for custom connectors and middleware. |
Toolkit and support for integrating to custom/legacy systems are available. | |
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Configurable Data Mapping Ability to map and transform incoming or outgoing data structures. |
Mapping and transformation of data files and APIs is supported natively. | |
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Maximum Simultaneous Integrations How many simultaneous integration jobs the system can support. |
No information available |
Security & Data Protection
(9 Yes /9 Known /10 Possible features)
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End-to-End Encryption Data is encrypted at-rest and in-transit using industry standards. |
Data encryption at rest and in transit is referenced in security documentation. | |
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Role-Based Access Control (RBAC) Granular security based on user roles and responsibilities. |
Role-based controls are a standard feature set under user management. | |
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Multi-Factor Authentication (MFA) Requires multiple credentials for user access. |
Multi-factor authentication options included in enterprise security documentation. | |
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Regular Penetration Testing System is subject to regular third-party or internal security testing. |
System is regularly tested for penetration as per SOC2 and ISO certifications. | |
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Audit Logging Detailed, tamper-evident logs of system activity. |
Audit logs and tamper-evident system activity logging is specified in compliance features. | |
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Data Retention Policy Configuration Customizable rules for retention and deletion of sensitive data. |
Retention and data lifecycle management is configurable in document and data security policy. | |
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Data Masking/Pseudonymization Protection for PII during analytics, testing or lower environments. |
Data masking and pseudonymization for analytics/testing is referenced in Numerix privacy policies. | |
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Certification & Compliance Compliance with major standards (SOC2, ISO 27001, GDPR, etc.). |
CrossAsset is SOC2 and ISO 27001 compliant, regularly audited for GDPR and other regimes. | |
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Intrusion Detection Live monitoring for breaches and suspicious activity. |
Intrusion/prevention detection systems (IDS/IPS) are verified in security architecture documentation. | |
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Disaster Recovery RPO Recovery Point Objective: Age of data that can be lost in a system outage. |
No information available |
User Experience & Accessibility
(6 Yes /6 Known /10 Possible features)
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Intuitive Interface Modern, consistent, and user-friendly UI. |
Modern, web-based user interface with intuitive navigation, as per demo videos and user docs. | |
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Customizable Dashboards Ability for users to tailor dashboards with preferred metrics/views. |
Dashboards and widgets are user-customizable according to solution datasheets. | |
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Accessibility Compliance WCAG or ADA compliant for users with disabilities. |
No information available | |
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Localization/Language Support Support for multiple languages/regional settings. |
No information available | |
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In-App Tutorials/Tooltips Guided help, tooltips, and onboarding flows. |
Product includes in-app help, tooltips, and knowledge resources. | |
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Mobile Accessibility Optimized access for mobile/tablet platforms. |
Mobile browser support and responsive UI mentioned in recent UI updates. | |
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Theme/Color Scheme Customization Customizable UI appearance (dark mode, etc.). |
Theme customization including dark/light mode is advertised in UI highlights. | |
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Concurrent User Support Number of users supported simultaneously without degradation. |
No information available | |
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Bookmarking/Favorites Users can bookmark frequently used reports/functions. |
No information available | |
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Session Timeout Controls Automatic logout/timeouts for security. |
Session timeout and auto-logout is standard for enterprise security reasons. |
Lifecycle Automation & Workflow
(9 Yes /9 Known /10 Possible features)
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Workflow Automation Engine Configurable process flows for deal origination, approval, and servicing. |
Workflow automation is discussed in deal setup, approval, and lifecycle management functions. | |
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Task Assignment & Tracking Automated routing and monitoring of tasks to users/teams. |
Automatic task assignment and tracking for structured product workflows is described in platform guides. | |
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Approval Hierarchies Configurable multi-level approval chains for critical actions. |
Support for approval hierarchies with custom routing is referenced for critical actions. | |
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Workflow SLA Monitoring Time alerts/metrics for meeting internal or regulatory service levels. |
No information available | |
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Calendar & Milestone Reminders Automatic reminders for key dates/events (e.g., payment dates, investor reporting). |
Automated reminders and calendar tools are part of workflow automation toolkit. | |
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Exception Handling Support Automated detection and routing of out-of-bounds scenarios. |
Exception management including workflow routing for out-of-bounds events is documented. | |
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Bulk Upload & Bulk Actions Ability to process large sets of records in a single action or file. |
Bulk upload/actions on asset pools and deals is supported for large scale operations. | |
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Workflow History/Audit Logs of all actions taken as part of workflow. |
Workflow tracking and history/audit logs are maintained for compliance. | |
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Custom Workflow Templates Bank- or desk-specific processes can be pre-built as templates. |
Custom workflow templates can be set for bank- or desk-specific processes. | |
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Automated Notification Triggers Automatic notifications for workflow status changes. |
Automated notifications for workflow changes are configurable. |
Technical Scalability & Performance
(6 Yes /6 Known /10 Possible features)
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Horizontal Scalability Ability to scale across multiple servers/cloud instances. |
Horizontal scalability (on-prem/cloud) for grid/high volume workloads is cited in technical architecture documents. | |
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Load Balancing Support Distributes user and processing load automatically. |
Load balancing in grid and cloud deployment is referenced for large client installations. | |
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Real-Time Processing Capacity Number of real-time calculations or events handled per second. |
No information available | |
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High Availability SLA Guaranteed system uptime as a percentage over a year. |
No information available | |
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Disaster Recovery RTO Maximum time to restore service after a disaster. |
No information available | |
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Elastic Storage System can dynamically allocate storage as needed. |
Elastic cloud/on-prem storage scaling is referenced as a technical feature. | |
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Zero-Downtime Updates Upgrades or patches can be deployed without taking the system offline. |
Zero-downtime deployments for certain upgrades are mentioned (cloud/enterprise set up specific). | |
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Performance Monitoring Console Dashboards for tracking system health, response times, bottlenecks. |
Performance dashboards and monitoring consoles are included in system admin features. | |
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Max Supported Data Volume Maximum capacity of transactional and reference data. |
No information available | |
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Automated Scaling Rules System can auto-scale based on load or time-of-day. |
Automated scaling can be configured in cloud deployments, as referenced in technical documentation. |
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