Numerix Kynex

KYNEX Core Analytics

Advanced Search: Dynamic browsing of convertible securities in the U.S. to help identify attractive investment opportunities by screening on valuation attributes of convertible as well as underlying stock fundamentals.

Flexible Hedge Calculator: Calculation of cash-flows by changing the convert position, stock position/hedge and financing/rebate rates. Specification of a horizon date to calculate the cash-flows to reflect holding period. Computation of capital requirements using either the broker-dealer rule or a custom flat rate. Cash-and-Carry calculations based on both financing rates for capital as well as zero cost of capital. Static Return calculations using finance cost for capital, zero cost for capital as well as including the estimated option decay.

Historical Analysis: Plot various convertible valuation attributes such as conversion premium, implied spread and volatility, cheapness, yield-to-put/maturity, price, parity, etc. Plot the historical valuation attributes on a time-scale as well as against stock prices as a distribution chart.

Horizon/Scenario Analysis for Hedged Investment: Estimate the projected P&L for a given convertible hedge position for various scenarios of stock price movements instantaneously as well as over a customizable horizon. Specify assumptions such as spread, volatility and cheapness for each scenario. Use Price-Tuning mechanism to specify other ways to estimate the convertible price such as point-premium, premium-over-investment-value, etc.

New Issue Pricing: The structuring tool allows you to quickly price a potential new issue convertible security which captures all nuances of the convertible market in an easy to use interface.

Horizon/Scenario Analysis for Outright Investment: Estimate the projected reward/risk profile of a convertible for various scenarios of stock price movements over a customizable horizon. Start with generic matrix of the spread and cheapness dynamics for various scenarios. Fine-tune the assumptions such as spread, volatility and cheapness for each scenario.

KYNEX Comprehensive Portfolio Maintenance and Analytics

Core Analytics, PLUS:

Portfolio Maintenance: Maintain a portfolio of convertible securities either as a hedged investment or an outright investment. Add securities from the universe of convertible securities maintained by Kynex. Maintain custom set of assumptions for each security in the portfolio for valuation purposes.

Portfolio Analysis: Multi-dimensional distribution of holdings by delta, gamma, vega, rho, carry, capital, etc. for hedged investments. Multi-dimensional distribution of holdings by yield, premium, gamma, premium over investment value, investment value, etc. for outright investments. Portfolio aggregates such as yield, premium, delta, gamma, vega, rho, etc. Aggregates along dimensions such as sensitivity, economic sector, credit quality, market capitalization, credit ratings, etc. Dynamic sorting on multiple valuation attributes of securities in the portfolio.

Portfolio Stress Tests: Run preset stress tests including Covid-19, 2008, 100% Cash Takeout scenarios as well as setup custom market stress scenarios based upon your criteria.

Standard Reports: Generate standard set of portfolio reports pre-defined by Kynex.

KYNEX Trade Entry (Comprehensive OMS with P&L Analysis)

Core Analytics & Comprehensive Portfolio Maintenance and Analytics, PLUS:

Seamless Navigation: Our OMS module is very tightly integrated with our portfolio and risk analysis modules. You can track P&L, place orders, and look at trade history with a couple of mouse clicks from your portfolio.

Intuitive Ticket Entry: Enter two-sided tickets that are natural for derivatives like convertibles, and fill orders by automatically calculating the dollar neutral price based on order delta.

Integration with Execution Platforms: Orders entered by sales can be automatically routed to your execution platform over a FIX connection and automatically receive executions of stocks to enable correct dollar neutral calculations on fills.

Shareable Indications Database with Dollar Neutral Calculations: Keeping a history of price indications for securities that are of interest. Computation of dollar-neutral indications using new stock prices and estimated hedge for identification of cheapening/richening trend in the market. Backing-out a probable hedge for the rest of the market using personal indications.

Commission Analysis: Track commissions by counter party and security type for different date ranges.

P&L Analysis: Analyze components of P&L such as trading, income, mark-to-market, dividends, etc., for any date range and for individual securities as well as custom groups of securities.

Back-Office integration: Send the trade blotter to your back office as well as custodians and administrators electronically.